FMMM[Strategy] vs INav[Benchmark]

17 Oct, 2024 - 1 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	96.0%
Cumulative Return	14.83%	14.82%
CAGR﹪	21.71%	21.69%
Sharpe	12.17	11.9
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	9.67	9.46
Sortino	39.37	132.03
Smart Sortino	31.29	104.93
Sortino/√2	27.84	93.36
Smart Sortino/√2	22.12	74.2
Omega	19.27	19.27
Max Drawdown	-0.22%	-0.0%
Longest DD Days	5	1
Volatility (ann.)	1.05%	1.08%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	97.86	7383.19
Skew	1.59	4.11
Kurtosis	9.37	28.57
Expected Daily	0.08%	0.08%
Expected Monthly	1.39%	1.39%
Expected Yearly	7.16%	7.16%
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	83	80
Max Consecutive Losses	1	1
Gain/Pain Ratio	42.25	4708.18
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	43.25	4709.18
Common Sense Ratio	284.79	28630.57
CPC Index	-	-
Tail Ratio	6.59	6.08
Outlier Win Ratio	3.94	4.11
Outlier Loss Ratio	0.25	6.91
MTD	0.05%	0.15%
3M	5.15%	5.26%
6M	9.91%	10.68%
YTD	9.91%	10.68%
1Y	14.83%	14.82%
3Y (ann.)	21.71%	21.69%
5Y (ann.)	21.71%	21.69%
10Y (ann.)	21.71%	21.69%
All-time (ann.)	21.71%	21.69%
Best Day	0.43%	0.65%
Worst Day	-0.22%	-0.0%
Best Month	2.23%	1.86%
Worst Month	0.05%	0.15%
Best Year	9.91%	10.68%
Worst Year	4.48%	3.74%
Avg. Drawdown	-0.08%	-0.0%
Avg. Drawdown Days	3	1
Recovery Factor	66.87	5045.67
Ulcer Index	0.0	0.0
Serenity Index	638.28	6347436.7
Avg. Up Month	1.39%	1.39%
Avg. Down Month	-	-
Win Days	97.74%	99.41%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.06	-
Alpha	0.21	-
Correlation	-5.69%	-
Treynor Ratio	-140.61%	-