Backtesting Comparison

Logarithmic scale

Summary Statistics

Strategy	Total Profit	CAGR	Avg. Monthly Profit	Max Drawdown	Avg Drawdown	Win Rate	Profit Factor	Sharpe	Calmar

Strategy	ρ (Pearson)	Beta	R²	Up-Capture	Down-Capture	Tracking Error	Jensen's Alpha
v4fx Ultra Low	0.0151	0.01	0.02%	5.55%	-7.97%	23.63% p.a.	+13.82% p.a.
v4fx Low	0.0494	0.07	0.24%	16.59%	-11.67%	33.08% p.a.	+29.03% p.a.
v4fx Medium	0.0317	0.10	0.10%	28.03%	-39.66%	62.60% p.a.	+68.61% p.a.

Period: 2020-01-02 → 2025-12-31 (1507 trading days). Risk-free rate assumed 0. Alpha is arithmetic annualisation (×252).

All 3 strategies show ρ < 0.05 — essentially independent of global equities (R² < 0.24%).
Negative down-capture across the board — strategies gain on average when MSCI falls.
Strong positive Jensen's α (+13.82% p.a. → +68.61% p.a.) — pure alpha vs. world equities, not beta exposure.

v4fx Ultra Low: Very low correlation with MSCI World (ρ=0.0151), beta 0.01. Generated positive alpha vs. global equities (+13.82% p.a.).

v4fx Low: Very low correlation with MSCI World (ρ=0.0494), beta 0.07. Generated positive alpha vs. global equities (+29.03% p.a.).

v4fx Medium: Very low correlation with MSCI World (ρ=0.0317), beta 0.10. Generated positive alpha vs. global equities (+68.61% p.a.).

Show daily performance table