SMCF[Strategy] vs RUB Inflation[Benchmark]

17 Feb, 2025 - 11 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	100.0%
Cumulative Return	0.5%	9.89%
CAGR﹪	0.32%	6.21%
Sharpe	0.14	17.77
Prob. Sharpe Ratio	56.99%	100.0%
Smart Sharpe	0.08	10.18
Sortino	0.22	83.78
Smart Sortino	0.12	48.01
Sortino/√2	0.15	59.24
Smart Sortino/√2	0.09	33.95
Omega	1.05	1.05
Max Drawdown	-16.5%	-0.4%
Longest DD Days	263	63
Volatility (ann.)	26.46%	0.35%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.02	15.54
Skew	2.1	1.54
Kurtosis	76.4	4.61
Expected Daily	0.0%	0.02%
Expected Monthly	0.02%	0.47%
Expected Yearly	0.25%	4.83%
Kelly Criterion	29.53%	91.01%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.73%	-0.01%
Expected Shortfall (cVaR)	-2.73%	-0.01%
Max Consecutive Wins	7	256
Max Consecutive Losses	4	19
Gain/Pain Ratio	0.05	23.54
Gain/Pain (1M)	0.67	23.54
Payoff Ratio	1.67	1.27
Profit Factor	1.05	24.54
Common Sense Ratio	1.04	625.98
CPC Index	0.98	29.71
Tail Ratio	0.99	25.51
Outlier Win Ratio	3.42	69.68
Outlier Loss Ratio	2.32	87.17
MTD	0.98%	0.18%
3M	0.77%	1.76%
6M	0.7%	2.8%
YTD	1.06%	5.43%
1Y	-0.69%	7.01%
3Y (ann.)	0.32%	6.21%
5Y (ann.)	0.32%	6.21%
10Y (ann.)	0.32%	6.21%
All-time (ann.)	0.32%	6.21%
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	1.06%	5.43%
Worst Year	-0.56%	4.23%
Avg. Drawdown	-4.4%	-0.4%
Avg. Drawdown Days	50	63
Recovery Factor	0.03	24.73
Ulcer Index	0.05	0.0
Serenity Index	0.02	22.86
Avg. Up Month	0.77%	0.56%
Avg. Down Month	-0.69%	-0.4%
Win Days	55.94%	94.96%
Win Month	65.0%	95.0%
Win Quarter	57.14%	100.0%
Win Year	50.0%	100.0%
Beta	0.27	-
Alpha	0.02	-
Correlation	0.37%	-
Treynor Ratio	1.81%	-