SMCF[Strategy] vs RUB Inflation[Benchmark]

17 Feb, 2025 - 11 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	89.0%	99.0%
Cumulative Return	-1.12%	2.85%
CAGR﹪	-2.82%	7.38%
Sharpe	0.15	29.43
Prob. Sharpe Ratio	53.56%	-
Smart Sharpe	0.09	17.44
Sortino	0.24	-
Smart Sortino	0.14	-
Sortino/√2	0.17	-
Smart Sortino/√2	0.1	-
Omega	1.06	1.06
Max Drawdown	-16.5%	-
Longest DD Days	-	-
Volatility (ann.)	45.43%	0.27%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	-0.17	-
Skew	1.8	2.4
Kurtosis	37.36	4.67
Expected Daily	-0.01%	0.03%
Expected Monthly	-0.19%	0.47%
Expected Yearly	-1.12%	2.85%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.68%	-0.0%
Expected Shortfall (cVaR)	-4.68%	-0.0%
Max Consecutive Wins	4	88
Max Consecutive Losses	4	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.55	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	0.96	-
CPC Index	-	-
Tail Ratio	0.91	3.44
Outlier Win Ratio	3.58	91.19
Outlier Loss Ratio	2.6	-
MTD	-0.31%	0.23%
3M	-0.24%	1.35%
6M	-1.12%	2.85%
YTD	-1.12%	2.85%
1Y	-1.12%	2.85%
3Y (ann.)	-2.82%	7.38%
5Y (ann.)	-2.82%	7.38%
10Y (ann.)	-2.82%	7.38%
All-time (ann.)	-2.82%	7.38%
Best Day	19.88%	0.08%
Worst Day	-16.07%	0.0%
Best Month	1.73%	0.73%
Worst Month	-4.12%	0.23%
Best Year	-1.12%	2.85%
Worst Year	-1.12%	2.85%
Avg. Drawdown	-4.09%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.07	-
Ulcer Index	0.03	0.0
Serenity Index	-0.15	-
Avg. Up Month	0.85%	0.54%
Avg. Down Month	-	-
Win Days	53.16%	100.0%
Win Month	66.67%	100.0%
Win Quarter	33.33%	100.0%
Win Year	0.0%	100.0%
Beta	0.74	-
Alpha	0.01	-
Correlation	0.44%	-
Treynor Ratio	-1.52%	-