SMCF[Strategy] vs RUB Inflation[Benchmark]

17 Feb, 2025 - 26 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	88.0%	99.0%
Cumulative Return	-0.81%	2.61%
CAGR﹪	-2.29%	7.58%
Sharpe	0.18	28.74
Prob. Sharpe Ratio	54.01%	-
Smart Sharpe	0.11	17.03
Sortino	0.28	-
Smart Sortino	0.17	-
Sortino/√2	0.2	-
Smart Sortino/√2	0.12	-
Omega	1.07	1.07
Max Drawdown	-16.5%	-
Longest DD Days	-	-
Volatility (ann.)	47.87%	0.28%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	-0.14	-
Skew	1.71	2.22
Kurtosis	33.72	3.76
Expected Daily	-0.01%	0.03%
Expected Monthly	-0.16%	0.52%
Expected Yearly	-0.81%	2.61%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.93%	-0.0%
Expected Shortfall (cVaR)	-4.93%	-0.0%
Max Consecutive Wins	4	79
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.07	-
Gain/Pain (1M)	0.66	-
Payoff Ratio	-	-
Profit Factor	1.07	-
Common Sense Ratio	0.98	-
CPC Index	-	-
Tail Ratio	0.92	3.44
Outlier Win Ratio	4.22	111.7
Outlier Loss Ratio	2.91	-
MTD	1.73%	0.38%
3M	0.89%	1.34%
6M	-0.81%	2.61%
YTD	-0.81%	2.61%
1Y	-0.81%	2.61%
3Y (ann.)	-2.29%	7.58%
5Y (ann.)	-2.29%	7.58%
10Y (ann.)	-2.29%	7.58%
All-time (ann.)	-2.29%	7.58%
Best Day	19.88%	0.08%
Worst Day	-16.07%	0.0%
Best Month	1.73%	0.73%
Worst Month	-4.12%	0.38%
Best Year	-0.81%	2.61%
Worst Year	-0.81%	2.61%
Avg. Drawdown	-4.09%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.05	-
Ulcer Index	0.03	0.0
Serenity Index	-0.11	-
Avg. Up Month	0.85%	0.54%
Avg. Down Month	-	-
Win Days	52.86%	100.0%
Win Month	80.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	0.0%	100.0%
Beta	0.6	-
Alpha	0.04	-
Correlation	0.35%	-
Treynor Ratio	-1.36%	-