SMCF[Strategy] vs RUB Inflation[Benchmark]

17 Feb, 2025 - 6 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	100.0%
Cumulative Return	-0.4%	8.51%
CAGR﹪	-0.38%	8.11%
Sharpe	0.15	15.85
Prob. Sharpe Ratio	55.79%	-
Smart Sharpe	0.09	9.05
Sortino	0.23	91.59
Smart Sortino	0.13	52.32
Sortino/√2	0.16	64.77
Smart Sortino/√2	0.09	37.0
Omega	1.05	1.05
Max Drawdown	-16.5%	-0.4%
Longest DD Days	211	63
Volatility (ann.)	33.03%	0.55%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	-0.02	20.28
Skew	1.72	0.9
Kurtosis	49.74	-0.0
Expected Daily	-0.0%	0.03%
Expected Monthly	-0.03%	0.58%
Expected Yearly	-0.2%	4.17%
Kelly Criterion	35.81%	87.52%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.4%	-0.02%
Expected Shortfall (cVaR)	-3.4%	-0.02%
Max Consecutive Wins	7	115
Max Consecutive Losses	4	19
Gain/Pain Ratio	0.05	20.38
Gain/Pain (1M)	0.68	20.38
Payoff Ratio	2.3	1.82
Profit Factor	1.05	21.38
Common Sense Ratio	0.95	101.85
CPC Index	1.33	35.77
Tail Ratio	0.91	4.76
Outlier Win Ratio	2.52	49.14
Outlier Loss Ratio	1.96	96.59
MTD	0.26%	0.5%
3M	-0.86%	4.36%
6M	-1.57%	5.66%
YTD	0.16%	4.1%
1Y	-0.1%	7.62%
3Y (ann.)	-0.38%	8.11%
5Y (ann.)	-0.38%	8.11%
10Y (ann.)	-0.38%	8.11%
All-time (ann.)	-0.38%	8.11%
Best Day	19.88%	0.1%
Worst Day	-16.07%	-0.02%
Best Month	1.73%	1.93%
Worst Month	-4.12%	-0.4%
Best Year	0.16%	4.23%
Worst Year	-0.56%	4.1%
Avg. Drawdown	-4.36%	-0.4%
Avg. Drawdown Days	33	63
Recovery Factor	-0.02	21.27
Ulcer Index	0.04	0.0
Serenity Index	-0.03	18.72
Avg. Up Month	0.84%	0.6%
Avg. Down Month	-0.69%	-0.4%
Win Days	55.25%	91.95%
Win Month	64.29%	92.86%
Win Quarter	60.0%	100.0%
Win Year	50.0%	100.0%
Beta	0.07	-
Alpha	0.04	-
Correlation	0.11%	-
Treynor Ratio	-6.09%	-