SMCF[Strategy] vs RUB Inflation[Benchmark]

17 Feb, 2025 - 30 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	100.0%
Cumulative Return	-0.56%	4.41%
CAGR﹪	-0.64%	5.11%
Sharpe	0.16	18.35
Prob. Sharpe Ratio	55.5%	100.0%
Smart Sharpe	0.09	10.53
Sortino	0.24	53.06
Smart Sortino	0.14	30.44
Sortino/√2	0.17	37.52
Smart Sortino/√2	0.1	21.52
Omega	1.05	1.05
Max Drawdown	-16.5%	-0.4%
Longest DD Days	211	63
Volatility (ann.)	35.78%	0.3%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	-0.04	12.77
Skew	1.63	0.24
Kurtosis	43.31	4.03
Expected Daily	-0.0%	0.02%
Expected Monthly	-0.05%	0.39%
Expected Yearly	-0.56%	4.41%
Kelly Criterion	38.65%	82.42%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.69%	-0.01%
Expected Shortfall (cVaR)	-3.69%	-0.01%
Max Consecutive Wins	7	102
Max Consecutive Losses	4	19
Gain/Pain Ratio	0.05	10.76
Gain/Pain (1M)	0.65	10.76
Payoff Ratio	2.45	1.23
Profit Factor	1.05	11.76
Common Sense Ratio	1.26	17.21
CPC Index	1.45	13.05
Tail Ratio	1.2	1.46
Outlier Win Ratio	2.49	73.95
Outlier Loss Ratio	1.84	99.74
MTD	-1.18%	0.49%
3M	-2.11%	1.44%
6M	0.26%	1.93%
YTD	-0.56%	4.41%
1Y	-0.56%	4.41%
3Y (ann.)	-0.64%	5.11%
5Y (ann.)	-0.64%	5.11%
10Y (ann.)	-0.64%	5.11%
All-time (ann.)	-0.64%	5.11%
Best Day	19.88%	0.08%
Worst Day	-16.07%	-0.02%
Best Month	1.73%	0.73%
Worst Month	-4.12%	-0.4%
Best Year	-0.56%	4.41%
Worst Year	-0.56%	4.41%
Avg. Drawdown	-4.32%	-0.4%
Avg. Drawdown Days	27	63
Recovery Factor	-0.03	11.02
Ulcer Index	0.03	0.0
Serenity Index	-0.08	4.39
Avg. Up Month	1.03%	0.47%
Avg. Down Month	-0.69%	-0.4%
Win Days	56.42%	90.31%
Win Month	63.64%	90.91%
Win Quarter	50.0%	100.0%
Win Year	0.0%	100.0%
Beta	0.72	-
Alpha	0.02	-
Correlation	0.61%	-
Treynor Ratio	-0.77%	-