FMMM[Strategy] vs INav[Benchmark]

17 Oct, 2024 - 27 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	97.0%
Cumulative Return	18.09%	18.08%
CAGR﹪	21.32%	21.31%
Sharpe	12.14	12.24
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	9.8	9.88
Sortino	38.55	141.31
Smart Sortino	31.11	114.06
Sortino/√2	27.26	99.92
Smart Sortino/√2	22.0	80.65
Omega	15.44	15.44
Max Drawdown	-0.22%	-0.0%
Longest DD Days	5	1
Volatility (ann.)	1.02%	1.01%
R^2	0.01	0.01
Information Ratio	0.0	0.0
Calmar	96.12	7252.56
Skew	1.47	4.15
Kurtosis	8.9	30.41
Expected Daily	0.08%	0.08%
Expected Monthly	1.52%	1.52%
Expected Yearly	8.67%	8.66%
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	80
Max Consecutive Losses	1	1
Gain/Pain Ratio	37.92	5659.63
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	38.92	5660.63
Common Sense Ratio	416.15	21909.57
CPC Index	-	-
Tail Ratio	10.69	3.87
Outlier Win Ratio	3.77	3.98
Outlier Loss Ratio	0.37	7.98
MTD	1.22%	1.28%
3M	4.84%	4.92%
6M	10.16%	10.14%
YTD	13.03%	13.82%
1Y	18.09%	18.08%
3Y (ann.)	21.32%	21.31%
5Y (ann.)	21.32%	21.31%
10Y (ann.)	21.32%	21.31%
All-time (ann.)	21.32%	21.31%
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	13.03%	13.82%
Worst Year	4.48%	3.74%
Avg. Drawdown	-0.06%	-0.0%
Avg. Drawdown Days	2	1
Recovery Factor	81.55	6153.07
Ulcer Index	0.0	0.0
Serenity Index	1004.44	10425152.61
Avg. Up Month	1.52%	1.52%
Avg. Down Month	-	-
Win Days	96.79%	99.53%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.09	-
Alpha	0.21	-
Correlation	-9.0%	-
Treynor Ratio	-122.1%	-