Advanced Statistics: NewShunxinNQ
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 | 0.041 | ||||
| SD | 0.234 | ||||
| Sharpe ratio (Glass type estimate) | 0.176 | ||||
| Sharpe ratio (Hedges UMVUE) | 0.174 | ||||
| df | 66.000 | ||||
| t | 0.416 | ||||
| p | 0.339 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.655 | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.005 | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -0.656 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | 1.004 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | 0.390 | ||||
| Upside Potential Ratio | 1.873 | ||||
| Upside part of mean | 0.198 | ||||
| Downside part of mean | -0.157 | ||||
| Upside SD | 0.207 | ||||
| Downside SD | 0.106 | ||||
| N nonnegative terms | 10.000 | ||||
| N negative terms | 57.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 67.000 | ||||
| Mean of predictor | 0.194 | ||||
| Mean of criterion | 0.041 | ||||
| SD of predictor | 0.262 | ||||
| SD of criterion | 0.234 | ||||
| Covariance | -0.018 | ||||
| r | -0.297 | ||||
| b (slope, estimate of beta) | -0.265 | ||||
| a (intercept, estimate of alpha) | 0.093 | ||||
| Mean Square Error | 0.051 | ||||
| DF error | 65.000 | ||||
| t(b) | -2.505 | ||||
| p(b) | 0.993 | ||||
| t(a) | 0.950 | ||||
| p(a) | 0.173 | ||||
| Lowerbound of 95% confidence interval for beta | -0.476 | ||||
| Upperbound of 95% confidence interval for beta | -0.054 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.102 | ||||
| Upperbound of 95% confidence interval for alpha | 0.287 | ||||
| Treynor index (mean / b) | -0.155 | ||||
| Jensen alpha (a) | 0.093 | ||||
| Ratio statistics of excess log return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | 0.017 | ||||
| SD | 0.214 | ||||
| Sharpe ratio (Glass type estimate) | 0.081 | ||||
| Sharpe ratio (Hedges UMVUE) | 0.080 | ||||
| df | 66.000 | ||||
| t | 0.190 | ||||
| p | 0.425 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.749 | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.910 | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -0.750 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | 0.909 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | 0.155 | ||||
| Upside Potential Ratio | 1.619 | ||||
| Upside part of mean | 0.179 | ||||
| Downside part of mean | -0.162 | ||||
| Upside SD | 0.181 | ||||
| Downside SD | 0.111 | ||||
| N nonnegative terms | 10.000 | ||||
| N negative terms | 57.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 67.000 | ||||
| Mean of predictor | 0.159 | ||||
| Mean of criterion | 0.017 | ||||
| SD of predictor | 0.260 | ||||
| SD of criterion | 0.214 | ||||
| Covariance | -0.016 | ||||
| r | -0.296 | ||||
| b (slope, estimate of beta) | -0.243 | ||||
| a (intercept, estimate of alpha) | 0.056 | ||||
| Mean Square Error | 0.042 | ||||
| DF error | 65.000 | ||||
| t(b) | -2.498 | ||||
| p(b) | 0.992 | ||||
| t(a) | 0.631 | ||||
| p(a) | 0.265 | ||||
| Lowerbound of 95% confidence interval for beta | -0.437 | ||||
| Upperbound of 95% confidence interval for beta | -0.049 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.121 | ||||
| Upperbound of 95% confidence interval for alpha | 0.232 | ||||
| Treynor index (mean / b) | -0.071 | ||||
| Jensen alpha (a) | 0.056 | ||||
| Risk estimates for a one-period unit investment (parametric) | |||||
| assuming log normal returns and losses (using central moments from Sharpe statistics) | |||||
| VaR(95%) | 0.095 | ||||
| Expected Shortfall on VaR | 0.118 | ||||
| assuming Pareto losses only (using partial moments from Sortino statistics) | |||||
| VaR(95%) | 0.041 | ||||
| Expected Shortfall on VaR | 0.080 | ||||
| ORDER STATISTICS | |||||
| Quartiles of return rates | |||||
| Number of observations | 67.000 | ||||
| Minimum | 0.881 | ||||
| Quartile 1 | 1.000 | ||||
| Median | 1.000 | ||||
| Quartile 3 | 1.000 | ||||
| Maximum | 1.392 | ||||
| Mean of quarter 1 | 0.961 | ||||
| Mean of quarter 2 | 1.000 | ||||
| Mean of quarter 3 | 1.000 | ||||
