FMMM[Strategy] vs INav[Benchmark]

17 Oct, 2024 - 30 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	97.0%
Cumulative Return	31.19%	30.97%
CAGR﹪	19.36%	19.23%
Sharpe	10.81	10.93
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	8.87	8.97
Sortino	32.97	122.7
Smart Sortino	27.05	100.67
Sortino/√2	23.31	86.76
Smart Sortino/√2	19.13	71.18
Omega	8.07	8.07
Max Drawdown	-0.22%	-0.0%
Longest DD Days	5	3
Volatility (ann.)	1.0%	0.98%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	87.26	6544.16
Skew	1.04	4.74
Kurtosis	5.39	37.19
Expected Daily	0.07%	0.07%
Expected Monthly	1.44%	1.43%
Expected Yearly	9.47%	9.41%
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	26.78	6027.27
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	27.78	6028.27
Common Sense Ratio	307.75	27432.77
CPC Index	-	-
Tail Ratio	11.08	4.55
Outlier Win Ratio	2.94	3.33
Outlier Loss Ratio	0.78	11.08
MTD	1.25%	1.16%
3M	3.85%	3.63%
6M	7.94%	7.82%
YTD	4.94%	5.01%
1Y	18.18%	17.98%
3Y (ann.)	19.36%	19.23%
5Y (ann.)	19.36%	19.23%
10Y (ann.)	19.36%	19.23%
All-time (ann.)	19.36%	19.23%
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	4.48%	3.74%
Avg. Drawdown	-0.03%	-0.0%
Avg. Drawdown Days	1	2
Recovery Factor	140.61	10541.63
Ulcer Index	0.0	0.0
Serenity Index	2871.14	30551962.77
Avg. Up Month	1.44%	1.43%
Avg. Down Month	-	-
Win Days	91.6%	99.47%
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	-10.88%	-
Treynor Ratio	-217.6%	-