SMCF RUB[Strategy] vs Deposit RUB[Benchmark]

17 Feb, 2025 - 25 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	87.0%	98.0%
Cumulative Return	0.8%	5.0%
CAGR﹪	4.46%	30.47%
Sharpe	0.37	44.13
Prob. Sharpe Ratio	56.29%	-
Smart Sharpe	0.22	25.56
Sortino	0.6	-
Smart Sortino	0.35	-
Sortino/√2	0.42	-
Smart Sortino/√2	0.25	-
Omega	1.14	1.14
Max Drawdown	-16.5%	-
Longest DD Days	-	-
Volatility (ann.)	63.11%	0.62%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.27	-
Skew	1.34	0.23
Kurtosis	19.93	0.17
Expected Daily	0.02%	0.11%
Expected Monthly	0.27%	1.64%
Expected Yearly	0.8%	5.0%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.45%	-0.04%
Expected Shortfall (cVaR)	-6.45%	-0.04%
Max Consecutive Wins	4	44
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.14	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	1.14	-
Common Sense Ratio	1.11	-
CPC Index	-	-
Tail Ratio	0.97	2.16
Outlier Win Ratio	4.72	59.65
Outlier Loss Ratio	3.28	-
MTD	0.4%	1.67%
3M	0.8%	5.0%
6M	0.8%	5.0%
YTD	0.8%	5.0%
1Y	0.8%	5.0%
3Y (ann.)	4.46%	30.47%
5Y (ann.)	4.46%	30.47%
10Y (ann.)	4.46%	30.47%
All-time (ann.)	4.46%	30.47%
Best Day	19.88%	0.17%
Worst Day	-16.07%	0.0%
Best Month	0.4%	1.69%
Worst Month	0.11%	1.56%
Best Year	0.8%	5.0%
Worst Year	0.8%	5.0%
Avg. Drawdown	-3.88%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.05	-
Ulcer Index	0.03	0.0
Serenity Index	0.2	-
Avg. Up Month	0.27%	1.64%
Avg. Down Month	-	-
Win Days	48.72%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-1.13	-
Alpha	0.55	-
Correlation	-1.11%	-
Treynor Ratio	-0.71%	-