FMMM[Strategy] vs RUB Inflation[Benchmark]

4 Oct, 2024 - 30 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	13.37%	7.12%
CAGR﹪	21.22%	11.13%
Sharpe	4.75	35.52
Prob. Sharpe Ratio	98.19%	-
Smart Sharpe	3.05	22.82
Sortino	6.55	-
Smart Sortino	4.21	-
Sortino/√2	4.63	-
Smart Sortino/√2	2.98	-
Omega	5.69	5.69
Max Drawdown	-2.36%	-
Longest DD Days	-	-
Volatility (ann.)	4.03%	0.29%
R^2	0.0	0.0
Information Ratio	0.14	0.14
Calmar	8.99	-
Skew	-2.5	0.03
Kurtosis	73.27	-1.41
Expected Daily	0.08%	0.04%
Expected Monthly	1.58%	0.86%
Expected Yearly	6.48%	3.5%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.34%	-0.01%
Expected Shortfall (cVaR)	-0.34%	-0.01%
Max Consecutive Wins	62	165
Max Consecutive Losses	1	0
Gain/Pain Ratio	4.69	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	5.69	-
Common Sense Ratio	50.18	-
CPC Index	-	-
Tail Ratio	8.82	3.73
Outlier Win Ratio	2.42	5.55
Outlier Loss Ratio	0.08	-
MTD	1.72%	0.36%
3M	5.38%	1.46%
6M	10.6%	4.87%
YTD	8.19%	3.5%
1Y	13.37%	7.12%
3Y (ann.)	21.22%	11.13%
5Y (ann.)	21.22%	11.13%
10Y (ann.)	21.22%	11.13%
All-time (ann.)	21.22%	11.13%
Best Day	2.05%	0.07%
Worst Day	-2.36%	0.0%
Best Month	2.23%	1.43%
Worst Month	0.99%	0.36%
Best Year	8.19%	3.5%
Worst Year	4.79%	3.5%
Avg. Drawdown	-0.66%	-
Avg. Drawdown Days	-	-
Recovery Factor	5.66	-
Ulcer Index	0.01	0.0
Serenity Index	4.07	-
Avg. Up Month	1.58%	0.86%
Avg. Down Month	-	-
Win Days	96.97%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.07	-
Alpha	0.18	-
Correlation	0.5%	-
Treynor Ratio	194.5%	-