Great analysis!
As a supplement, we can calculate the performance decay using this simple formula:
Performance Decay = 1 - (Live Excess Return / Backtest Excess Return)
Using the numbers from your example:
1 - (-3.5% / 21%) = 1.1667 (representing a 116.7% decay)
@marco, what are your thoughts on implementing a decay metric directly into the platform? I understand, we are still waiting on the 'Return 10Y' feature, so I understand it might not be a quick update, but it would be very helpful to have in the future.