FMMM RUB[Strategy] vs Deposit RUB[Benchmark]

4 Oct, 2024 - 22 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	93.0%
Cumulative Return	0.47%	1.52%
CAGR﹪	9.96%	35.8%
Sharpe	0.7	52.83
Prob. Sharpe Ratio	55.94%	95.5%
Smart Sharpe	0.46	34.64
Sortino	0.97	-
Smart Sortino	0.63	-
Sortino/√2	0.68	-
Smart Sortino/√2	0.45	-
Omega	1.22	1.22
Max Drawdown	-2.36%	-
Longest DD Days	-	-
Volatility (ann.)	14.41%	0.55%
R^2	0.0	0.0
Information Ratio	-0.08	-0.08
Calmar	4.22	-
Skew	-0.75	-3.61
Kurtosis	6.14	13.0
Expected Daily	0.04%	0.12%
Expected Monthly	0.47%	1.52%
Expected Yearly	0.47%	1.52%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.45%	-0.06%
Expected Shortfall (cVaR)	-1.45%	-0.06%
Max Consecutive Wins	9	12
Max Consecutive Losses	1	0
Gain/Pain Ratio	0.22	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	1.22	-
Common Sense Ratio	1.29	-
CPC Index	-	-
Tail Ratio	1.06	1.67
Outlier Win Ratio	4.1	8.47
Outlier Loss Ratio	0.44	-
MTD	0.47%	1.52%
3M	0.47%	1.52%
6M	0.47%	1.52%
YTD	0.47%	1.52%
1Y	0.47%	1.52%
3Y (ann.)	9.96%	35.8%
5Y (ann.)	9.96%	35.8%
10Y (ann.)	9.96%	35.8%
All-time (ann.)	9.96%	35.8%
Best Day	2.05%	0.13%
Worst Day	-2.36%	0.0%
Best Month	0.47%	1.52%
Worst Month	0.47%	1.52%
Best Year	0.47%	1.52%
Worst Year	0.47%	1.52%
Avg. Drawdown	-2.36%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.2	-
Ulcer Index	0.02	0.0
Serenity Index	0.07	-
Avg. Up Month	0.47%	1.52%
Avg. Down Month	-	-
Win Days	91.67%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.34	-
Alpha	-0.0	-
Correlation	1.32%	-
Treynor Ratio	1.37%	-