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Advanced Statistics: ForexPipsnTips

Advanced Statistics module contributed by Jules Ellis, C2 Member.

Jules has written a very helpful guide for these statistics.

MonthlyDaily (all)Daily (last 6 mo.)
ANALYSIS BASED ON MONTHLY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean2452.479
 SD6522.701
 Sharpe ratio (Glass type estimate) 0.376
 Sharpe ratio (Hedges UMVUE)0.373
 df84.000
 t1.001
 p0.160
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.364
 Upperbound of 95% confidence interval for Sharpe Ratio1.113
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.366
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.111
Statistics related to Sortino ratio
 Sortino ratio2989.419
 Upside Potential Ratio2991.185
 Upside part of mean2453.928
 Downside part of mean-1.449
 Upside SD6522.753
 Downside SD0.820
 N nonnegative terms39.000
 N negative terms46.000
Statistics related to linear regression on benchmark
 N of observations85.000
 Mean of predictor0.130
 Mean of criterion2452.479
 SD of predictor0.235
 SD of criterion6522.701
 Covariance106.171
 r0.069
 b (slope, estimate of beta)1927.177
 a (intercept, estimate of alpha)2202.291
 Mean Square Error42851146.535
 DF error83.000
 t(b)0.633
 p(b)0.264
 t(a)0.884
 p(a)0.190
 Lowerbound of 95% confidence interval for beta-4125.204
 Upperbound of 95% confidence interval for beta7979.559
 Lowerbound of 95% confidence interval for alpha-2752.428
 Upperbound of 95% confidence interval for alpha7157.011
 Treynor index (mean / b)1.273
 Jensen alpha (a)2202.291
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-1.726
 SD6.809
 Sharpe ratio (Glass type estimate) -0.254
 Sharpe ratio (Hedges UMVUE)-0.251
 df84.000
 t-0.675
 p0.749
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.990
 Upperbound of 95% confidence interval for Sharpe Ratio0.485
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.989
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.486
Statistics related to Sortino ratio
 Sortino ratio-0.309
 Upside Potential Ratio0.476
 Upside part of mean2.661
 Downside part of mean-4.387
 Upside SD3.851
 Downside SD5.590
 N nonnegative terms39.000
 N negative terms46.000
Statistics related to linear regression on benchmark
 N of observations85.000
 Mean of predictor0.103
 Mean of criterion-1.726
 SD of predictor0.229
 SD of criterion6.809
 Covariance0.187
 r0.120
 b (slope, estimate of beta)3.573
 a (intercept, estimate of alpha)-2.093
 Mean Square Error46.252
 DF error83.000
 t(b)1.101
 p(b)0.137
 t(a)-0.812
 p(a)0.791
 Lowerbound of 95% confidence interval for beta-2.882
 Upperbound of 95% confidence interval for beta10.029
 Lowerbound of 95% confidence interval for alpha-7.219
 Upperbound of 95% confidence interval for alpha3.032
 Treynor index (mean / b)-0.483
 Jensen alpha (a)-2.093
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.966
 Expected Shortfall on VaR0.982
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.293
 Expected Shortfall on VaR0.555
ORDER STATISTICS
Quartiles of return rates
 Number of observations85.000
 Minimum0.000
 Quartile 10.833
 Median0.984
 Quartile 31.112
 Maximum17361.000
 Mean of quarter 10.615
 Mean of quarter 20.923
 Mean of quarter 31.041
 Mean of quarter 4828.679
 Inter Quartile Range0.279
 Number outliers low3.000
 Percentage of outliers low0.035
 Mean of outliers low0.103
 Number of outliers high5.000
 Percentage of outliers high0.059
 Mean of outliers high3476.429
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.304
 VaR(95%) (moments method)0.411
 Expected Shortfall (moments method)0.688
 Extreme Value Index (regression method)-1.190
 VaR(95%) (regression method)0.440
 Expected Shortfall (regression method)0.465
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations6.000
 Minimum0.032
 Quartile 10.041
 Median0.069
 Quartile 30.236
 Maximum1.000
 Mean of quarter 10.035
 Mean of quarter 20.047
 Mean of quarter 30.092
 Mean of quarter 40.642
 Inter Quartile Range0.195
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.167
 Mean of outliers high1.000
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)-0.141
 Compounded annual return (geometric extrapolation)-0.814
 Calmar ratio (compounded annual return / max draw down)-0.814
