SMCF RUB[Strategy] vs Deposit RUB[Benchmark]

17 Feb, 2025 - 2 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	88.0%	97.0%
Cumulative Return	-0.49%	3.36%
CAGR﹪	-3.97%	31.55%
Sharpe	0.3	35.64
Prob. Sharpe Ratio	54.29%	-
Smart Sharpe	0.18	20.71
Sortino	0.49	-
Smart Sortino	0.29	-
Sortino/√2	0.35	-
Smart Sortino/√2	0.2	-
Omega	1.11	1.11
Max Drawdown	-16.5%	-
Longest DD Days	-	-
Volatility (ann.)	74.82%	0.73%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	-0.24	-
Skew	1.17	0.55
Kurtosis	14.3	-0.48
Expected Daily	-0.02%	0.1%
Expected Monthly	-0.16%	1.11%
Expected Yearly	-0.49%	3.36%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-7.66%	-0.03%
Expected Shortfall (cVaR)	-7.66%	-0.03%
Max Consecutive Wins	4	31
Max Consecutive Losses	3	0
Gain/Pain Ratio	0.11	-
Gain/Pain (1M)	3.24	-
Payoff Ratio	-	-
Profit Factor	1.11	-
Common Sense Ratio	1.53	-
CPC Index	-	-
Tail Ratio	1.39	2.16
Outlier Win Ratio	4.25	72.79
Outlier Loss Ratio	3.23	-
MTD	-0.89%	0.08%
3M	-0.49%	3.36%
6M	-0.49%	3.36%
YTD	-0.49%	3.36%
1Y	-0.49%	3.36%
3Y (ann.)	-3.97%	31.55%
5Y (ann.)	-3.97%	31.55%
10Y (ann.)	-3.97%	31.55%
All-time (ann.)	-3.97%	31.55%
Best Day	19.88%	0.17%
Worst Day	-16.07%	0.0%
Best Month	0.3%	1.69%
Worst Month	-0.89%	0.08%
Best Year	-0.49%	3.36%
Worst Year	-0.49%	3.36%
Avg. Drawdown	-3.64%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.03	-
Ulcer Index	0.03	0.0
Serenity Index	-0.12	-
Avg. Up Month	0.2%	1.63%
Avg. Down Month	-	-
Win Days	46.43%	100.0%
Win Month	66.67%	100.0%
Win Quarter	50.0%	100.0%
Win Year	0.0%	100.0%
Beta	-0.6	-
Alpha	0.38	-
Correlation	-0.59%	-
Treynor Ratio	0.8%	-