FMMM[Strategy] vs RUB Inflation[Benchmark]

4 Oct, 2024 - 7 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	22.44%	8.4%
CAGR﹪	20.34%	7.66%
Sharpe	5.49	18.18
Prob. Sharpe Ratio	99.44%	100.0%
Smart Sharpe	3.62	11.99
Sortino	7.72	94.61
Smart Sortino	5.09	62.4
Sortino/√2	5.46	66.9
Smart Sortino/√2	3.6	44.12
Omega	7.08	7.08
Max Drawdown	-2.36%	-0.4%
Longest DD Days	50	66
Volatility (ann.)	3.03%	0.36%
R^2	0.0	0.0
Information Ratio	0.21	0.21
Calmar	8.62	19.14
Skew	-3.01	0.29
Kurtosis	123.17	-0.58
Expected Daily	0.07%	0.03%
Expected Monthly	1.46%	0.58%
Expected Yearly	10.65%	4.12%
Kelly Criterion	86.82%	87.05%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.25%	-0.01%
Expected Shortfall (cVaR)	-0.25%	-0.01%
Max Consecutive Wins	83	218
Max Consecutive Losses	2	27
Gain/Pain Ratio	6.08	20.13
Gain/Pain (1M)	-	20.13
Payoff Ratio	2.2	2.12
Profit Factor	7.08	21.13
Common Sense Ratio	49.46	96.28
CPC Index	14.16	40.82
Tail Ratio	6.98	4.56
Outlier Win Ratio	2.59	7.23
Outlier Loss Ratio	0.34	2.8
MTD	0.38%	0.06%
3M	4.38%	0.41%
6M	9.56%	1.49%
YTD	16.84%	4.73%
1Y	20.88%	7.34%
3Y (ann.)	20.34%	7.66%
5Y (ann.)	20.34%	7.66%
10Y (ann.)	20.34%	7.66%
All-time (ann.)	20.34%	7.66%
Best Day	2.05%	0.07%
Worst Day	-2.36%	-0.01%
Best Month	2.23%	1.43%
Worst Month	0.38%	-0.4%
Best Year	16.84%	4.73%
Worst Year	4.79%	3.5%
Avg. Drawdown	-0.14%	-0.4%
Avg. Drawdown Days	4	66
Recovery Factor	9.5	21.0
Ulcer Index	0.0	0.0
Serenity Index	9.72	9.67
Avg. Up Month	1.46%	0.65%
Avg. Down Month	-	-
Win Days	90.94%	91.21%
Win Month	100.0%	92.86%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.38	-
Alpha	0.14	-
Correlation	4.56%	-
Treynor Ratio	59.05%	-