SMCF RUB[Strategy] vs Deposit RUB[Benchmark]

17 Feb, 2025 - 3 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	-0.2%	20.06%
CAGR﹪	-0.19%	19.25%
Sharpe	0.16	51.79
Prob. Sharpe Ratio	56.04%	100.0%
Smart Sharpe	0.09	29.58
Sortino	0.24	-
Smart Sortino	0.14	-
Sortino/√2	0.17	-
Smart Sortino/√2	0.1	-
Omega	1.05	1.05
Max Drawdown	-16.5%	-
Longest DD Days	-	-
Volatility (ann.)	33.23%	0.38%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	-0.01	-
Skew	1.71	2.18
Kurtosis	49.1	7.15
Expected Daily	-0.0%	0.08%
Expected Monthly	-0.01%	1.31%
Expected Yearly	-0.1%	9.57%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.42%	-0.04%
Expected Shortfall (cVaR)	-3.42%	-0.04%
Max Consecutive Wins	7	233
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.05	-
Gain/Pain (1M)	0.71	-
Payoff Ratio	-	-
Profit Factor	1.05	-
Common Sense Ratio	0.96	-
CPC Index	-	-
Tail Ratio	0.92	1.76
Outlier Win Ratio	2.55	25.17
Outlier Loss Ratio	1.89	-
MTD	0.46%	0.12%
3M	-0.59%	3.73%
6M	-0.2%	7.75%
YTD	0.36%	2.54%
1Y	-0.5%	18.22%
3Y (ann.)	-0.19%	19.25%
5Y (ann.)	-0.19%	19.25%
10Y (ann.)	-0.19%	19.25%
All-time (ann.)	-0.19%	19.25%
Best Day	19.88%	0.17%
Worst Day	-16.07%	0.0%
Best Month	1.73%	1.69%
Worst Month	-4.12%	0.12%
Best Year	0.36%	17.08%
Worst Year	-0.56%	2.54%
Avg. Drawdown	-4.36%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.01	-
Ulcer Index	0.04	0.0
Serenity Index	-0.02	-
Avg. Up Month	0.86%	1.3%
Avg. Down Month	-	-
Win Days	55.56%	100.0%
Win Month	64.29%	100.0%
Win Quarter	60.0%	100.0%
Win Year	50.0%	100.0%
Beta	0.13	-
Alpha	0.03	-
Correlation	0.15%	-
Treynor Ratio	-1.52%	-