FMMM[Strategy] vs INav[Benchmark]

17 Oct, 2024 - 28 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	97.0%
Cumulative Return	21.32%	21.42%
CAGR﹪	20.63%	20.73%
Sharpe	11.64	12.38
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	9.49	10.1
Sortino	36.49	148.24
Smart Sortino	29.77	120.93
Sortino/√2	25.8	104.82
Smart Sortino/√2	21.05	85.51
Omega	11.55	11.55
Max Drawdown	-0.22%	-0.0%
Longest DD Days	5	1
Volatility (ann.)	1.01%	0.96%
R^2	0.01	0.01
Information Ratio	-0.0	-0.0
Calmar	93.01	7055.34
Skew	1.33	4.19
Kurtosis	7.74	32.15
Expected Daily	0.07%	0.07%
Expected Monthly	1.5%	1.5%
Expected Yearly	10.14%	10.19%
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	97
Max Consecutive Losses	1	1
Gain/Pain Ratio	33.33	6608.94
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	34.33	6609.94
Common Sense Ratio	-	26478.3
CPC Index	-	-
Tail Ratio	-	4.01
Outlier Win Ratio	3.35	3.6
Outlier Loss Ratio	0.5	7.59
MTD	1.1%	1.24%
3M	4.23%	4.46%
6M	9.44%	9.61%
YTD	16.11%	17.04%
1Y	20.87%	20.97%
3Y (ann.)	20.63%	20.73%
5Y (ann.)	20.63%	20.73%
10Y (ann.)	20.63%	20.73%
All-time (ann.)	20.63%	20.73%
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	16.11%	17.04%
Worst Year	4.48%	3.74%
Avg. Drawdown	-0.04%	-0.0%
Avg. Drawdown Days	2	1
Recovery Factor	96.09	7289.28
Ulcer Index	0.0	0.0
Serenity Index	1441.51	15477590.62
Avg. Up Month	1.5%	1.5%
Avg. Down Month	-	-
Win Days	94.98%	99.61%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.12	-
Alpha	0.21	-
Correlation	-10.97%	-
Treynor Ratio	-123.54%	-