 Compounded annual return / average of 25% largest draw downs-1.268
 Compounded annual return / Expected Shortfall lognormal-0.829
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean6400.705
 SD12406.718
 Sharpe ratio (Glass type estimate) 0.516
 Sharpe ratio (Hedges UMVUE)0.516
 df1867.000
 t1.378
 p0.480
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.218
 Upperbound of 95% confidence interval for Sharpe Ratio1.250
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.219
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.250
Statistics related to Sortino ratio
 Sortino ratio3874.253
 Upside Potential Ratio3879.345
 Upside part of mean6409.118
 Downside part of mean-8.413
 Upside SD12409.699
 Downside SD1.652
 N nonnegative terms912.000
 N negative terms956.000
Statistics related to linear regression on benchmark
 N of observations1868.000
 Mean of predictor0.319
 Mean of criterion6400.705
 SD of predictor0.556
 SD of criterion12406.718
 Covariance476.194
 r0.069
 b (slope, estimate of beta)1542.096
 a (intercept, estimate of alpha)5908.061
 Mean Square Error153274413.864
 DF error1866.000
 t(b)2.991
 p(b)0.465
 t(a)1.273
 p(a)0.485
 Lowerbound of 95% confidence interval for beta530.852
 Upperbound of 95% confidence interval for beta2553.341
 Lowerbound of 95% confidence interval for alpha-3191.090
 Upperbound of 95% confidence interval for alpha15007.212
 Treynor index (mean / b)4.151
 Jensen alpha (a)5908.061
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.258
 SD12.482
 Sharpe ratio (Glass type estimate) -0.021
 Sharpe ratio (Hedges UMVUE)-0.021
 df1867.000
 t-0.055
 p0.501
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.755
 Upperbound of 95% confidence interval for Sharpe Ratio0.713
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.755
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.713
Statistics related to Sortino ratio
 Sortino ratio-0.029
 Upside Potential Ratio1.974
 Upside part of mean17.770
 Downside part of mean-18.028
 Upside SD8.640
 Downside SD9.003
 N nonnegative terms912.000
 N negative terms956.000
Statistics related to linear regression on benchmark
 N of observations1868.000
 Mean of predictor0.166
 Mean of criterion-0.258
 SD of predictor0.554
 SD of criterion12.482
 Covariance1.272
 r0.184
 b (slope, estimate of beta)4.148
 a (intercept, estimate of alpha)-0.948
 Mean Square Error150.603
 DF error1866.000
 t(b)8.087
 p(b)0.408
 t(a)-0.206
 p(a)0.502
 Lowerbound of 95% confidence interval for beta3.142
 Upperbound of 95% confidence interval for beta5.154
 Lowerbound of 95% confidence interval for alpha-9.963
 Upperbound of 95% confidence interval for alpha8.067
 Treynor index (mean / b)-0.062
 Jensen alpha (a)-0.948
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.719
 Expected Shortfall on VaR0.789
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.073
 Expected Shortfall on VaR0.163
ORDER STATISTICS
Quartiles of return rates
 Number of observations1868.000
 Minimum0.000
 Quartile 10.976
 Median1.000
 Quartile 31.023
 Maximum32499.000
 Mean of quarter 10.882
 Mean of quarter 20.990
 Mean of quarter 31.010
 Mean of quarter 498.840
 Inter Quartile Range0.046
 Number outliers low151.000
 Percentage of outliers low0.081
 Mean of outliers low0.734
 Number of outliers high155.000
 Percentage of outliers high0.083
 Mean of outliers high295.687
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.788
 VaR(95%) (moments method)0.110
 Expected Shortfall (moments method)0.555
 Extreme Value Index (regression method)0.215
 VaR(95%) (regression method)0.085
 Expected Shortfall (regression method)0.142
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations23.000
 Minimum0.000
 Quartile 10.005
 Median0.060
 Quartile 30.092
 Maximum1.000
 Mean of quarter 10.003
 Mean of quarter 20.031
 Mean of quarter 30.074
 Mean of quarter 40.330
 Inter Quartile Range0.088
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high2.000
 Percentage of outliers high0.087
 Mean of outliers high0.690
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.503
 VaR(95%) (moments method)0.315
 Expected Shortfall (moments method)0.744
 Extreme Value Index (regression method)1.031
 VaR(95%) (regression method)0.431
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)-0.110
