Advanced Statistics: StockRider
Advanced Statistics module contributed by Jules Ellis, C2 Member. Jules has written a very helpful guide for these statistics. | |||||
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| ANALYSIS BASED ON MONTHLY VALUES, FULL HISTORY (Back) | |||||
| RATIO STATISTICS | |||||
| Ratio statistics of excess return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.044 | ||||
| SD | 0.005 | ||||
| Sharpe ratio (Glass type estimate) | -8.343 | ||||
| Sharpe ratio (Hedges UMVUE) | -8.265 | ||||
| df | 81.000 | ||||
| t | -21.809 | ||||
| p | 1.000 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -9.743 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -6.788 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -3.249 | ||||
| Upside Potential Ratio | 0.066 | ||||
| Upside part of mean | 0.001 | ||||
| Downside part of mean | -0.045 | ||||
| Upside SD | 0.002 | ||||
| Downside SD | 0.014 | ||||
| N nonnegative terms | 1.000 | ||||
| N negative terms | 81.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 82.000 | ||||
| Mean of predictor | 0.152 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.307 | ||||
| SD of criterion | 0.005 | ||||
| Covariance | -0.000 | ||||
| r | -0.076 | ||||
| b (slope, estimate of beta) | -0.001 | ||||
| a (intercept, estimate of alpha) | -0.044 | ||||
| Mean Square Error | 0.000 | ||||
| DF error | 80.000 | ||||
| t(b) | -0.683 | ||||
| p(b) | 0.752 | ||||
| t(a) | -21.417 | ||||
| p(a) | 1.000 | ||||
| Lowerbound of 95% confidence interval for beta | -0.005 | ||||
| Upperbound of 95% confidence interval for beta | 0.003 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.048 | ||||
| Upperbound of 95% confidence interval for alpha | -0.040 | ||||
| Treynor index (mean / b) | 33.705 | ||||
| Jensen alpha (a) | -0.044 | ||||
| Ratio statistics of excess log return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.044 | ||||
| SD | 0.005 | ||||
| Sharpe ratio (Glass type estimate) | -8.330 | ||||
| Sharpe ratio (Hedges UMVUE) | -8.253 | ||||
| df | 81.000 | ||||
| t | -21.776 | ||||
| p | 1.000 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -9.729 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -6.777 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -3.248 | ||||
| Upside Potential Ratio | 0.065 | ||||
| Upside part of mean | 0.001 | ||||
| Downside part of mean | -0.045 | ||||
| Upside SD | 0.002 | ||||
| Downside SD | 0.014 | ||||
| N nonnegative terms | 1.000 | ||||
| N negative terms | 81.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 82.000 | ||||
| Mean of predictor | 0.106 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.304 | ||||
| SD of criterion | 0.005 | ||||
| Covariance | -0.000 | ||||
| r | -0.080 | ||||
| b (slope, estimate of beta) | -0.001 | ||||
| a (intercept, estimate of alpha) | -0.044 | ||||
| Mean Square Error | 0.000 | ||||
| DF error | 80.000 | ||||
| t(b) | -0.714 | ||||
| p(b) | 0.761 | ||||
| t(a) | -21.529 | ||||
| p(a) | 1.000 | ||||
| Lowerbound of 95% confidence interval for beta | -0.005 | ||||
| Upperbound of 95% confidence interval for beta | 0.002 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.048 | ||||
| Upperbound of 95% confidence interval for alpha | -0.040 | ||||
| Treynor index (mean / b) | 31.862 | ||||
| Jensen alpha (a) | -0.044 | ||||
| Risk estimates for a one-period unit investment (parametric) | |||||
| assuming log normal returns and losses (using central moments from Sharpe statistics) | |||||
| VaR(95%) | 0.006 | ||||
| Expected Shortfall on VaR | 0.007 | ||||
| assuming Pareto losses only (using partial moments from Sortino statistics) | |||||
| VaR(95%) | 0.005 | ||||
| Expected Shortfall on VaR | 0.005 | ||||
| ORDER STATISTICS | |||||
| Quartiles of return rates | |||||
| Number of observations | 82.000 | ||||
| Minimum | 0.990 | ||||
| Quartile 1 | 1.000 | ||||
| Median | 1.000 | ||||
| Quartile 3 | 1.000 | ||||
| Maximum | 1.010 | ||||
| Mean of quarter 1 | 1.000 | ||||
| Mean of quarter 2 | 1.000 | ||||
| Mean of quarter 3 | 1.000 | ||||
| Mean of quarter 4 | 1.000 | ||||
