FMMM[Strategy] vs INav[Benchmark]

17 Oct, 2024 - 15 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	97.0%
Cumulative Return	24.01%	23.84%
CAGR﹪	20.36%	20.21%
Sharpe	11.42	12.28
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	9.41	10.12
Sortino	36.22	143.92
Smart Sortino	29.85	118.61
Sortino/√2	25.61	101.77
Smart Sortino/√2	21.11	83.87
Omega	10.53	10.53
Max Drawdown	-0.22%	-0.0%
Longest DD Days	5	1
Volatility (ann.)	1.01%	0.93%
R^2	0.01	0.01
Information Ratio	0.01	0.01
Calmar	91.76	6878.6
Skew	1.25	4.18
Kurtosis	6.92	32.69
Expected Daily	0.07%	0.07%
Expected Monthly	1.45%	1.44%
Expected Yearly	11.36%	11.28%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.03%	-0.02%
Expected Shortfall (cVaR)	-0.03%	-0.02%
Max Consecutive Wins	99	101
Max Consecutive Losses	1	1
Gain/Pain Ratio	32.97	7281.98
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	33.97	7282.98
Common Sense Ratio	737.8	29854.32
CPC Index	-	-
Tail Ratio	21.72	4.1
Outlier Win Ratio	3.01	3.29
Outlier Loss Ratio	0.52	7.2
MTD	0.75%	0.64%
3M	4.16%	4.1%
6M	8.9%	8.95%
YTD	18.7%	19.37%
1Y	20.51%	20.35%
3Y (ann.)	20.36%	20.21%
5Y (ann.)	20.36%	20.21%
10Y (ann.)	20.36%	20.21%
All-time (ann.)	20.36%	20.21%
Best Day	0.43%	0.65%
Worst Day	-0.22%	-0.0%
Best Month	2.23%	1.86%
Worst Month	0.69%	0.64%
Best Year	18.7%	19.37%
Worst Year	4.48%	3.74%
Avg. Drawdown	-0.04%	-0.0%
Avg. Drawdown Days	2	1
Recovery Factor	108.25	8114.24
Ulcer Index	0.0	0.0
Serenity Index	1881.51	19842633.21
Avg. Up Month	1.45%	1.44%
Avg. Down Month	-	-
Win Days	94.5%	99.65%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.13	-
Alpha	0.21	-
Correlation	-12.12%	-
Treynor Ratio	-129.2%	-