FMMM[Strategy] vs RUB Inflation[Benchmark]

4 Oct, 2024 - 30 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	37.47%	15.02%
CAGR﹪	18.19%	7.62%
Sharpe	6.09	18.87
Prob. Sharpe Ratio	99.85%	-
Smart Sharpe	4.14	12.83
Sortino	8.86	120.41
Smart Sortino	6.02	81.83
Sortino/√2	6.27	85.15
Smart Sortino/√2	4.26	57.87
Omega	7.99	7.99
Max Drawdown	-2.36%	-0.4%
Longest DD Days	50	64
Volatility (ann.)	2.31%	0.33%
R^2	0.0	0.0
Information Ratio	0.21	0.21
Calmar	7.7	19.06
Skew	-3.45	0.8
Kurtosis	195.84	0.37
Expected Daily	0.06%	0.02%
Expected Monthly	1.39%	0.61%
Expected Yearly	11.19%	4.77%
Kelly Criterion	78.87%	92.69%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.18%	-0.01%
Expected Shortfall (cVaR)	-0.18%	-0.01%
Max Consecutive Wins	83	326
Max Consecutive Losses	2	27
Gain/Pain Ratio	6.99	34.91
Gain/Pain (1M)	-	34.91
Payoff Ratio	1.94	1.83
Profit Factor	7.99	35.91
Common Sense Ratio	48.78	520.86
CPC Index	13.34	62.68
Tail Ratio	6.11	14.5
Outlier Win Ratio	1.98	5.51
Outlier Loss Ratio	0.69	2.79
MTD	1.05%	0.45%
3M	3.43%	1.89%
6M	7.15%	2.83%
YTD	9.63%	5.23%
1Y	15.78%	6.87%
3Y (ann.)	18.19%	7.62%
5Y (ann.)	18.19%	7.62%
10Y (ann.)	18.19%	7.62%
All-time (ann.)	18.19%	7.62%
Best Day	2.05%	0.07%
Worst Day	-2.36%	-0.01%
Best Month	2.23%	1.62%
Worst Month	0.99%	-0.4%
Best Year	19.66%	5.6%
Worst Year	4.79%	3.5%
Avg. Drawdown	-0.07%	-0.4%
Avg. Drawdown Days	2	64
Recovery Factor	15.87	37.54
Ulcer Index	0.0	0.0
Serenity Index	23.47	29.6
Avg. Up Month	1.39%	0.66%
Avg. Down Month	-	-
Win Days	86.06%	95.27%
Win Month	100.0%	95.65%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.33	-
Alpha	0.12	-
Correlation	4.65%	-
Treynor Ratio	114.23%	-