| Inter Quartile Range | 0.000 | ||||
| Number outliers low | 1.000 | ||||
| Percentage of outliers low | 0.012 | ||||
| Mean of outliers low | 0.990 | ||||
| Number of outliers high | 2.000 | ||||
| Percentage of outliers high | 0.024 | ||||
| Mean of outliers high | 1.005 | ||||
| Risk estimates for a one-period unit investment (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 | ||||
| DRAW DOWN STATISTICS | |||||
| Quartiles of draw downs | |||||
| Number of observations | 1.000 | ||||
| Minimum | 0.010 | ||||
| Quartile 1 | 0.010 | ||||
| Median | 0.010 | ||||
| Quartile 3 | 0.010 | ||||
| Maximum | 0.010 | ||||
| Mean of quarter 1 | NA | ||||
| Mean of quarter 2 | NA | ||||
| Mean of quarter 3 | NA | ||||
| Mean of quarter 4 | NA | ||||
| Inter Quartile Range | 0.000 | ||||
| Number outliers low | 0.000 | ||||
| Percentage of outliers low | 0.000 | ||||
| Mean of outliers low | NA | ||||
| Number of outliers high | 0.000 | ||||
| Percentage of outliers high | 0.000 | ||||
| Mean of outliers high | NA | ||||
| 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) | 0.000 | ||||
| Compounded annual return (geometric extrapolation) | 0.000 | ||||
| Calmar ratio (compounded annual return / max draw down) | 0.000 | ||||
| Compounded annual return / average of 25% largest draw downs | NA | ||||
| Compounded annual return / Expected Shortfall lognormal | 0.000 | ||||
| ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back) | |||||
| RATIO STATISTICS | |||||
| Ratio statistics of excess return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.044 | ||||
| SD | 0.006 | ||||
| Sharpe ratio (Glass type estimate) | -7.106 | ||||
| Sharpe ratio (Hedges UMVUE) | -7.103 | ||||
| df | 1792.000 | ||||
| t | -18.590 | ||||
| p | 0.701 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -7.888 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -6.319 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -9.105 | ||||
| Upside Potential Ratio | 0.567 | ||||
| Upside part of mean | 0.003 | ||||
| Downside part of mean | -0.047 | ||||
| Upside SD | 0.005 | ||||
| Downside SD | 0.005 | ||||
| N nonnegative terms | 5.000 | ||||
| N negative terms | 1788.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 1793.000 | ||||
| Mean of predictor | 0.267 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.571 | ||||
| SD of criterion | 0.006 | ||||
| Covariance | -0.000 | ||||
| r | -0.080 | ||||
| b (slope, estimate of beta) | -0.001 | ||||
| a (intercept, estimate of alpha) | -0.044 | ||||
| Mean Square Error | 0.000 | ||||
| DF error | 1791.000 | ||||
| t(b) | -3.397 | ||||
| p(b) | 0.551 | ||||
| t(a) | -18.539 | ||||
| p(a) | 0.748 | ||||
| Lowerbound of 95% confidence interval for beta | -0.001 | ||||
| Upperbound of 95% confidence interval for beta | -0.000 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.048 | ||||
| Upperbound of 95% confidence interval for alpha | -0.039 | ||||
| Treynor index (mean / b) | 50.724 | ||||
| Jensen alpha (a) | -0.044 | ||||
| Ratio statistics of excess log return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.044 | ||||
| SD | 0.006 | ||||
| Sharpe ratio (Glass type estimate) | -7.122 | ||||
| Sharpe ratio (Hedges UMVUE) | -7.119 | ||||
| df | 1792.000 | ||||
| t | -18.632 | ||||
| p | 0.701 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -7.904 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -6.335 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -9.088 | ||||
| Upside Potential Ratio | 0.564 | ||||
| Upside part of mean | 0.003 | ||||
| Downside part of mean | -0.047 | ||||
| Upside SD | 0.005 | ||||
| Downside SD | 0.005 | ||||
| N nonnegative terms | 5.000 | ||||
| N negative terms | 1788.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 1793.000 | ||||
| Mean of predictor | 0.106 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.569 | ||||
| SD of criterion | 0.006 | ||||
| Covariance | -0.000 | ||||
| r | -0.088 | ||||
| b (slope, estimate of beta) | -0.001 | ||||
| a (intercept, estimate of alpha) | -0.044 | ||||
| Mean Square Error | 0.000 | ||||
| DF error | 1791.000 | ||||
| t(b) | -3.753 | ||||
