FMMM RUB[Strategy] vs Deposit RUB[Benchmark]

4 Oct, 2024 - 27 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	25.02%	25.75%
CAGR﹪	19.91%	20.47%
Sharpe	5.62	58.39
Prob. Sharpe Ratio	99.58%	-
Smart Sharpe	3.73	38.75
Sortino	7.96	-
Smart Sortino	5.28	-
Sortino/√2	5.63	-
Smart Sortino/√2	3.74	-
Omega	7.25	7.25
Max Drawdown	-2.36%	-
Longest DD Days	-	-
Volatility (ann.)	2.86%	0.28%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	8.43	-
Skew	-3.09	-0.13
Kurtosis	136.03	-1.33
Expected Daily	0.06%	0.07%
Expected Monthly	1.5%	1.54%
Expected Yearly	11.81%	12.14%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.23%	-0.04%
Expected Shortfall (cVaR)	-0.23%	-0.04%
Max Consecutive Wins	83	351
Max Consecutive Losses	2	0
Gain/Pain Ratio	6.25	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	7.25	-
Common Sense Ratio	49.63	-
CPC Index	-	-
Tail Ratio	6.84	2.02
Outlier Win Ratio	2.59	3.26
Outlier Loss Ratio	0.13	-
MTD	1.27%	1.28%
3M	4.0%	4.11%
6M	8.83%	8.4%
YTD	19.31%	19.39%
1Y	20.26%	19.68%
3Y (ann.)	19.91%	20.47%
5Y (ann.)	19.91%	20.47%
10Y (ann.)	19.91%	20.47%
All-time (ann.)	19.91%	20.47%
Best Day	2.05%	0.09%
Worst Day	-2.36%	0.0%
Best Month	2.23%	1.83%
Worst Month	0.99%	1.28%
Best Year	19.31%	19.39%
Worst Year	4.79%	5.32%
Avg. Drawdown	-0.11%	-
Avg. Drawdown Days	-	-
Recovery Factor	10.6	-
Ulcer Index	0.0	0.0
Serenity Index	11.74	-
Avg. Up Month	1.5%	1.54%
Avg. Down Month	-	-
Win Days	89.68%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.71	-
Alpha	0.04	-
Correlation	6.97%	-
Treynor Ratio	35.35%	-