SMCF RUB[Strategy] vs Deposit RUB[Benchmark]

17 Feb, 2025 - 9 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	0.2%	19.04%
CAGR﹪	0.2%	19.51%
Sharpe	0.17	52.17
Prob. Sharpe Ratio	56.51%	100.0%
Smart Sharpe	0.1	29.83
Sortino	0.27	-
Smart Sortino	0.15	-
Sortino/√2	0.19	-
Smart Sortino/√2	0.11	-
Omega	1.05	1.05
Max Drawdown	-16.5%	-
Longest DD Days	-	-
Volatility (ann.)	34.24%	0.38%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.01	-
Skew	1.67	2.1
Kurtosis	46.47	6.83
Expected Daily	0.0%	0.08%
Expected Monthly	0.02%	1.35%
Expected Yearly	0.1%	9.11%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.52%	-0.04%
Expected Shortfall (cVaR)	-3.52%	-0.04%
Max Consecutive Wins	7	218
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.05	-
Gain/Pain (1M)	0.77	-
Payoff Ratio	-	-
Profit Factor	1.05	-
Common Sense Ratio	1.04	-
CPC Index	-	-
Tail Ratio	0.98	1.76
Outlier Win Ratio	2.5	24.75
Outlier Loss Ratio	1.84	-
MTD	0.67%	0.45%
3M	0.15%	3.96%
6M	0.02%	7.97%
YTD	0.76%	1.67%
1Y	0.2%	19.04%
3Y (ann.)	0.2%	19.51%
5Y (ann.)	0.2%	19.51%
10Y (ann.)	0.2%	19.51%
All-time (ann.)	0.2%	19.51%
Best Day	19.88%	0.17%
Worst Day	-16.07%	0.0%
Best Month	1.73%	1.69%
Worst Month	-4.12%	0.45%
Best Year	0.76%	17.08%
Worst Year	-0.56%	1.67%
Avg. Drawdown	-4.33%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.01	-
Ulcer Index	0.04	0.0
Serenity Index	0.02	-
Avg. Up Month	0.89%	1.34%
Avg. Down Month	-	-
Win Days	55.72%	100.0%
Win Month	69.23%	100.0%
Win Quarter	60.0%	100.0%
Win Year	50.0%	100.0%
Beta	0.1	-
Alpha	0.04	-
Correlation	0.12%	-
Treynor Ratio	1.92%	-