FMMM RUB[Strategy] vs Deposit RUB[Benchmark]

4 Oct, 2024 - 7 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	22.43%	22.83%
CAGR﹪	20.34%	20.7%
Sharpe	5.49	57.79
Prob. Sharpe Ratio	99.44%	-
Smart Sharpe	3.62	38.11
Sortino	7.72	-
Smart Sortino	5.09	-
Sortino/√2	5.46	-
Smart Sortino/√2	3.6	-
Omega	7.08	7.08
Max Drawdown	-2.36%	-
Longest DD Days	-	-
Volatility (ann.)	3.03%	0.29%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	8.61	-
Skew	-3.01	-0.38
Kurtosis	123.18	-1.26
Expected Daily	0.07%	0.07%
Expected Monthly	1.46%	1.48%
Expected Yearly	10.65%	10.83%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.25%	-0.04%
Expected Shortfall (cVaR)	-0.25%	-0.04%
Max Consecutive Wins	83	307
Max Consecutive Losses	2	0
Gain/Pain Ratio	6.08	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	7.08	-
Common Sense Ratio	49.45	-
CPC Index	-	-
Tail Ratio	6.98	2.02
Outlier Win Ratio	2.71	3.42
Outlier Loss Ratio	0.1	-
MTD	0.38%	0.22%
3M	4.38%	3.96%
6M	9.55%	8.68%
YTD	16.83%	16.62%
1Y	20.87%	20.49%
3Y (ann.)	20.34%	20.7%
5Y (ann.)	20.34%	20.7%
10Y (ann.)	20.34%	20.7%
All-time (ann.)	20.34%	20.7%
Best Day	2.05%	0.09%
Worst Day	-2.36%	0.0%
Best Month	2.23%	1.83%
Worst Month	0.38%	0.22%
Best Year	16.83%	16.62%
Worst Year	4.79%	5.32%
Avg. Drawdown	-0.14%	-
Avg. Drawdown Days	-	-
Recovery Factor	9.5	-
Ulcer Index	0.0	0.0
Serenity Index	9.72	-
Avg. Up Month	1.46%	1.48%
Avg. Down Month	-	-
Win Days	90.94%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.65	-
Alpha	0.06	-
Correlation	6.27%	-
Treynor Ratio	34.43%	-