Equity Sharpe of 1.30 indicates excellent risk-adjusted returns on equity basis. Calmar of 3.11 means the strategy earns nearly 3× its worst drawdown annually.
💡 Interpretation
The correlation coefficient (ρ) of -0.0868 indicates Very Low correlation between V4FX Medium and the MSCI World Index.
A beta (β) of -0.1691 describes the strategy's sensitivity to market movements.
With an R² of 0.75%, MSCI World explains virtually none of V4FX Medium's returns.
Generated positive alpha of 43.31% p.a. — after adjusting for market risk, the strategy shows a 43.31% excess return above the CAPM prediction.
Down Capture of -64.96% 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 Medium's daily returns vs MSCI World, range [-1, 1]. ρ = 0 means uncorrelated; ±1 means perfectly correlated / anti-correlated.
- β (Beta)
- Sensitivity: V4FX Medium 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 Medium — MAM |
| Initial Capital | 100.00% |
| Final Balance | 144.06% |
| Total Return | +37.07% |
| CAGR | 46.28% |
| Equity Sharpe Ratio | 1.30 |
| Calmar Ratio | 3.11 |
| Max Drawdown | -14.90% |
| Profit Factor | 1.98 |
| Win Rate | 78.96% |
| Total Trades | 2,006 |
| Wins / Losses | 1,584 / 422 |
| Avg Win / Trade | +0.056% |
| Avg Loss / Trade | -0.106% |
| Gross Profit | +88.94% |
| Gross Loss | -44.89% |
| Net Profit | +44.06% |
| Metric | Value |
|---|---|
| Benchmark | MSCI World Index |
| Overlap Period | Jul 21, 2025 — May 13, 2026 |
| Overlap Days | 205 |
| Correlation (ρ) | -0.0868 |
| Beta (β) | -0.1691 |
| R-Squared | 0.0075 |
| Jensen's Alpha | +43.31% |
| Tracking Error | 28.61% |
| Up Capture | -3.77% |
| Down Capture | -64.96% |
🔍 Key Observations
V4FX Medium delivers returns that are essentially uncorrelated to global equities (ρ = -0.0868). Jensen's α of 43.31% p.a. indicates substantial excess return above the CAPM-predicted benchmark over the overlap window. Negative down capture (-64.96%) means the strategy tended to gain on days when MSCI World fell — a useful hedge property over the observed window.