FMMM[Strategy] vs RUB Inflation[Benchmark]

4 Oct, 2024 - 28 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	25.02%	9.45%
CAGR﹪	19.86%	7.6%
Sharpe	5.61	19.05
Prob. Sharpe Ratio	99.58%	100.0%
Smart Sharpe	3.72	12.65
Sortino	7.95	98.89
Smart Sortino	5.28	65.68
Sortino/√2	5.62	69.93
Smart Sortino/√2	3.73	46.44
Omega	7.25	7.25
Max Drawdown	-2.36%	-0.4%
Longest DD Days	50	64
Volatility (ann.)	2.85%	0.34%
R^2	0.0	0.0
Information Ratio	0.21	0.21
Calmar	8.41	18.99
Skew	-3.09	0.41
Kurtosis	136.31	-0.16
Expected Daily	0.06%	0.03%
Expected Monthly	1.5%	0.6%
Expected Yearly	11.81%	4.62%
Kelly Criterion	84.87%	88.57%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.23%	-0.01%
Expected Shortfall (cVaR)	-0.23%	-0.01%
Max Consecutive Wins	83	218
Max Consecutive Losses	2	27
Gain/Pain Ratio	6.25	22.52
Gain/Pain (1M)	-	22.52
Payoff Ratio	2.15	2.04
Profit Factor	7.25	23.52
Common Sense Ratio	49.68	107.19
CPC Index	13.98	44.26
Tail Ratio	6.85	4.56
Outlier Win Ratio	2.46	6.96
Outlier Loss Ratio	0.42	2.86
MTD	1.27%	0.46%
3M	3.99%	1.42%
6M	8.64%	1.92%
YTD	19.31%	5.74%
1Y	20.2%	5.87%
3Y (ann.)	19.86%	7.6%
5Y (ann.)	19.86%	7.6%
10Y (ann.)	19.86%	7.6%
All-time (ann.)	19.86%	7.6%
Best Day	2.05%	0.07%
Worst Day	-2.36%	-0.01%
Best Month	2.23%	1.43%
Worst Month	0.99%	-0.4%
Best Year	19.31%	5.74%
Worst Year	4.79%	3.5%
Avg. Drawdown	-0.11%	-0.4%
Avg. Drawdown Days	3	64
Recovery Factor	10.6	23.61
Ulcer Index	0.0	0.0
Serenity Index	11.76	11.68
Avg. Up Month	1.51%	0.68%
Avg. Down Month	-	-
Win Days	89.68%	92.33%
Win Month	100.0%	93.33%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.41	-
Alpha	0.13	-
Correlation	4.86%	-
Treynor Ratio	61.09%	-