| Mean of quarter 4 | 1.067 | ||||
| Inter Quartile Range | 0.000 | ||||
| Number outliers low | 10.000 | ||||
| Percentage of outliers low | 0.149 | ||||
| Mean of outliers low | 0.933 | ||||
| Number of outliers high | 10.000 | ||||
| Percentage of outliers high | 0.149 | ||||
| Mean of outliers high | 1.114 | ||||
| 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) | -0.831 | ||||
| VaR(95%) (regression method) | 0.052 | ||||
| Expected Shortfall (regression method) | 0.067 | ||||
| DRAW DOWN STATISTICS | |||||
| Quartiles of draw downs | |||||
| Number of observations | 4.000 | ||||
| Minimum | 0.028 | ||||
| Quartile 1 | 0.046 | ||||
| Median | 0.090 | ||||
| Quartile 3 | 0.180 | ||||
| Maximum | 0.337 | ||||
| Mean of quarter 1 | 0.028 | ||||
| Mean of quarter 2 | 0.052 | ||||
| Mean of quarter 3 | 0.127 | ||||
| Mean of quarter 4 | 0.337 | ||||
| Inter Quartile Range | 0.134 | ||||
| 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) | 0.073 | ||||
| Compounded annual return (geometric extrapolation) | 0.063 | ||||
| Calmar ratio (compounded annual return / max draw down) | 0.187 | ||||
| Compounded annual return / average of 25% largest draw downs | 0.187 | ||||
| Compounded annual return / Expected Shortfall lognormal | 0.535 | ||||
| ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back) | |||||
| RATIO STATISTICS | |||||
| Ratio statistics of excess return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | 0.537 | ||||
| SD | 1.099 | ||||
| Sharpe ratio (Glass type estimate) | 0.488 | ||||
| Sharpe ratio (Hedges UMVUE) | 0.488 | ||||
| df | 1481.000 | ||||
| t | 1.162 | ||||
| p | 0.481 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.336 | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.313 | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -0.336 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | 1.312 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | 0.959 | ||||
| Upside Potential Ratio | 4.075 | ||||
| Upside part of mean | 2.282 | ||||
| Downside part of mean | -1.745 | ||||
| Upside SD | 0.946 | ||||
| Downside SD | 0.560 | ||||
| N nonnegative terms | 193.000 | ||||
| N negative terms | 1289.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 1482.000 | ||||
| Mean of predictor | 0.397 | ||||
| Mean of criterion | 0.537 | ||||
| SD of predictor | 0.646 | ||||
| SD of criterion | 1.099 | ||||
| Covariance | -0.380 | ||||
| r | -0.535 | ||||
| b (slope, estimate of beta) | -0.911 | ||||
| a (intercept, estimate of alpha) | 0.898 | ||||
| Mean Square Error | 0.864 | ||||
| DF error | 1480.000 | ||||
| t(b) | -24.343 | ||||
| p(b) | 0.767 | ||||
| t(a) | 2.297 | ||||
| p(a) | 0.470 | ||||
| Lowerbound of 95% confidence interval for beta | -0.984 | ||||
| Upperbound of 95% confidence interval for beta | -0.837 | ||||
| Lowerbound of 95% confidence interval for alpha | 0.131 | ||||
| Upperbound of 95% confidence interval for alpha | 1.665 | ||||
| Treynor index (mean / b) | -0.590 | ||||
| Jensen alpha (a) | 0.898 | ||||
| Ratio statistics of excess log return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | 0.016 | ||||
| SD | 1.007 | ||||
| Sharpe ratio (Glass type estimate) | 0.016 | ||||
| Sharpe ratio (Hedges UMVUE) | 0.016 | ||||
| df | 1481.000 | ||||
| t | 0.039 | ||||
| p | 0.499 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.808 | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.840 | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -0.808 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | 0.840 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | 0.023 | ||||
| Upside Potential Ratio | 2.807 | ||||
| Upside part of mean | 1.972 | ||||
| Downside part of mean | -1.956 | ||||
| Upside SD | 0.721 | ||||
| Downside SD | 0.703 | ||||
| N nonnegative terms | 193.000 | ||||
| N negative terms | 1289.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 1482.000 | ||||
| Mean of predictor | 0.194 | ||||
| Mean of criterion | 0.016 | ||||
| SD of predictor | 0.635 | ||||
| SD of criterion | 1.007 | ||||
