@Medialux, may be there is some misunderstanding from my side… English is not my native language. Сan you correct me where it is necessary?
You said about “the strong variation in the replication ratio between strategy and Darwin”. As I understood, replication ratio (RR) calculated as 20% / VaR of Startegy (in common):
RR = 20 / VaR
If VaR is less than 20, then RR > 1
If VaR is much less than 20, then RR >> 1 and it is dangerous situation for investors.
At present for all history of ViproAlfaM VaR was from 5.3% to 14.3%, therefore RR was from 1.4 to 3.8.
Do you mean, that variartion of RR from 1.4 to 3.8 is the strong variation? 3.8 more than 1.4 in 2.7 times.
If RR is the constant, we can calculate it from monthly profit of Darwin and Strategy:
RR = Profit of Darwin / Profit of Startegy
But only if RR was constant in this month.
May be you look at profit for September (1.18% and 3.35%)? Sorry, if it is not. If calculate RR from profits for September, we get RR = 0.35, and 3.8 more than 0.35 already in 10.9 times - this is in fact more seriosly changes (strong variation).
But RR was not constant, and I think it is not correct to use RR = 0.35 for min value of RR.
I try to combine on one graph Profit curves for Darwin VLR and Strategy ViproAlfaM. I was changing the height of image with Darwins Profit for getting the best coincidence with Strategy Profit. It looks like that there is not so big size of variation interval of RR.
For example of other size of variation of RR we can look at ERQ, which already discussed in his topic and other topic. We can see the fast growing of Darwins Profit from Aug, 27 (against Strategy Profit), which is much more faster than before - this is one of point of strong change of RR value.
I consider a problem of VaR very significant and important and agree with this point of view:
RR <= 1 will be the best, but it violates the promise of the Darwinex to provide risk in 20% for all Darwins (even for Darwins, who have VaR < 20%).
What can I do in current conditions? I will try not to allow VaR to changing significantly.