SMCF RUB[Strategy] vs Deposit RUB[Benchmark]

17 Feb, 2025 - 24 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	100.0%
Cumulative Return	0.33%	27.91%
CAGR﹪	0.22%	17.64%
Sharpe	0.14	44.85
Prob. Sharpe Ratio	56.77%	100.0%
Smart Sharpe	0.08	25.71
Sortino	0.21	-
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.)	27.01%	0.38%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.01	-
Skew	2.06	2.0
Kurtosis	73.49	6.67
Expected Daily	0.0%	0.07%
Expected Monthly	0.02%	1.3%
Expected Yearly	0.16%	13.1%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.78%	-0.03%
Expected Shortfall (cVaR)	-2.78%	-0.03%
Max Consecutive Wins	7	361
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.05	-
Gain/Pain (1M)	0.72	-
Payoff Ratio	-	-
Profit Factor	1.05	-
Common Sense Ratio	1.1	-
CPC Index	-	-
Tail Ratio	1.05	2.56
Outlier Win Ratio	3.43	28.62
Outlier Loss Ratio	2.24	-
MTD	-0.72%	1.07%
3M	0.83%	3.52%
6M	0.19%	6.95%
YTD	0.89%	9.25%
1Y	-0.85%	15.38%
3Y (ann.)	0.22%	17.64%
5Y (ann.)	0.22%	17.64%
10Y (ann.)	0.22%	17.64%
All-time (ann.)	0.22%	17.64%
Best Day	19.88%	0.17%
Worst Day	-16.07%	0.0%
Best Month	1.73%	1.69%
Worst Month	-4.12%	1.06%
Best Year	0.89%	17.08%
Worst Year	-0.56%	9.25%
Avg. Drawdown	-4.4%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.02	-
Ulcer Index	0.05	0.0
Serenity Index	0.01	-
Avg. Up Month	0.76%	1.33%
Avg. Down Month	-	-
Win Days	56.23%	100.0%
Win Month	63.16%	100.0%
Win Quarter	57.14%	100.0%
Win Year	50.0%	100.0%
Beta	0.16	-
Alpha	0.01	-
Correlation	0.22%	-
Treynor Ratio	2.08%	-