FMMM RUB[Strategy] vs Deposit RUB[Benchmark]

4 Oct, 2024 - 22 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	33.95%	34.49%
CAGR﹪	18.58%	18.86%
Sharpe	5.99	51.08
Prob. Sharpe Ratio	99.81%	-
Smart Sharpe	4.07	34.68
Sortino	8.66	-
Smart Sortino	5.88	-
Sortino/√2	6.13	-
Smart Sortino/√2	4.16	-
Omega	7.92	7.92
Max Drawdown	-2.36%	-
Longest DD Days	-	-
Volatility (ann.)	2.43%	0.29%
R^2	0.01	0.01
Information Ratio	-0.0	-0.0
Calmar	7.87	-
Skew	-3.36	0.41
Kurtosis	179.23	-1.26
Expected Daily	0.06%	0.06%
Expected Monthly	1.4%	1.42%
Expected Yearly	10.23%	10.38%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.19%	-0.03%
Expected Shortfall (cVaR)	-0.19%	-0.03%
Max Consecutive Wins	83	506
Max Consecutive Losses	2	0
Gain/Pain Ratio	6.92	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	7.92	-
Common Sense Ratio	54.42	-
CPC Index	-	-
Tail Ratio	6.87	2.4
Outlier Win Ratio	2.03	2.66
Outlier Loss Ratio	0.25	-
MTD	0.71%	1.08%
3M	3.42%	3.67%
6M	7.45%	7.4%
YTD	6.82%	6.96%
1Y	16.86%	16.26%
3Y (ann.)	18.58%	18.86%
5Y (ann.)	18.58%	18.86%
10Y (ann.)	18.58%	18.86%
All-time (ann.)	18.58%	18.86%
Best Day	2.05%	0.09%
Worst Day	-2.36%	0.0%
Best Month	2.23%	1.83%
Worst Month	0.71%	1.08%
Best Year	19.66%	19.38%
Worst Year	4.79%	5.32%
Avg. Drawdown	-0.07%	-
Avg. Drawdown Days	-	-
Recovery Factor	14.38	-
Ulcer Index	0.0	0.0
Serenity Index	19.79	-
Avg. Up Month	1.4%	1.42%
Avg. Down Month	-	-
Win Days	85.8%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.74	-
Alpha	0.04	-
Correlation	8.73%	-
Treynor Ratio	46.16%	-