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
v5fx Ultra Low	0.0023	0.00	0.00%	3.76%	-9.08%	22.75% p.a.	+13.05% p.a.
v5fx Low	0.0494	0.07	0.24%	16.59%	-11.67%	33.08% p.a.	+29.03% p.a.
v5fx Medium	0.0415	0.12	0.17%	28.27%	-46.89%	62.45% p.a.	+75.78% 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 (+13.05% p.a. → +75.78% p.a.) — pure alpha vs. world equities, not beta exposure.

v5fx Ultra Low: Very low correlation with MSCI World (ρ=0.0023), beta 0.00. Generated positive alpha vs. global equities (+13.05% p.a.).

v5fx Low: Very low correlation with MSCI World (ρ=0.0494), beta 0.07. Generated positive alpha vs. global equities (+29.03% p.a.).

v5fx Medium: Very low correlation with MSCI World (ρ=0.0415), beta 0.12. Generated positive alpha vs. global equities (+75.78% p.a.).

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