SMCF RUB[Strategy] vs Deposit RUB[Benchmark]

17 Feb, 2025 - 14 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	100.0%
Cumulative Return	-0.4%	30.71%
CAGR﹪	-0.24%	17.57%
Sharpe	0.12	43.17
Prob. Sharpe Ratio	55.91%	100.0%
Smart Sharpe	0.07	24.77
Sortino	0.18	-
Smart Sortino	0.1	-
Sortino/√2	0.12	-
Smart Sortino/√2	0.07	-
Omega	1.04	1.04
Max Drawdown	-16.5%	-
Longest DD Days	-	-
Volatility (ann.)	25.5%	0.38%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	-0.01	-
Skew	2.17	1.96
Kurtosis	82.05	6.42
Expected Daily	-0.0%	0.07%
Expected Monthly	-0.02%	1.28%
Expected Yearly	-0.2%	14.33%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.63%	-0.03%
Expected Shortfall (cVaR)	-2.63%	-0.03%
Max Consecutive Wins	7	408
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.04	-
Gain/Pain (1M)	0.54	-
Payoff Ratio	-	-
Profit Factor	1.04	-
Common Sense Ratio	1.01	-
CPC Index	-	-
Tail Ratio	0.97	2.56
Outlier Win Ratio	3.62	29.61
Outlier Loss Ratio	2.36	-
MTD	0.58%	1.09%
3M	-0.28%	3.94%
6M	-0.16%	7.33%
YTD	0.16%	11.64%
1Y	-1.67%	15.54%
3Y (ann.)	-0.24%	17.57%
5Y (ann.)	-0.24%	17.57%
10Y (ann.)	-0.24%	17.57%
All-time (ann.)	-0.24%	17.57%
Best Day	19.88%	0.17%
Worst Day	-16.07%	0.0%
Best Month	1.73%	1.69%
Worst Month	-4.12%	1.06%
Best Year	0.16%	17.08%
Worst Year	-0.56%	11.64%
Avg. Drawdown	-4.4%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.02	-
Ulcer Index	0.05	0.0
Serenity Index	-0.01	-
Avg. Up Month	0.74%	1.31%
Avg. Down Month	-	-
Win Days	55.11%	100.0%
Win Month	61.9%	100.0%
Win Quarter	62.5%	100.0%
Win Year	50.0%	100.0%
Beta	0.4	-
Alpha	-0.04	-
Correlation	0.6%	-
Treynor Ratio	-1.0%	-