Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +38.3% Cumul. Return since Sep 23, 2025 Hypothetical

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Advanced Statistics: ETF Timer

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
 Mean0.097
 SD0.266
 Sharpe ratio (Glass type estimate) 0.365
 Sharpe ratio (Hedges UMVUE)0.363
 df201.000
 t1.496
 p0.433
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.115
 Upperbound of 95% confidence interval for Sharpe Ratio0.843
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.116
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.842
Statistics related to Sortino ratio
 Sortino ratio0.471
 Upside Potential Ratio1.559
 Upside part of mean0.322
 Downside part of mean-0.224
 Upside SD0.170
 Downside SD0.206
 N nonnegative terms114.000
 N negative terms88.000
Statistics related to linear regression on benchmark
 N of observations202.000
 Mean of predictor0.076
 Mean of criterion0.097
 SD of predictor0.186
 SD of criterion0.266
 Covariance0.018
 r0.360
 b (slope, estimate of beta)0.515
 a (intercept, estimate of alpha)0.058
 Mean Square Error0.062
 DF error200.000
 t(b)5.459
 p(b)0.320
 t(a)0.951
 p(a)0.466
 Lowerbound of 95% confidence interval for beta0.329
 Upperbound of 95% confidence interval for beta0.701
 Lowerbound of 95% confidence interval for alpha-0.062
 Upperbound of 95% confidence interval for alpha0.179
 Treynor index (mean / b)0.189
 Jensen alpha (a)0.058
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.047
 SD0.352
 Sharpe ratio (Glass type estimate) 0.134
 Sharpe ratio (Hedges UMVUE)0.133
 df201.000
 t0.548
 p0.475
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.344
 Upperbound of 95% confidence interval for Sharpe Ratio0.611
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.345
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.611
Statistics related to Sortino ratio
 Sortino ratio0.150
 Upside Potential Ratio0.980
 Upside part of mean0.307
 Downside part of mean-0.260
 Upside SD0.160
 Downside SD0.313
 N nonnegative terms114.000
 N negative terms88.000
Statistics related to linear regression on benchmark
 N of observations202.000
 Mean of predictor0.058
 Mean of criterion0.047
 SD of predictor0.189
 SD of criterion0.352
 Covariance0.017
 r0.258
 b (slope, estimate of beta)0.481
 a (intercept, estimate of alpha)0.019
 Mean Square Error0.117
 DF error200.000
 t(b)3.772
 p(b)0.371
 t(a)0.231
 p(a)0.492
 Lowerbound of 95% confidence interval for beta0.230
 Upperbound of 95% confidence interval for beta0.732
 Lowerbound of 95% confidence interval for alpha-0.145
 Upperbound of 95% confidence interval for alpha0.184
 Treynor index (mean / b)0.098
 Jensen alpha (a)0.019
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.151
 Expected Shortfall on VaR0.186
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.038
 Expected Shortfall on VaR0.087
ORDER STATISTICS
Quartiles of return rates
 Number of observations202.000
 Minimum0.309
 Quartile 10.983
 Median1.010
 Quartile 31.042
 Maximum1.201
 Mean of quarter 10.936
 Mean of quarter 20.999
 Mean of quarter 31.025
 Mean of quarter 41.088
 Inter Quartile Range0.059
 Number outliers low5.000
 Percentage of outliers low0.025
 Mean of outliers low0.740
 Number of outliers high10.000
 Percentage of outliers high0.050
 Mean of outliers high1.160
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.428
 VaR(95%) (moments method)0.057
 Expected Shortfall (moments method)0.116
 Extreme Value Index (regression method)0.348
 VaR(95%) (regression method)0.057
 Expected Shortfall (regression method)0.107
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations20.000
 Minimum0.001
 Quartile 10.018
 Median0.056
 Quartile 30.146
 Maximum0.691
 Mean of quarter 10.007
 Mean of quarter 20.040
 Mean of quarter 30.102
 Mean of quarter 40.341
 Inter Quartile Range0.128
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high2.000
 Percentage of outliers high0.100
 Mean of outliers high0.517
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.418
 VaR(95%) (moments method)0.346
 Expected Shortfall (moments method)0.416
 Extreme Value Index (regression method)0.207
 VaR(95%) (regression method)0.472
 Expected Shortfall (regression method)0.770
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.216
 Compounded annual return (geometric extrapolation)0.095
 Calmar ratio (compounded annual return / max draw down)0.138
 Compounded annual return / average of 25% largest draw downs0.280
 Compounded annual return / Expected Shortfall lognormal0.514
