SMCF RUB[Strategy] vs Deposit RUB[Benchmark]

13 Dec, 2023 - 13 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	31.6%	44.02%
CAGR﹪	14.06%	19.09%
Sharpe	0.73	89.84
Prob. Sharpe Ratio	85.11%	100.0%
Smart Sharpe	0.73	89.66
Sortino	1.06	-
Smart Sortino	1.05	-
Sortino/√2	0.75	-
Smart Sortino/√2	0.74	-
Omega	1.14	1.14
Max Drawdown	-28.92%	-
Longest DD Days	-	-
Volatility (ann.)	21.34%	0.2%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.49	-
Skew	-0.15	0.31
Kurtosis	8.61	1.21
Expected Daily	0.05%	0.07%
Expected Monthly	1.06%	1.41%
Expected Yearly	7.11%	9.55%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.15%	-0.05%
Expected Shortfall (cVaR)	-2.15%	-0.05%
Max Consecutive Wins	7	521
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.14	-
Gain/Pain (1M)	0.71	-
Payoff Ratio	-	-
Profit Factor	1.14	-
Common Sense Ratio	1.19	-
CPC Index	-	-
Tail Ratio	1.04	1.62
Outlier Win Ratio	1.73	24.36
Outlier Loss Ratio	1.89	-
MTD	3.3%	0.46%
3M	5.61%	3.93%
6M	6.14%	8.06%
YTD	3.3%	0.46%
1Y	8.86%	19.3%
3Y (ann.)	14.06%	19.09%
5Y (ann.)	14.06%	19.09%
10Y (ann.)	14.06%	19.09%
All-time (ann.)	14.06%	19.09%
Best Day	8.86%	0.1%
Worst Day	-9.07%	0.0%
Best Month	11.31%	1.83%
Worst Month	-9.11%	0.46%
Best Year	15.59%	19.39%
Worst Year	3.3%	0.46%
Avg. Drawdown	-3.92%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.09	-
Ulcer Index	0.09	0.0
Serenity Index	0.3	-
Avg. Up Month	5.59%	1.36%
Avg. Down Month	-	-
Win Days	50.67%	100.0%
Win Month	53.85%	100.0%
Win Quarter	70.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.24	-
Alpha	0.11	-
Correlation	0.22%	-
Treynor Ratio	130.52%	-