Equity Sharpe of 1.53 indicates excellent risk-adjusted returns on equity basis. Calmar of 2.83 means the strategy earns nearly 3× its worst drawdown annually.
💡 Interpretation
The correlation coefficient (ρ) of -0.0019 indicates Very Low correlation between V4FX Low and the MSCI World Index.
A beta (β) of -0.0017 describes the strategy's sensitivity to market movements.
With an R² of 0.00%, MSCI World explains virtually none of V4FX Low's returns.
Generated positive alpha of 21.33% p.a. — after adjusting for market risk, the strategy shows a 21.33% excess return above the CAPM prediction.
Down Capture of -25.34% is negative (strategy gains when MSCI falls), providing portfolio protection.
Quick reference for the decorrelation and risk metrics used throughout this report.
- ρ (Pearson Correlation)
- Linear correlation of V4FX Low's daily returns vs MSCI World, range [-1, 1]. ρ = 0 means uncorrelated; ±1 means perfectly correlated / anti-correlated.
- β (Beta)
- Sensitivity: V4FX Low daily return ≈ β × MSCI daily return. β near 0 means the strategy moves independently of MSCI; β = 1 means same magnitude.
- R² (R-Squared)
- Fraction of strategy return variance explained by MSCI World movements. 1 − R² is the "independent variance" (idiosyncratic return).
- Up-Capture
- Average percentage of MSCI's positive days that the strategy captures. Higher = strategy participates more in up-markets.
- Down-Capture
- Average percentage of MSCI's negative days that the strategy mirrors. Negative values = strategy gains when MSCI falls (a hedge property).
- Tracking Error
- Annualised standard deviation of (strategy_return − β × MSCI_return). Measures how far the strategy departs from a pure β-scaled MSCI exposure.
- Jensen's α
- Annualised excess return above the CAPM-predicted return for the strategy's β (risk-free rate assumed 0). Positive α = beating the benchmark on a risk-adjusted basis.
- Sigma (σ)
- Annualized return volatility. Population standard deviation of daily equity returns × √252, expressed as a percentage. A measure of how bumpy the equity curve is. Higher = wider day-to-day swings.
- Net Exp. (Δ)
- Average net directional exposure as % of equity, signed. For each candle, net notional = Σ (BUY positions) − Σ (SELL positions), in quote currency. Divided by equity, averaged across all candles. Positive = net-long bias; negative = net-short bias. Hover the cell for peak |Δ| (worst directional exposure) and avg gross book size (Σ |notionals|).
- Note: Δ is currently not computable from the available position-history schema for these live accounts; the Section 2 tile shows "N/A" and this caveat will be removed once broker-side position-lifecycle data is wired into the pipeline.
Note on σ/Δ: these are not the options-pricing Greeks of the same names — options σ/Δ have no meaning for a spot/CFD forex strategy with no optionality. They are descriptive statistics of the equity curve and the open book. Notionals are summed naively across symbols in their quote currency; for a mostly USD-quoted book (EURUSD, GBPUSD, …) the number reads as USD exposure, for mixed-quote pairs it is a directional-bias indicator rather than a hedge-grade exposure number.
| Metric | Value |
|---|---|
| Strategy Name | V4FX Low — ITK |
| Initial Capital | 100.00% |
| Final Balance | 125.56% |
| Total Return | +25.56% |
| CAGR | 22.84% |
| Equity Sharpe Ratio | 1.53 |
| Calmar Ratio | 2.83 |
| Max Drawdown | -8.08% |
| Profit Factor | 2.09 |
| Win Rate | 78.77% |
| Total Trades | 2,954 |
| Wins / Losses | 2,327 / 627 |
| Avg Win / Trade | +0.021% |
| Avg Loss / Trade | -0.037% |
| Gross Profit | +49.01% |
| Gross Loss | -23.45% |
| Net Profit | +25.56% |
| Metric | Value |
|---|---|
| Benchmark | MSCI World Index |
| Overlap Period | Apr 11, 2025 — May 13, 2026 |
| Overlap Days | 272 |
| Correlation (ρ) | -0.0019 |
| Beta (β) | -0.0017 |
| R-Squared | 0.0000 |
| Jensen's Alpha | +21.33% |
| Tracking Error | 17.03% |
| Up Capture | 5.96% |
| Down Capture | -25.34% |
🔍 Key Observations
V4FX Low delivers returns that are essentially uncorrelated to global equities (ρ = -0.0019). Jensen's α of 21.33% p.a. indicates substantial excess return above the CAPM-predicted benchmark over the overlap window. Negative down capture (-25.34%) means the strategy tended to gain on days when MSCI World fell — a useful hedge property over the observed window.