SMCF RUB[Strategy] vs Deposit RUB[Benchmark]

17 Feb, 2025 - 11 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	0.5%	28.45%
CAGR﹪	0.32%	17.36%
Sharpe	0.14	43.26
Prob. Sharpe Ratio	56.99%	100.0%
Smart Sharpe	0.08	24.79
Sortino	0.22	-
Smart Sortino	0.12	-
Sortino/√2	0.15	-
Smart Sortino/√2	0.09	-
Omega	1.05	1.05
Max Drawdown	-16.5%	-
Longest DD Days	-	-
Volatility (ann.)	26.46%	0.39%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.02	-
Skew	2.1	2.02
Kurtosis	76.4	6.51
Expected Daily	0.0%	0.07%
Expected Monthly	0.02%	1.26%
Expected Yearly	0.25%	13.34%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.73%	-0.03%
Expected Shortfall (cVaR)	-2.73%	-0.03%
Max Consecutive Wins	7	377
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.05	-
Gain/Pain (1M)	0.67	-
Payoff Ratio	-	-
Profit Factor	1.05	-
Common Sense Ratio	1.04	-
CPC Index	-	-
Tail Ratio	0.99	2.56
Outlier Win Ratio	3.48	29.35
Outlier Loss Ratio	2.28	-
MTD	0.98%	0.42%
3M	0.77%	3.29%
6M	0.7%	6.75%
YTD	1.06%	9.71%
1Y	-0.69%	15.08%
3Y (ann.)	0.32%	17.36%
5Y (ann.)	0.32%	17.36%
10Y (ann.)	0.32%	17.36%
All-time (ann.)	0.32%	17.36%
Best Day	19.88%	0.17%
Worst Day	-16.07%	0.0%
Best Month	1.73%	1.69%
Worst Month	-4.12%	0.42%
Best Year	1.06%	17.08%
Worst Year	-0.56%	9.71%
Avg. Drawdown	-4.4%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.03	-
Ulcer Index	0.05	0.0
Serenity Index	0.02	-
Avg. Up Month	0.77%	1.26%
Avg. Down Month	-	-
Win Days	55.94%	100.0%
Win Month	65.0%	100.0%
Win Quarter	57.14%	100.0%
Win Year	50.0%	100.0%
Beta	0.24	-
Alpha	-0.0	-
Correlation	0.35%	-
Treynor Ratio	2.07%	-