FMMM[Strategy] vs RUB Inflation[Benchmark]

4 Oct, 2024 - 8 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	30.28%	13.02%
CAGR﹪	19.15%	8.45%
Sharpe	5.89	20.2
Prob. Sharpe Ratio	99.74%	-
Smart Sharpe	3.96	13.57
Sortino	8.45	120.57
Smart Sortino	5.68	81.03
Sortino/√2	5.97	85.26
Smart Sortino/√2	4.02	57.3
Omega	7.69	7.69
Max Drawdown	-2.36%	-0.4%
Longest DD Days	50	64
Volatility (ann.)	2.6%	0.35%
R^2	0.0	0.0
Information Ratio	0.2	0.2
Calmar	8.11	21.12
Skew	-3.25	0.46
Kurtosis	159.64	-0.17
Expected Daily	0.06%	0.03%
Expected Monthly	1.4%	0.65%
Expected Yearly	9.22%	4.17%
Kelly Criterion	80.98%	90.9%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.21%	-0.01%
Expected Shortfall (cVaR)	-0.21%	-0.01%
Max Consecutive Wins	83	218
Max Consecutive Losses	2	27
Gain/Pain Ratio	6.69	30.56
Gain/Pain (1M)	-	30.56
Payoff Ratio	2.09	2.13
Profit Factor	7.69	31.56
Common Sense Ratio	52.84	146.1
CPC Index	13.99	63.07
Tail Ratio	6.87	4.63
Outlier Win Ratio	2.17	5.6
Outlier Loss Ratio	0.57	2.79
MTD	0.25%	0.23%
3M	3.77%	3.26%
6M	8.02%	4.57%
YTD	3.89%	3.41%
1Y	18.47%	6.22%
3Y (ann.)	19.15%	8.45%
5Y (ann.)	19.15%	8.45%
10Y (ann.)	19.15%	8.45%
All-time (ann.)	19.15%	8.45%
Best Day	2.05%	0.07%
Worst Day	-2.36%	-0.01%
Best Month	2.23%	1.62%
Worst Month	0.25%	-0.4%
Best Year	19.66%	5.6%
Worst Year	3.89%	3.41%
Avg. Drawdown	-0.09%	-0.4%
Avg. Drawdown Days	3	64
Recovery Factor	12.82	32.56
Ulcer Index	0.0	0.0
Serenity Index	16.17	20.77
Avg. Up Month	1.4%	0.71%
Avg. Down Month	-	-
Win Days	87.14%	93.81%
Win Month	100.0%	94.74%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.23	-
Alpha	0.14	-
Correlation	3.07%	-
Treynor Ratio	132.95%	-