FMMM[Strategy] vs RUB Inflation[Benchmark]

4 Oct, 2024 - 22 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	32.43%	12.81%
CAGR﹪	18.81%	7.67%
Sharpe	5.95	18.02
Prob. Sharpe Ratio	99.78%	-
Smart Sharpe	4.02	12.18
Sortino	8.58	113.48
Smart Sortino	5.8	76.7
Sortino/√2	6.06	80.24
Smart Sortino/√2	4.1	54.23
Omega	7.83	7.83
Max Drawdown	-2.36%	-0.4%
Longest DD Days	50	64
Volatility (ann.)	2.5%	0.35%
R^2	0.0	0.0
Information Ratio	0.21	0.21
Calmar	7.97	19.18
Skew	-3.32	0.67
Kurtosis	171.25	-0.13
Expected Daily	0.06%	0.03%
Expected Monthly	1.41%	0.6%
Expected Yearly	9.82%	4.1%
Kelly Criterion	80.16%	91.4%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.2%	-0.01%
Expected Shortfall (cVaR)	-0.2%	-0.01%
Max Consecutive Wins	83	232
Max Consecutive Losses	2	27
Gain/Pain Ratio	6.83	30.08
Gain/Pain (1M)	-	30.08
Payoff Ratio	2.03	1.93
Profit Factor	7.83	31.08
Common Sense Ratio	51.29	141.61
CPC Index	13.77	56.45
Tail Ratio	6.55	4.56
Outlier Win Ratio	2.03	5.68
Outlier Loss Ratio	0.61	2.79
MTD	0.65%	0.09%
3M	3.38%	1.04%
6M	7.49%	3.63%
YTD	5.61%	3.21%
1Y	17.52%	5.4%
3Y (ann.)	18.81%	7.67%
5Y (ann.)	18.81%	7.67%
10Y (ann.)	18.81%	7.67%
All-time (ann.)	18.81%	7.67%
Best Day	2.05%	0.07%
Worst Day	-2.36%	-0.01%
Best Month	2.23%	1.62%
Worst Month	0.65%	-0.4%
Best Year	19.66%	5.6%
Worst Year	4.79%	3.21%
Avg. Drawdown	-0.08%	-0.4%
Avg. Drawdown Days	3	64
Recovery Factor	13.74	32.02
Ulcer Index	0.0	0.0
Serenity Index	18.26	22.61
Avg. Up Month	1.41%	0.66%
Avg. Down Month	-	-
Win Days	86.71%	94.34%
Win Month	100.0%	95.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.32	-
Alpha	0.13	-
Correlation	4.46%	-
Treynor Ratio	102.78%	-