FMMM[Strategy] vs RUB Inflation[Benchmark]

4 Oct, 2024 - 21 Oct, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	92.0%	0.0%
Cumulative Return	0.44%	0.0%
CAGR﹪	9.87%	0.0%
Sharpe	0.68	-
Prob. Sharpe Ratio	55.57%	-
Smart Sharpe	0.45	-
Sortino	0.95	-
Smart Sortino	0.62	-
Sortino/√2	0.67	-
Smart Sortino/√2	0.44	-
Omega	1.21	1.21
Max Drawdown	-2.36%	-
Longest DD Days	-	-
Volatility (ann.)	15.05%	0.0%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	4.18	-
Skew	-0.73	0.0
Kurtosis	5.63	0.0
Expected Daily	0.04%	0.0%
Expected Monthly	0.44%	0.0%
Expected Yearly	0.44%	0.0%
Kelly Criterion	-	-
Risk of Ruin	0.0%	1.0%
Daily Value-at-Risk	-1.52%	-
Expected Shortfall (cVaR)	-1.52%	-
Max Consecutive Wins	8	0
Max Consecutive Losses	1	0
Gain/Pain Ratio	0.21	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	1.21	-
Common Sense Ratio	1.24	-
CPC Index	-	-
Tail Ratio	1.02	-
Outlier Win Ratio	3.59	-
Outlier Loss Ratio	0.44	-
MTD	0.44%	0.0%
3M	0.44%	0.0%
6M	0.44%	0.0%
YTD	0.44%	0.0%
1Y	0.44%	0.0%
3Y (ann.)	9.87%	0.0%
5Y (ann.)	9.87%	0.0%
10Y (ann.)	9.87%	0.0%
All-time (ann.)	9.87%	0.0%
Best Day	2.05%	0.0%
Worst Day	-2.36%	0.0%
Best Month	0.44%	0.0%
Worst Month	0.44%	0.0%
Best Year	0.44%	0.0%
Worst Year	0.44%	0.0%
Avg. Drawdown	-2.36%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.19	-
Ulcer Index	0.02	0.0
Serenity Index	0.07	-
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	90.91%	0.0%
Win Month	100.0%	0.0%
Win Quarter	100.0%	0.0%
Win Year	100.0%	0.0%
Beta	0.0	-
Alpha	0.0	-
Correlation	-	-
Treynor Ratio	0%	-