FMMM[Strategy] vs INav[Benchmark]

17 Oct, 2024 - 16 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	96.0%
Cumulative Return	12.14%	12.04%
CAGR﹪	21.91%	21.74%
Sharpe	11.55	11.42
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	9.18	9.08
Sortino	35.93	126.31
Smart Sortino	28.57	100.43
Sortino/√2	25.4	89.31
Smart Sortino/√2	20.2	71.01
Omega	16.19	16.19
Max Drawdown	-0.22%	-0.0%
Longest DD Days	5	1
Volatility (ann.)	1.12%	1.12%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	98.79	7399.04
Skew	1.57	4.35
Kurtosis	8.89	30.2
Expected Daily	0.08%	0.08%
Expected Monthly	1.44%	1.43%
Expected Yearly	5.89%	5.85%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.04%	-0.04%
Expected Shortfall (cVaR)	-0.04%	-0.04%
Max Consecutive Wins	52	80
Max Consecutive Losses	1	1
Gain/Pain Ratio	34.99	3873.08
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	35.99	3874.08
Common Sense Ratio	292.61	66778.95
CPC Index	-	-
Tail Ratio	8.13	17.24
Outlier Win Ratio	3.93	4.15
Outlier Loss Ratio	0.27	7.47
MTD	0.91%	0.87%
3M	5.17%	5.23%
6M	10.5%	10.42%
YTD	7.33%	8.0%
1Y	12.14%	12.04%
3Y (ann.)	21.91%	21.74%
5Y (ann.)	21.91%	21.74%
10Y (ann.)	21.91%	21.74%
All-time (ann.)	21.91%	21.74%
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	7.33%	8.0%
Worst Year	4.48%	3.74%
Avg. Drawdown	-0.08%	-0.0%
Avg. Drawdown Days	3	1
Recovery Factor	54.71	4098.99
Ulcer Index	0.0	0.0
Serenity Index	363.06	3482619.54
Avg. Up Month	1.44%	1.43%
Avg. Down Month	-	-
Win Days	97.26%	99.29%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.04	-
Alpha	0.2	-
Correlation	-4.13%	-
Treynor Ratio	-124.45%	-