 Compounded annual return (geometric extrapolation)-0.193
 Calmar ratio (compounded annual return / max draw down)-0.193
 Compounded annual return / average of 25% largest draw downs-0.585
 Compounded annual return / Expected Shortfall lognormal-0.244
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean80889.912
 SD46479.999
 Sharpe ratio (Glass type estimate) 1.740
 Sharpe ratio (Hedges UMVUE)1.730
 df130.000
 t1.231
 p0.446
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.043
 Upperbound of 95% confidence interval for Sharpe Ratio4.517
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.050
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.510
Statistics related to Sortino ratio
 Sortino ratio19558.422
 Upside Potential Ratio19565.476
 Upside part of mean80919.088
 Downside part of mean-29.176
 Upside SD46571.157
 Downside SD4.136
 N nonnegative terms61.000
 N negative terms70.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.827
 Mean of criterion80889.912
 SD of predictor0.703
 SD of criterion46479.999
 Covariance6392.010
 r0.196
 b (slope, estimate of beta)12931.430
 a (intercept, estimate of alpha)57259.136
 Mean Square Error2093838901.811
 DF error129.000
 t(b)2.265
 p(b)0.376
 t(a)0.874
 p(a)0.451
 Lowerbound of 95% confidence interval for beta1637.477
 Upperbound of 95% confidence interval for beta24225.383
 Lowerbound of 95% confidence interval for alpha-72428.419
 Upperbound of 95% confidence interval for alpha186946.692
 Treynor index (mean / b)6.255
 Jensen alpha (a)57259.136
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.223
 SD38.207
 Sharpe ratio (Glass type estimate) 0.006
 Sharpe ratio (Hedges UMVUE)0.006
 df130.000
 t0.004
 p0.500
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.766
 Upperbound of 95% confidence interval for Sharpe Ratio2.778
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.766
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.778
Statistics related to Sortino ratio
 Sortino ratio0.008
 Upside Potential Ratio4.039
 Upside part of mean111.846
 Downside part of mean-111.624
 Upside SD26.109
 Downside SD27.693
 N nonnegative terms61.000
 N negative terms70.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.580
 Mean of criterion0.223
 SD of predictor0.696
 SD of criterion38.207
 Covariance12.474
 r0.469
 b (slope, estimate of beta)25.759
 a (intercept, estimate of alpha)-40.487
 Mean Square Error1147.245
 DF error129.000
 t(b)6.034
 p(b)0.213
 t(a)-0.837
 p(a)0.547
 Lowerbound of 95% confidence interval for beta17.313
 Upperbound of 95% confidence interval for beta34.205
 Lowerbound of 95% confidence interval for alpha-136.195
 Upperbound of 95% confidence interval for alpha55.221
 Treynor index (mean / b)0.009
 Jensen alpha (a)-40.487
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.979
 Expected Shortfall on VaR0.990
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.265
 Expected Shortfall on VaR0.541
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.000
 Quartile 10.910
 Median1.000
 Quartile 31.095
 Maximum32499.000
 Mean of quarter 10.595
 Mean of quarter 20.963
 Mean of quarter 31.034
 Mean of quarter 41227.014
 Inter Quartile Range0.185
 Number outliers low12.000
 Percentage of outliers low0.092
 Mean of outliers low0.246
 Number of outliers high17.000
 Percentage of outliers high0.130
 Mean of outliers high2380.731
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.283
 VaR(95%) (moments method)0.318
 Expected Shortfall (moments method)0.566
 Extreme Value Index (regression method)-1.940
 VaR(95%) (regression method)0.343
 Expected Shortfall (regression method)0.351
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations7.000
 Minimum0.027
 Quartile 10.078
 Median0.250
 Quartile 30.667
 Maximum1.000
 Mean of quarter 10.030
 Mean of quarter 20.187
 Mean of quarter 30.335
 Mean of quarter 41.000
 Inter Quartile Range0.589
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.286
 Compounded annual return (geometric extrapolation)0.306
 Calmar ratio (compounded annual return / max draw down)0.306
 Compounded annual return / average of 25% largest draw downs0.306
 Compounded annual return / Expected Shortfall lognormal0.309

Advanced Statistics: ForexPipsnTips

Advanced Statistics module contributed by Jules Ellis, C2 Member.