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.136
 SD0.396
 Sharpe ratio (Glass type estimate) 0.345
 Sharpe ratio (Hedges UMVUE)0.345
 df4431.000
 t1.417
 p0.078
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.132
 Upperbound of 95% confidence interval for Sharpe Ratio0.821
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.132
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.821
Statistics related to Sortino ratio
 Sortino ratio0.476
 Upside Potential Ratio4.602
 Upside part of mean1.320
 Downside part of mean-1.184
 Upside SD0.273
 Downside SD0.287
 N nonnegative terms2182.000
 N negative terms2250.000
Statistics related to linear regression on benchmark
 N of observations4432.000
 Mean of predictor0.113
 Mean of criterion0.136
 SD of predictor0.335
 SD of criterion0.396
 Covariance-0.026
 r-0.193
 b (slope, estimate of beta)-0.229
 a (intercept, estimate of alpha)0.162
 Mean Square Error0.151
 DF error4430.000
 t(b)-13.125
 p(b)1.000
 t(a)1.718
 p(a)0.043
 Lowerbound of 95% confidence interval for beta-0.263
 Upperbound of 95% confidence interval for beta-0.195
 Lowerbound of 95% confidence interval for alpha-0.023
 Upperbound of 95% confidence interval for alpha0.348
 Treynor index (mean / b)-0.597
 Jensen alpha (a)0.162
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.045
 SD0.452
 Sharpe ratio (Glass type estimate) 0.100
 Sharpe ratio (Hedges UMVUE)0.100
 df4431.000
 t0.413
 p0.340
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.376
 Upperbound of 95% confidence interval for Sharpe Ratio0.577
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.376
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.577
Statistics related to Sortino ratio
 Sortino ratio0.121
 Upside Potential Ratio3.429
 Upside part of mean1.287
 Downside part of mean-1.241
 Upside SD0.252
 Downside SD0.375
 N nonnegative terms2182.000
 N negative terms2250.000
Statistics related to linear regression on benchmark
 N of observations4432.000
 Mean of predictor0.057
 Mean of criterion0.045
 SD of predictor0.335
 SD of criterion0.452
 Covariance-0.026
 r-0.173
 b (slope, estimate of beta)-0.234
 a (intercept, estimate of alpha)0.059
 Mean Square Error0.198
 DF error4430.000
 t(b)-11.723
 p(b)1.000
 t(a)0.543
 p(a)0.294
 Lowerbound of 95% confidence interval for beta-0.273
 Upperbound of 95% confidence interval for beta-0.195
 Lowerbound of 95% confidence interval for alpha-0.154
 Upperbound of 95% confidence interval for alpha0.271
 Treynor index (mean / b)-0.194
 Jensen alpha (a)0.059
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.045
 Expected Shortfall on VaR0.056
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.010
 Expected Shortfall on VaR0.023
ORDER STATISTICS
Quartiles of return rates
 Number of observations4432.000
 Minimum0.318
 Quartile 10.996
 Median1.000
 Quartile 31.005
 Maximum1.361
 Mean of quarter 10.983
 Mean of quarter 20.999
 Mean of quarter 31.002
 Mean of quarter 41.018
 Inter Quartile Range0.009
 Number outliers low268.000
 Percentage of outliers low0.060
 Mean of outliers low0.957
 Number of outliers high256.000
 Percentage of outliers high0.058
 Mean of outliers high1.045
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.637
 VaR(95%) (moments method)0.015
 Expected Shortfall (moments method)0.045
 Extreme Value Index (regression method)0.483
 VaR(95%) (regression method)0.013
 Expected Shortfall (regression method)0.028
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations124.000
 Minimum0.000
 Quartile 10.003
 Median0.007
 Quartile 30.029
 Maximum0.697
 Mean of quarter 10.001
 Mean of quarter 20.005
 Mean of quarter 30.016
 Mean of quarter 40.127
 Inter Quartile Range0.026
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high17.000
 Percentage of outliers high0.137
 Mean of outliers high0.195
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.650
 VaR(95%) (moments method)0.120
 Expected Shortfall (moments method)0.383
 Extreme Value Index (regression method)0.609
 VaR(95%) (regression method)0.125
 Expected Shortfall (regression method)0.364
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.209
 Compounded annual return (geometric extrapolation)0.094
 Calmar ratio (compounded annual return / max draw down)0.134
 Compounded annual return / average of 25% largest draw downs0.735
 Compounded annual return / Expected Shortfall lognormal1.676
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.038
 SD0.205
 Sharpe ratio (Glass type estimate) 0.185
 Sharpe ratio (Hedges UMVUE)0.184
 df130.000
 t0.131
 p0.494
