SMCF[Strategy] vs RUB Inflation[Benchmark]

17 Feb, 2025 - 19 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	-0.58%	8.33%
CAGR﹪	-0.46%	6.62%
Sharpe	0.13	18.29
Prob. Sharpe Ratio	55.63%	100.0%
Smart Sharpe	0.08	10.47
Sortino	0.2	81.45
Smart Sortino	0.11	46.61
Sortino/√2	0.14	57.59
Smart Sortino/√2	0.08	32.96
Omega	1.04	1.04
Max Drawdown	-16.5%	-0.4%
Longest DD Days	211	63
Volatility (ann.)	30.21%	0.38%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	-0.03	16.54
Skew	1.85	1.29
Kurtosis	58.7	3.57
Expected Daily	-0.0%	0.03%
Expected Monthly	-0.04%	0.5%
Expected Yearly	-0.29%	4.08%
Kelly Criterion	32.57%	88.86%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.11%	-0.01%
Expected Shortfall (cVaR)	-3.11%	-0.01%
Max Consecutive Wins	7	166
Max Consecutive Losses	4	19
Gain/Pain Ratio	0.04	19.98
Gain/Pain (1M)	0.6	19.98
Payoff Ratio	2.12	1.46
Profit Factor	1.04	20.98
Common Sense Ratio	1.06	99.93
CPC Index	1.2	28.66
Tail Ratio	1.02	4.76
Outlier Win Ratio	2.74	61.49
Outlier Loss Ratio	2.14	94.44
MTD	-0.76%	0.33%
3M	-0.71%	1.77%
6M	-3.95%	4.43%
YTD	-0.02%	3.93%
1Y	2.27%	6.16%
3Y (ann.)	-0.46%	6.62%
5Y (ann.)	-0.46%	6.62%
10Y (ann.)	-0.46%	6.62%
All-time (ann.)	-0.46%	6.62%
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	-0.02%	4.23%
Worst Year	-0.56%	3.93%
Avg. Drawdown	-4.4%	-0.4%
Avg. Drawdown Days	40	63
Recovery Factor	-0.03	20.83
Ulcer Index	0.05	0.0
Serenity Index	-0.03	15.7
Avg. Up Month	0.82%	0.61%
Avg. Down Month	-0.69%	-0.4%
Win Days	54.17%	93.38%
Win Month	62.5%	93.75%
Win Quarter	50.0%	100.0%
Win Year	0.0%	100.0%
Beta	0.23	-
Alpha	0.02	-
Correlation	0.29%	-
Treynor Ratio	-2.52%	-