| Covariance | -0.369 | ||||
| r | -0.577 | ||||
| b (slope, estimate of beta) | -0.916 | ||||
| a (intercept, estimate of alpha) | 0.194 | ||||
| Mean Square Error | 0.677 | ||||
| DF error | 1480.000 | ||||
| t(b) | -27.191 | ||||
| p(b) | 0.789 | ||||
| t(a) | 0.561 | ||||
| p(a) | 0.493 | ||||
| Lowerbound of 95% confidence interval for beta | -0.982 | ||||
| Upperbound of 95% confidence interval for beta | -0.850 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.484 | ||||
| Upperbound of 95% confidence interval for alpha | 0.873 | ||||
| Treynor index (mean / b) | -0.018 | ||||
| Jensen alpha (a) | 0.194 | ||||
| Risk estimates for a one-period unit investment (parametric) | |||||
| assuming log normal returns and losses (using central moments from Sharpe statistics) | |||||
| VaR(95%) | 0.097 | ||||
| Expected Shortfall on VaR | 0.120 | ||||
| assuming Pareto losses only (using partial moments from Sortino statistics) | |||||
| VaR(95%) | 0.021 | ||||
| Expected Shortfall on VaR | 0.048 | ||||
| ORDER STATISTICS | |||||
| Quartiles of return rates | |||||
| Number of observations | 1482.000 | ||||
| Minimum | 0.462 | ||||
| Quartile 1 | 1.000 | ||||
| Median | 1.000 | ||||
| Quartile 3 | 1.000 | ||||
| Maximum | 2.190 | ||||
| Mean of quarter 1 | 0.974 | ||||
| Mean of quarter 2 | 1.000 | ||||
| Mean of quarter 3 | 1.000 | ||||
| Mean of quarter 4 | 1.035 | ||||
| Inter Quartile Range | 0.000 | ||||
| Number outliers low | 202.000 | ||||
| Percentage of outliers low | 0.136 | ||||
| Mean of outliers low | 0.952 | ||||
| Number of outliers high | 194.000 | ||||
| Percentage of outliers high | 0.131 | ||||
| Mean of outliers high | 1.067 | ||||
| Risk estimates for a one-period unit investment (based on Extreme Value Theory) | |||||
| Extreme Value Index (moments method) | 0.209 | ||||
| VaR(95%) (moments method) | 0.003 | ||||
| Expected Shortfall (moments method) | 0.007 | ||||
| Extreme Value Index (regression method) | 0.544 | ||||
| VaR(95%) (regression method) | 0.019 | ||||
| Expected Shortfall (regression method) | 0.071 | ||||
| DRAW DOWN STATISTICS | |||||
| Quartiles of draw downs | |||||
| Number of observations | 11.000 | ||||
| Minimum | 0.048 | ||||
| Quartile 1 | 0.150 | ||||
| Median | 0.174 | ||||
| Quartile 3 | 0.288 | ||||
| Maximum | 0.558 | ||||
| Mean of quarter 1 | 0.100 | ||||
| Mean of quarter 2 | 0.174 | ||||
| Mean of quarter 3 | 0.200 | ||||
| Mean of quarter 4 | 0.433 | ||||
| Inter Quartile Range | 0.137 | ||||
| Number outliers low | 0.000 | ||||
| Percentage of outliers low | 0.000 | ||||
| Mean of outliers low | NA | ||||
| Number of outliers high | 1.000 | ||||
| Percentage of outliers high | 0.091 | ||||
| Mean of outliers high | 0.558 | ||||
| Risk estimates based on draw downs (based on Extreme Value Theory) | |||||
| Extreme Value Index (moments method) | 0.113 | ||||
| VaR(95%) (moments method) | 0.479 | ||||
| Expected Shortfall (moments method) | 0.584 | ||||
| Extreme Value Index (regression method) | 3.627 | ||||
| VaR(95%) (regression method) | 0.688 | ||||
| Expected Shortfall (regression method) | NA | ||||
| COMBINED STATISTICS | |||||
| Annualized return (arithmetic extrapolation) | 0.072 | ||||
| Compounded annual return (geometric extrapolation) | 0.062 | ||||
| Calmar ratio (compounded annual return / max draw down) | 0.112 | ||||
| Compounded annual return / average of 25% largest draw downs | 0.144 | ||||
| Compounded annual return / Expected Shortfall lognormal | 0.519 | ||||
| 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 | 1.470 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.624 | ||||
| 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 | 1.271 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.630 | ||||
| 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) | -8731668887892487.000 | ||||
| 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) | -959288671019116761857125412503552.000 | ||||
| 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 | ||||