| p(b) | 0.556 | ||||
| t(a) | -18.655 | ||||
| p(a) | 0.750 | ||||
| Lowerbound of 95% confidence interval for beta | -0.001 | ||||
| Upperbound of 95% confidence interval for beta | -0.000 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.049 | ||||
| Upperbound of 95% confidence interval for alpha | -0.039 | ||||
| Treynor index (mean / b) | 45.835 | ||||
| Jensen alpha (a) | -0.044 | ||||
| Risk estimates for a one-period unit investment (parametric) | |||||
| assuming log normal returns and losses (using central moments from Sharpe statistics) | |||||
| VaR(95%) | 0.001 | ||||
| Expected Shortfall on VaR | 0.001 | ||||
| assuming Pareto losses only (using partial moments from Sortino statistics) | |||||
| VaR(95%) | 0.001 | ||||
| Expected Shortfall on VaR | 0.001 | ||||
| ORDER STATISTICS | |||||
| Quartiles of return rates | |||||
| Number of observations | 1793.000 | ||||
| Minimum | 0.992 | ||||
| Quartile 1 | 1.000 | ||||
| Median | 1.000 | ||||
| Quartile 3 | 1.000 | ||||
| Maximum | 1.012 | ||||
| Mean of quarter 1 | 1.000 | ||||
| Mean of quarter 2 | 1.000 | ||||
| Mean of quarter 3 | 1.000 | ||||
| Mean of quarter 4 | 1.000 | ||||
| Inter Quartile Range | 0.000 | ||||
| Number outliers low | 8.000 | ||||
| Percentage of outliers low | 0.004 | ||||
| Mean of outliers low | 0.998 | ||||
| Number of outliers high | 9.000 | ||||
| Percentage of outliers high | 0.005 | ||||
| Mean of outliers high | 1.002 | ||||
| Risk estimates for a one-period unit investment (based on Extreme Value Theory) | |||||
| Extreme Value Index (moments method) | -19.825 | ||||
| VaR(95%) (moments method) | -11137988261684580352.000 | ||||
| Expected Shortfall (moments method) | NA | ||||
| Extreme Value Index (regression method) | 0.299 | ||||
| VaR(95%) (regression method) | -0.003 | ||||
| Expected Shortfall (regression method) | NA | ||||
| DRAW DOWN STATISTICS | |||||
| Quartiles of draw downs | |||||
| Number of observations | 2.000 | ||||
| Minimum | 0.000 | ||||
| Quartile 1 | 0.003 | ||||
| Median | 0.007 | ||||
| Quartile 3 | 0.010 | ||||
| Maximum | 0.013 | ||||
| Mean of quarter 1 | 0.000 | ||||
| Mean of quarter 2 | NA | ||||
| Mean of quarter 3 | NA | ||||
| Mean of quarter 4 | 0.013 | ||||
| Inter Quartile Range | 0.007 | ||||
| Number outliers low | 0.000 | ||||
| Percentage of outliers low | 0.000 | ||||
| Mean of outliers low | NA | ||||
| Number of outliers high | 0.000 | ||||
| Percentage of outliers high | 0.000 | ||||
| Mean of outliers high | NA | ||||
| 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) | 0.000 | ||||
| Compounded annual return (geometric extrapolation) | 0.000 | ||||
| Calmar ratio (compounded annual return / max draw down) | 0.000 | ||||
| Compounded annual return / average of 25% largest draw downs | 0.000 | ||||
| Compounded annual return / Expected Shortfall lognormal | 0.002 | ||||
| ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back) | |||||
| RATIO STATISTICS | |||||
| Ratio statistics of excess return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.044 | ||||
| SD | 0.000 | ||||
| Sharpe ratio (Glass type estimate) | NA | ||||
| Sharpe ratio (Hedges UMVUE) | NA | ||||
| df | NA | ||||
| t | NA | ||||
| p | NA | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | NA | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | NA | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -16.186 | ||||
| Upside Potential Ratio | 0.000 | ||||
| Upside part of mean | 0.000 | ||||
| Downside part of mean | -0.044 | ||||
| Upside SD | 0.000 | ||||
| Downside SD | 0.003 | ||||
| N nonnegative terms | 0.000 | ||||
| N negative terms | 131.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 131.000 | ||||
| Mean of predictor | 0.826 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.638 | ||||
| SD of criterion | 0.000 | ||||
| Covariance | 0.000 | ||||
| r | NA | ||||
| b (slope, estimate of beta) | NA | ||||
| a (intercept, estimate of alpha) | NA | ||||
| Mean Square Error | NA | ||||
| DF error | NA | ||||
| t(b) | NA | ||||
| p(b) | NA | ||||
| t(a) | NA | ||||
| p(a) | NA | ||||
