FMMM[Strategy] vs RUB Inflation[Benchmark]

4 Oct, 2024 - 14 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	35.05%	14.38%
CAGR﹪	18.44%	7.86%
Sharpe	6.01	18.95
Prob. Sharpe Ratio	99.83%	-
Smart Sharpe	4.08	12.87
Sortino	8.71	120.23
Smart Sortino	5.92	81.68
Sortino/√2	6.16	85.01
Smart Sortino/√2	4.19	57.76
Omega	7.82	7.82
Max Drawdown	-2.36%	-0.4%
Longest DD Days	50	64
Volatility (ann.)	2.39%	0.34%
R^2	0.0	0.0
Information Ratio	0.21	0.21
Calmar	7.81	19.65
Skew	-3.39	0.66
Kurtosis	184.51	0.06
Expected Daily	0.06%	0.03%
Expected Monthly	1.38%	0.61%
Expected Yearly	10.53%	4.58%
Kelly Criterion	78.03%	92.21%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.19%	-0.01%
Expected Shortfall (cVaR)	-0.19%	-0.01%
Max Consecutive Wins	83	283
Max Consecutive Losses	2	27
Gain/Pain Ratio	6.82	33.52
Gain/Pain (1M)	-	33.52
Payoff Ratio	2.0	1.91
Profit Factor	7.82	34.52
Common Sense Ratio	47.54	262.18
CPC Index	13.37	62.67
Tail Ratio	6.08	7.59
Outlier Win Ratio	1.94	5.34
Outlier Loss Ratio	0.67	2.71
MTD	0.48%	0.43%
3M	3.45%	1.56%
6M	7.44%	4.19%
YTD	7.7%	4.65%
1Y	16.33%	6.23%
3Y (ann.)	18.44%	7.86%
5Y (ann.)	18.44%	7.86%
10Y (ann.)	18.44%	7.86%
All-time (ann.)	18.44%	7.86%
Best Day	2.05%	0.07%
Worst Day	-2.36%	-0.01%
Best Month	2.23%	1.62%
Worst Month	0.48%	-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	14.85	35.94
Ulcer Index	0.0	0.0
Serenity Index	20.96	27.02
Avg. Up Month	1.37%	0.66%
Avg. Down Month	-	-
Win Days	85.35%	94.89%
Win Month	100.0%	95.45%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.29	-
Alpha	0.12	-
Correlation	4.15%	-
Treynor Ratio	119.43%	-