Jules has written a very helpful guide for these statistics.

MonthlyDaily (all)Daily (last 6 mo.)
ANALYSIS BASED ON MONTHLY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean2452.479
 SD6522.701
 Sharpe ratio (Glass type estimate) 0.376
 Sharpe ratio (Hedges UMVUE)0.373
 df84.000
 t1.001
 p0.160
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.364
 Upperbound of 95% confidence interval for Sharpe Ratio1.113
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.366
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.111
Statistics related to Sortino ratio
 Sortino ratio2989.419
 Upside Potential Ratio2991.185
 Upside part of mean2453.928
 Downside part of mean-1.449
 Upside SD6522.753
 Downside SD0.820
 N nonnegative terms39.000
 N negative terms46.000
Statistics related to linear regression on benchmark
 N of observations85.000
 Mean of predictor0.130
 Mean of criterion2452.479
 SD of predictor0.235
 SD of criterion6522.701
 Covariance106.171
 r0.069
 b (slope, estimate of beta)1927.177
 a (intercept, estimate of alpha)2202.291
 Mean Square Error42851146.535
 DF error83.000
 t(b)0.633
 p(b)0.264
 t(a)0.884
 p(a)0.190
 Lowerbound of 95% confidence interval for beta-4125.204
 Upperbound of 95% confidence interval for beta7979.559
 Lowerbound of 95% confidence interval for alpha-2752.428
 Upperbound of 95% confidence interval for alpha7157.011
 Treynor index (mean / b)1.273
 Jensen alpha (a)2202.291
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-1.726
 SD6.809
 Sharpe ratio (Glass type estimate) -0.254
 Sharpe ratio (Hedges UMVUE)-0.251
 df84.000
 t-0.675
 p0.749
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.990
 Upperbound of 95% confidence interval for Sharpe Ratio0.485
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.989
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.486
Statistics related to Sortino ratio
 Sortino ratio-0.309
 Upside Potential Ratio0.476
 Upside part of mean2.661
 Downside part of mean-4.387
 Upside SD3.851
 Downside SD5.590
 N nonnegative terms39.000
 N negative terms46.000
Statistics related to linear regression on benchmark
 N of observations85.000
 Mean of predictor0.103
 Mean of criterion-1.726
 SD of predictor0.229
 SD of criterion6.809
 Covariance0.187
 r0.120
 b (slope, estimate of beta)3.573
 a (intercept, estimate of alpha)-2.093
 Mean Square Error46.252
 DF error83.000
 t(b)1.101
 p(b)0.137
 t(a)-0.812
 p(a)0.791
 Lowerbound of 95% confidence interval for beta-2.882
 Upperbound of 95% confidence interval for beta10.029
 Lowerbound of 95% confidence interval for alpha-7.219
 Upperbound of 95% confidence interval for alpha3.032
 Treynor index (mean / b)-0.483
 Jensen alpha (a)-2.093
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.966
 Expected Shortfall on VaR0.982
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.293
 Expected Shortfall on VaR0.555
ORDER STATISTICS
Quartiles of return rates
 Number of observations85.000
 Minimum0.000
 Quartile 10.833
 Median0.984
 Quartile 31.112
 Maximum17361.000
 Mean of quarter 10.615
 Mean of quarter 20.923
 Mean of quarter 31.041
 Mean of quarter 4828.679
 Inter Quartile Range0.279
 Number outliers low3.000
 Percentage of outliers low0.035
 Mean of outliers low0.103
 Number of outliers high5.000
 Percentage of outliers high0.059
 Mean of outliers high3476.429
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.304
 VaR(95%) (moments method)0.411
 Expected Shortfall (moments method)0.688
 Extreme Value Index (regression method)-1.190
 VaR(95%) (regression method)0.440
 Expected Shortfall (regression method)0.465
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations6.000
 Minimum0.032
 Quartile 10.041
 Median0.069
 Quartile 30.236
 Maximum1.000
 Mean of quarter 10.035
 Mean of quarter 20.047
 Mean of quarter 30.092
 Mean of quarter 40.642
 Inter Quartile Range0.195
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.167
 Mean of outliers high1.000
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)-0.141
 Compounded annual return (geometric extrapolation)-0.814
 Calmar ratio (compounded annual return / max draw down)-0.814
 Compounded annual return / average of 25% largest draw downs-1.268
