SMCF RUB[Strategy] vs Deposit RUB[Benchmark]

17 Feb, 2025 - 9 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	100.0%
Cumulative Return	-0.49%	25.73%
CAGR﹪	-0.35%	17.92%
Sharpe	0.13	45.94
Prob. Sharpe Ratio	55.75%	100.0%
Smart Sharpe	0.07	26.32
Sortino	0.19	-
Smart Sortino	0.11	-
Sortino/√2	0.14	-
Smart Sortino/√2	0.08	-
Omega	1.04	1.04
Max Drawdown	-16.5%	-
Longest DD Days	-	-
Volatility (ann.)	28.33%	0.38%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	-0.02	-
Skew	1.97	2.09
Kurtosis	66.89	6.78
Expected Daily	-0.0%	0.07%
Expected Monthly	-0.03%	1.28%
Expected Yearly	-0.24%	12.13%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.92%	-0.03%
Expected Shortfall (cVaR)	-2.92%	-0.03%
Max Consecutive Wins	7	327
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.04	-
Gain/Pain (1M)	0.58	-
Payoff Ratio	-	-
Profit Factor	1.04	-
Common Sense Ratio	1.08	-
CPC Index	-	-
Tail Ratio	1.04	2.2
Outlier Win Ratio	3.16	27.94
Outlier Loss Ratio	2.21	-
MTD	-1.06%	0.41%
3M	-0.28%	3.39%
6M	-1.65%	7.23%
YTD	0.07%	7.39%
1Y	0.41%	15.67%
3Y (ann.)	-0.35%	17.92%
5Y (ann.)	-0.35%	17.92%
10Y (ann.)	-0.35%	17.92%
All-time (ann.)	-0.35%	17.92%
Best Day	19.88%	0.17%
Worst Day	-16.07%	0.0%
Best Month	1.73%	1.69%
Worst Month	-4.12%	0.41%
Best Year	0.07%	17.08%
Worst Year	-0.56%	7.39%
Avg. Drawdown	-4.4%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.03	-
Ulcer Index	0.05	0.0
Serenity Index	-0.02	-
Avg. Up Month	0.78%	1.35%
Avg. Down Month	-	-
Win Days	54.88%	100.0%
Win Month	61.11%	100.0%
Win Quarter	57.14%	100.0%
Win Year	50.0%	100.0%
Beta	0.32	-
Alpha	-0.02	-
Correlation	0.43%	-
Treynor Ratio	-1.53%	-