FMMM RUB[Strategy] vs Deposit RUB[Benchmark]

4 Oct, 2024 - 30 Dec, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	99.0%
Cumulative Return	4.79%	5.37%
CAGR﹪	21.7%	24.55%
Sharpe	2.94	122.96
Prob. Sharpe Ratio	87.88%	97.56%
Smart Sharpe	1.9	79.46
Sortino	4.01	-
Smart Sortino	2.59	-
Sortino/√2	2.84	-
Smart Sortino/√2	1.83	-
Omega	2.96	2.96
Max Drawdown	-2.36%	-
Longest DD Days	-	-
Volatility (ann.)	6.44%	0.17%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	9.19	-
Skew	-1.67	-7.73
Kurtosis	30.03	60.81
Expected Daily	0.07%	0.08%
Expected Monthly	1.57%	1.76%
Expected Yearly	4.79%	5.37%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.59%	-0.07%
Expected Shortfall (cVaR)	-0.59%	-0.07%
Max Consecutive Wins	32	62
Max Consecutive Losses	1	0
Gain/Pain Ratio	1.96	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	2.96	-
Common Sense Ratio	72.65	-
CPC Index	-	-
Tail Ratio	24.5	1.04
Outlier Win Ratio	4.69	6.61
Outlier Loss Ratio	0.36	-
MTD	2.23%	1.86%
3M	4.79%	5.37%
6M	4.79%	5.37%
YTD	4.79%	5.37%
1Y	4.79%	5.37%
3Y (ann.)	21.7%	24.55%
5Y (ann.)	21.7%	24.55%
10Y (ann.)	21.7%	24.55%
All-time (ann.)	21.7%	24.55%
Best Day	2.05%	0.09%
Worst Day	-2.36%	0.0%
Best Month	2.23%	1.86%
Worst Month	0.99%	1.6%
Best Year	4.79%	5.37%
Worst Year	4.79%	5.37%
Avg. Drawdown	-2.36%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.03	-
Ulcer Index	0.01	0.0
Serenity Index	0.88	-
Avg. Up Month	1.57%	1.76%
Avg. Down Month	-	-
Win Days	96.77%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.89	-
Alpha	0.0	-
Correlation	2.36%	-
Treynor Ratio	5.37%	-