| Lowerbound of 95% confidence interval for beta | NA | ||||
| Upperbound of 95% confidence interval for beta | NA | ||||
| Lowerbound of 95% confidence interval for alpha | NA | ||||
| Upperbound of 95% confidence interval for alpha | NA | ||||
| Treynor index (mean / b) | NA | ||||
| Jensen alpha (a) | NA | ||||
| Ratio statistics of excess log return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.044 | ||||
| SD | 0.000 | ||||
| Sharpe ratio (Glass type estimate) | -12492933348697024.000 | ||||
| Sharpe ratio (Hedges UMVUE) | -12420719861132300.000 | ||||
| df | 130.000 | ||||
| t | -8833837887775228.000 | ||||
| p | 1.000 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | NA | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -13930479873814932.000 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -10910959848449668.000 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -16.186 | ||||
| Upside Potential Ratio | 0.000 | ||||
| Upside part of mean | 0.000 | ||||
| Downside part of mean | -0.044 | ||||
| Upside SD | 0.000 | ||||
| Downside SD | 0.003 | ||||
| N nonnegative terms | 0.000 | ||||
| N negative terms | 131.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 131.000 | ||||
| Mean of predictor | 0.622 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.642 | ||||
| SD of criterion | 0.000 | ||||
| Covariance | -0.000 | ||||
| r | -0.000 | ||||
| b (slope, estimate of beta) | -0.000 | ||||
| a (intercept, estimate of alpha) | -0.044 | ||||
| Mean Square Error | 0.000 | ||||
| DF error | 129.000 | ||||
| t(b) | -0.000 | ||||
| p(b) | 0.500 | ||||
| t(a) | -8783913008112279.000 | ||||
| p(a) | 1.000 | ||||
| Lowerbound of 95% confidence interval for beta | -0.000 | ||||
| Upperbound of 95% confidence interval for beta | 0.000 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.044 | ||||
| Upperbound of 95% confidence interval for alpha | -0.044 | ||||
| Treynor index (mean / b) | 298727732610890804361826863677440.000 | ||||
| Jensen alpha (a) | -0.044 | ||||
| Risk estimates for a one-period unit investment (parametric) | |||||
| assuming log normal returns and losses (using central moments from Sharpe statistics) | |||||
| VaR(95%) | 0.000 | ||||
| Expected Shortfall on VaR | 0.000 | ||||
| assuming Pareto losses only (using partial moments from Sortino statistics) | |||||
| VaR(95%) | 0.000 | ||||
| Expected Shortfall on VaR | 0.000 | ||||
| ORDER STATISTICS | |||||
| Quartiles of return rates | |||||
| Number of observations | 131.000 | ||||
| Minimum | 1.000 | ||||
| Quartile 1 | 1.000 | ||||
| Median | 1.000 | ||||
| Quartile 3 | 1.000 | ||||
| Maximum | 1.000 | ||||
| Mean of quarter 1 | 1.000 | ||||
| Mean of quarter 2 | 1.000 | ||||
| Mean of quarter 3 | 1.000 | ||||
| Mean of quarter 4 | 1.000 | ||||
| Inter Quartile Range | 0.000 | ||||
| Number outliers low | 0.000 | ||||
| Percentage of outliers low | 0.000 | ||||
| Mean of outliers low | NA | ||||
| Number of outliers high | 0.000 | ||||
| Percentage of outliers high | 0.000 | ||||
| Mean of outliers high | NA | ||||
| Risk estimates for a one-period unit investment (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 | ||||
| DRAW DOWN STATISTICS | |||||
| Quartiles of draw downs | |||||
| Number of observations | 0.000 | ||||
| Minimum | NA | ||||
| Quartile 1 | NA | ||||
| Median | NA | ||||
| Quartile 3 | NA | ||||
| Maximum | NA | ||||
| Mean of quarter 1 | NA | ||||
| Mean of quarter 2 | NA | ||||
| Mean of quarter 3 | NA | ||||
| Mean of quarter 4 | NA | ||||
| Inter Quartile Range | 0.000 | ||||
| Number outliers low | 0.000 | ||||
| Percentage of outliers low | NA | ||||
| Mean of outliers low | NA | ||||
| Number of outliers high | 0.000 | ||||
| Percentage of outliers high | NA | ||||
| Mean of outliers high | NA | ||||
| 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) | 0.000 | ||||
| Compounded annual return (geometric extrapolation) | 0.000 | ||||
| Calmar ratio (compounded annual return / max draw down) | NA | ||||
| Compounded annual return / average of 25% largest draw downs | NA | ||||
| Compounded annual return / Expected Shortfall lognormal | 0.000 | ||||