FMMM[Strategy] vs INav[Benchmark]

17 Oct, 2024 - 17 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	97.0%
Cumulative Return	28.86%	28.82%
CAGR﹪	19.65%	19.62%
Sharpe	11.01	11.02
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	9.0	9.01
Sortino	33.49	126.3
Smart Sortino	27.37	103.22
Sortino/√2	23.68	89.31
Smart Sortino/√2	19.35	72.99
Omega	8.69	8.69
Max Drawdown	-0.22%	-0.0%
Longest DD Days	5	1
Volatility (ann.)	1.01%	1.01%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	88.57	6677.17
Skew	1.06	4.68
Kurtosis	5.62	35.78
Expected Daily	0.07%	0.07%
Expected Monthly	1.42%	1.42%
Expected Yearly	8.82%	8.81%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.03%	-0.03%
Expected Shortfall (cVaR)	-0.03%	-0.03%
Max Consecutive Wins	99	101
Max Consecutive Losses	2	1
Gain/Pain Ratio	26.41	8624.78
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	27.41	8625.78
Common Sense Ratio	276.49	38538.88
CPC Index	-	-
Tail Ratio	10.09	4.47
Outlier Win Ratio	2.97	3.32
Outlier Loss Ratio	0.7	8.82
MTD	0.75%	0.73%
3M	3.92%	3.89%
6M	8.09%	8.09%
YTD	3.07%	3.28%
1Y	19.01%	19.11%
3Y (ann.)	19.65%	19.62%
5Y (ann.)	19.65%	19.62%
10Y (ann.)	19.65%	19.62%
All-time (ann.)	19.65%	19.62%
Best Day	0.43%	0.65%
Worst Day	-0.22%	-0.0%
Best Month	2.23%	1.86%
Worst Month	0.69%	0.67%
Best Year	19.66%	20.23%
Worst Year	3.07%	3.28%
Avg. Drawdown	-0.04%	-0.0%
Avg. Drawdown Days	1	1
Recovery Factor	130.11	9808.9
Ulcer Index	0.0	0.0
Serenity Index	2414.8	33724976.54
Avg. Up Month	1.42%	1.42%
Avg. Down Month	-	-
Win Days	92.59%	99.71%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.11	-
Alpha	0.2	-
Correlation	-10.61%	-
Treynor Ratio	-205.28%	-