 Compounded annual return / Expected Shortfall lognormal-0.829
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean6400.705
 SD12406.718
 Sharpe ratio (Glass type estimate) 0.516
 Sharpe ratio (Hedges UMVUE)0.516
 df1867.000
 t1.378
 p0.480
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.218
 Upperbound of 95% confidence interval for Sharpe Ratio1.250
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.219
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.250
Statistics related to Sortino ratio
 Sortino ratio3874.253
 Upside Potential Ratio3879.345
 Upside part of mean6409.118
 Downside part of mean-8.413
 Upside SD12409.699
 Downside SD1.652
 N nonnegative terms912.000
 N negative terms956.000
Statistics related to linear regression on benchmark
 N of observations1868.000
 Mean of predictor0.319
 Mean of criterion6400.705
 SD of predictor0.556
 SD of criterion12406.718
 Covariance476.194
 r0.069
 b (slope, estimate of beta)1542.096
 a (intercept, estimate of alpha)5908.061
 Mean Square Error153274413.864
 DF error1866.000
 t(b)2.991
 p(b)0.465
 t(a)1.273
 p(a)0.485
 Lowerbound of 95% confidence interval for beta530.852
 Upperbound of 95% confidence interval for beta2553.341
 Lowerbound of 95% confidence interval for alpha-3191.090
 Upperbound of 95% confidence interval for alpha15007.212
 Treynor index (mean / b)4.151
 Jensen alpha (a)5908.061
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.258
 SD12.482
 Sharpe ratio (Glass type estimate) -0.021
 Sharpe ratio (Hedges UMVUE)-0.021
 df1867.000
 t-0.055
 p0.501
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.755
 Upperbound of 95% confidence interval for Sharpe Ratio0.713
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.755
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.713
Statistics related to Sortino ratio
 Sortino ratio-0.029
 Upside Potential Ratio1.974
 Upside part of mean17.770
 Downside part of mean-18.028
 Upside SD8.640
 Downside SD9.003
 N nonnegative terms912.000
 N negative terms956.000
Statistics related to linear regression on benchmark
 N of observations1868.000
 Mean of predictor0.166
 Mean of criterion-0.258
 SD of predictor0.554
 SD of criterion12.482
 Covariance1.272
 r0.184
 b (slope, estimate of beta)4.148
 a (intercept, estimate of alpha)-0.948
 Mean Square Error150.603
 DF error1866.000
 t(b)8.087
 p(b)0.408
 t(a)-0.206
 p(a)0.502
 Lowerbound of 95% confidence interval for beta3.142
 Upperbound of 95% confidence interval for beta5.154
 Lowerbound of 95% confidence interval for alpha-9.963
 Upperbound of 95% confidence interval for alpha8.067
 Treynor index (mean / b)-0.062
 Jensen alpha (a)-0.948
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.719
 Expected Shortfall on VaR0.789
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.073
 Expected Shortfall on VaR0.163
ORDER STATISTICS
Quartiles of return rates
 Number of observations1868.000
 Minimum0.000
 Quartile 10.976
 Median1.000
 Quartile 31.023
 Maximum32499.000
 Mean of quarter 10.882
 Mean of quarter 20.990
 Mean of quarter 31.010
 Mean of quarter 498.840
 Inter Quartile Range0.046
 Number outliers low151.000
 Percentage of outliers low0.081
 Mean of outliers low0.734
 Number of outliers high155.000
 Percentage of outliers high0.083
 Mean of outliers high295.687
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.788
 VaR(95%) (moments method)0.110
 Expected Shortfall (moments method)0.555
 Extreme Value Index (regression method)0.215
 VaR(95%) (regression method)0.085
 Expected Shortfall (regression method)0.142
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations23.000
 Minimum0.000
 Quartile 10.005
 Median0.060
 Quartile 30.092
 Maximum1.000
 Mean of quarter 10.003
 Mean of quarter 20.031
 Mean of quarter 30.074
 Mean of quarter 40.330
 Inter Quartile Range0.088
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high2.000
 Percentage of outliers high0.087
 Mean of outliers high0.690
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.503
 VaR(95%) (moments method)0.315
 Expected Shortfall (moments method)0.744
 Extreme Value Index (regression method)1.031
 VaR(95%) (regression method)0.431
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)-0.110
