SMCF RUB[Strategy] vs Deposit RUB[Benchmark]

17 Feb, 2025 - 24 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	0.3%	22.6%
CAGR﹪	0.25%	18.84%
Sharpe	0.16	50.24
Prob. Sharpe Ratio	56.7%	100.0%
Smart Sharpe	0.09	28.71
Sortino	0.25	-
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.)	31.03%	0.38%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.02	-
Skew	1.81	2.2
Kurtosis	55.76	7.37
Expected Daily	0.0%	0.07%
Expected Monthly	0.02%	1.37%
Expected Yearly	0.15%	10.73%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.2%	-0.04%
Expected Shortfall (cVaR)	-3.2%	-0.04%
Max Consecutive Wins	7	271
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.05	-
Gain/Pain (1M)	0.79	-
Payoff Ratio	-	-
Profit Factor	1.05	-
Common Sense Ratio	1.05	-
CPC Index	-	-
Tail Ratio	1.01	1.98
Outlier Win Ratio	2.75	26.16
Outlier Loss Ratio	2.0	-
MTD	0.45%	1.12%
3M	0.6%	3.77%
6M	-0.79%	7.86%
YTD	0.86%	4.71%
1Y	-0.58%	17.35%
3Y (ann.)	0.25%	18.84%
5Y (ann.)	0.25%	18.84%
10Y (ann.)	0.25%	18.84%
All-time (ann.)	0.25%	18.84%
Best Day	19.88%	0.17%
Worst Day	-16.07%	0.0%
Best Month	1.73%	1.69%
Worst Month	-4.12%	1.12%
Best Year	0.86%	17.08%
Worst Year	-0.56%	4.71%
Avg. Drawdown	-4.4%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.02	-
Ulcer Index	0.04	0.0
Serenity Index	0.02	-
Avg. Up Month	0.83%	1.39%
Avg. Down Month	-	-
Win Days	55.42%	100.0%
Win Month	66.67%	100.0%
Win Quarter	66.67%	100.0%
Win Year	50.0%	100.0%
Beta	0.14	-
Alpha	0.02	-
Correlation	0.17%	-
Treynor Ratio	2.12%	-