SMCF[Strategy] vs RUB Inflation[Benchmark]

17 Feb, 2025 - 15 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	91.0%	100.0%
Cumulative Return	-0.59%	9.71%
CAGR﹪	-0.35%	5.75%
Sharpe	0.11	15.9
Prob. Sharpe Ratio	55.67%	100.0%
Smart Sharpe	0.06	9.12
Sortino	0.17	77.75
Smart Sortino	0.1	44.61
Sortino/√2	0.12	54.97
Smart Sortino/√2	0.07	31.55
Omega	1.04	1.04
Max Drawdown	-16.5%	-0.4%
Longest DD Days	297	63
Volatility (ann.)	25.47%	0.36%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	-0.02	14.37
Skew	2.17	1.56
Kurtosis	82.25	4.41
Expected Daily	-0.0%	0.02%
Expected Monthly	-0.03%	0.44%
Expected Yearly	-0.29%	4.74%
Kelly Criterion	30.07%	85.55%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.63%	-0.01%
Expected Shortfall (cVaR)	-2.63%	-0.01%
Max Consecutive Wins	7	224
Max Consecutive Losses	4	23
Gain/Pain Ratio	0.04	19.27
Gain/Pain (1M)	0.52	19.27
Payoff Ratio	1.81	2.46
Profit Factor	1.04	20.27
Common Sense Ratio	1.01	470.23
CPC Index	1.03	44.69
Tail Ratio	0.97	23.19
Outlier Win Ratio	3.56	71.88
Outlier Loss Ratio	2.41	156.56
MTD	0.39%	0.2%
3M	-0.59%	0.77%
6M	-0.66%	2.14%
YTD	-0.03%	5.25%
1Y	-2.0%	6.37%
3Y (ann.)	-0.35%	5.75%
5Y (ann.)	-0.35%	5.75%
10Y (ann.)	-0.35%	5.75%
All-time (ann.)	-0.35%	5.75%
Best Day	19.88%	0.1%
Worst Day	-16.07%	-0.02%
Best Month	1.73%	1.62%
Worst Month	-4.12%	-0.4%
Best Year	-0.03%	5.25%
Worst Year	-0.56%	4.23%
Avg. Drawdown	-4.4%	-0.24%
Avg. Drawdown Days	53	50
Recovery Factor	-0.04	24.27
Ulcer Index	0.05	0.0
Serenity Index	-0.02	23.72
Avg. Up Month	0.73%	0.56%
Avg. Down Month	-1.1%	-0.24%
Win Days	54.96%	89.73%
Win Month	61.9%	90.48%
Win Quarter	62.5%	100.0%
Win Year	0.0%	100.0%
Beta	0.5	-
Alpha	0.0	-
Correlation	0.7%	-
Treynor Ratio	-1.18%	-