 Compounded annual return (geometric extrapolation)-0.193
 Calmar ratio (compounded annual return / max draw down)-0.193
 Compounded annual return / average of 25% largest draw downs-0.585
 Compounded annual return / Expected Shortfall lognormal-0.244
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean80889.912
 SD46479.999
 Sharpe ratio (Glass type estimate) 1.740
 Sharpe ratio (Hedges UMVUE)1.730
 df130.000
 t1.231
 p0.446
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.043
 Upperbound of 95% confidence interval for Sharpe Ratio4.517
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.050
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.510
Statistics related to Sortino ratio
 Sortino ratio19558.422
 Upside Potential Ratio19565.476
 Upside part of mean80919.088
 Downside part of mean-29.176
 Upside SD46571.157
 Downside SD4.136
 N nonnegative terms61.000
 N negative terms70.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.827
 Mean of criterion80889.912
 SD of predictor0.703
 SD of criterion46479.999
 Covariance6392.010
 r0.196
 b (slope, estimate of beta)12931.430
 a (intercept, estimate of alpha)57259.136
 Mean Square Error2093838901.811
 DF error129.000
 t(b)2.265
 p(b)0.376
 t(a)0.874
 p(a)0.451
 Lowerbound of 95% confidence interval for beta1637.477
 Upperbound of 95% confidence interval for beta24225.383
 Lowerbound of 95% confidence interval for alpha-72428.419
 Upperbound of 95% confidence interval for alpha186946.692
 Treynor index (mean / b)6.255
 Jensen alpha (a)57259.136
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.223
 SD38.207
 Sharpe ratio (Glass type estimate) 0.006
 Sharpe ratio (Hedges UMVUE)0.006
 df130.000
 t0.004
 p0.500
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.766
 Upperbound of 95% confidence interval for Sharpe Ratio2.778
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.766
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.778
Statistics related to Sortino ratio
 Sortino ratio0.008
 Upside Potential Ratio4.039
 Upside part of mean111.846
 Downside part of mean-111.624
 Upside SD26.109
 Downside SD27.693
 N nonnegative terms61.000
 N negative terms70.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.580
 Mean of criterion0.223
 SD of predictor0.696
 SD of criterion38.207
 Covariance12.474
 r0.469
 b (slope, estimate of beta)25.759
 a (intercept, estimate of alpha)-40.487
 Mean Square Error1147.245
 DF error129.000
 t(b)6.034
 p(b)0.213
 t(a)-0.837
 p(a)0.547
 Lowerbound of 95% confidence interval for beta17.313
 Upperbound of 95% confidence interval for beta34.205
 Lowerbound of 95% confidence interval for alpha-136.195
 Upperbound of 95% confidence interval for alpha55.221
 Treynor index (mean / b)0.009
 Jensen alpha (a)-40.487
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.979
 Expected Shortfall on VaR0.990
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.265
 Expected Shortfall on VaR0.541
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.000
 Quartile 10.910
 Median1.000
 Quartile 31.095
 Maximum32499.000
 Mean of quarter 10.595
 Mean of quarter 20.963
 Mean of quarter 31.034
 Mean of quarter 41227.014
 Inter Quartile Range0.185
 Number outliers low12.000
 Percentage of outliers low0.092
 Mean of outliers low0.246
 Number of outliers high17.000
 Percentage of outliers high0.130
 Mean of outliers high2380.731
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.283
 VaR(95%) (moments method)0.318
 Expected Shortfall (moments method)0.566
 Extreme Value Index (regression method)-1.940
 VaR(95%) (regression method)0.343
 Expected Shortfall (regression method)0.351
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations7.000
 Minimum0.027
 Quartile 10.078
 Median0.250
 Quartile 30.667
 Maximum1.000
 Mean of quarter 10.030
 Mean of quarter 20.187
 Mean of quarter 30.335
 Mean of quarter 41.000
 Inter Quartile Range0.589
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.286
 Compounded annual return (geometric extrapolation)0.306
 Calmar ratio (compounded annual return / max draw down)0.306
 Compounded annual return / average of 25% largest draw downs0.306
 Compounded annual return / Expected Shortfall lognormal0.309