FMMM[Strategy] vs INav[Benchmark]

17 Oct, 2024 - 30 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	98.0%
Cumulative Return	40.25%	40.09%
CAGR﹪	18.08%	18.01%
Sharpe	10.11	0.63
Prob. Sharpe Ratio	100.0%	44.3%
Smart Sharpe	8.27	0.52
Sortino	28.64	0.99
Smart Sortino	23.43	0.81
Sortino/√2	20.25	0.7
Smart Sortino/√2	16.57	0.57
Omega	6.57	6.57
Max Drawdown	-0.22%	-16.22%
Longest DD Days	5	3
Volatility (ann.)	0.96%	17.75%
R^2	0.02	0.02
Information Ratio	-0.01	-0.01
Calmar	81.5	1.11
Skew	0.94	4.26
Kurtosis	5.18	265.28
Expected Daily	0.07%	0.07%
Expected Monthly	1.36%	1.36%
Expected Yearly	11.94%	11.89%
Kelly Criterion	79.96%	11.15%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.03%	-1.77%
Expected Shortfall (cVaR)	-0.03%	-1.77%
Max Consecutive Wins	99	101
Max Consecutive Losses	2	1
Gain/Pain Ratio	22.39	2.27
Gain/Pain (1M)	-	-
Payoff Ratio	0.86	0.01
Profit Factor	23.39	3.27
Common Sense Ratio	205.86	15.52
CPC Index	18.33	0.02
Tail Ratio	8.8	4.74
Outlier Win Ratio	2.92	2.13
Outlier Loss Ratio	1.02	0.01
MTD	1.19%	1.1%
3M	3.57%	3.45%
6M	7.04%	7.01%
YTD	12.18%	12.32%
1Y	15.39%	15.33%
3Y (ann.)	18.08%	18.01%
5Y (ann.)	18.08%	18.01%
10Y (ann.)	18.08%	18.01%
All-time (ann.)	18.08%	18.01%
Best Day	0.43%	19.55%
Worst Day	-0.22%	-16.22%
Best Month	2.23%	1.86%
Worst Month	0.69%	0.67%
Best Year	19.66%	20.23%
Worst Year	4.48%	3.74%
Avg. Drawdown	-0.03%	-5.41%
Avg. Drawdown Days	1	2
Recovery Factor	181.46	2.47
Ulcer Index	0.0	0.01
Serenity Index	4059.16	43.1
Avg. Up Month	1.36%	1.36%
Avg. Down Month	-	-
Win Days	90.71%	99.4%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.01	-
Alpha	0.16	-
Correlation	12.47%	-
Treynor Ratio	4932.85%	-