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.587
 Upperbound of 95% confidence interval for Sharpe Ratio2.956
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.588
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.956
Statistics related to Sortino ratio
 Sortino ratio0.267
 Upside Potential Ratio9.136
 Upside part of mean1.296
 Downside part of mean-1.258
 Upside SD0.147
 Downside SD0.142
 N nonnegative terms70.000
 N negative terms61.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.119
 Mean of criterion0.038
 SD of predictor0.133
 SD of criterion0.205
 Covariance0.021
 r0.768
 b (slope, estimate of beta)1.182
 a (intercept, estimate of alpha)-0.103
 Mean Square Error0.017
 DF error129.000
 t(b)13.609
 p(b)0.065
 t(a)-0.549
 p(a)0.531
 Lowerbound of 95% confidence interval for beta1.010
 Upperbound of 95% confidence interval for beta1.354
 Lowerbound of 95% confidence interval for alpha-0.472
 Upperbound of 95% confidence interval for alpha0.267
 Treynor index (mean / b)0.032
 Jensen alpha (a)-0.103
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.017
 SD0.205
 Sharpe ratio (Glass type estimate) 0.083
 Sharpe ratio (Hedges UMVUE)0.083
 df130.000
 t0.059
 p0.497
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.689
 Upperbound of 95% confidence interval for Sharpe Ratio2.855
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.689
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.854
Statistics related to Sortino ratio
 Sortino ratio0.119
 Upside Potential Ratio8.963
 Upside part of mean1.285
 Downside part of mean-1.268
 Upside SD0.145
 Downside SD0.143
 N nonnegative terms70.000
 N negative terms61.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.110
 Mean of criterion0.017
 SD of predictor0.133
 SD of criterion0.205
 Covariance0.021
 r0.770
 b (slope, estimate of beta)1.185
 a (intercept, estimate of alpha)-0.113
 Mean Square Error0.017
 DF error129.000
 t(b)13.709
 p(b)0.064
 t(a)-0.609
 p(a)0.534
 Lowerbound of 95% confidence interval for beta1.014
 Upperbound of 95% confidence interval for beta1.356
 Lowerbound of 95% confidence interval for alpha-0.481
 Upperbound of 95% confidence interval for alpha0.254
 Treynor index (mean / b)0.014
 Jensen alpha (a)-0.113
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.021
 Expected Shortfall on VaR0.026
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.011
 Expected Shortfall on VaR0.020
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.963
 Quartile 10.993
 Median1.001
 Quartile 31.007
 Maximum1.040
 Mean of quarter 10.985
 Mean of quarter 20.997
 Mean of quarter 31.004
 Mean of quarter 41.016
 Inter Quartile Range0.015
 Number outliers low2.000
 Percentage of outliers low0.015
 Mean of outliers low0.964
 Number of outliers high2.000
 Percentage of outliers high0.015
 Mean of outliers high1.035
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.204
 VaR(95%) (moments method)0.016
 Expected Shortfall (moments method)0.019
 Extreme Value Index (regression method)-0.089
 VaR(95%) (regression method)0.015
 Expected Shortfall (regression method)0.018
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations8.000
 Minimum0.001
 Quartile 10.003
 Median0.017
 Quartile 30.046
 Maximum0.158
 Mean of quarter 10.001
 Mean of quarter 20.005
 Mean of quarter 30.034
 Mean of quarter 40.111
 Inter Quartile Range0.043
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.125
 Mean of outliers high0.158
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)0.062
 Compounded annual return (geometric extrapolation)0.063
 Calmar ratio (compounded annual return / max draw down)0.399
 Compounded annual return / average of 25% largest draw downs0.566
 Compounded annual return / Expected Shortfall lognormal2.450

Advanced Statistics: ETF Timer

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
 Mean0.097
 SD0.266
 Sharpe ratio (Glass type estimate) 0.365
 Sharpe ratio (Hedges UMVUE)0.363
 df201.000
 t1.496
 p0.433
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.115
 Upperbound of 95% confidence interval for Sharpe Ratio0.843
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.116
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.842
Statistics related to Sortino ratio
 Sortino ratio0.471
 Upside Potential Ratio1.559
 Upside part of mean0.322
 Downside part of mean-0.224
 Upside SD0.170
 Downside SD0.206
 N nonnegative terms114.000
 N negative terms88.000
Statistics related to linear regression on benchmark
 N of observations202.000
 Mean of predictor0.076
 Mean of criterion0.097
 SD of predictor0.186
 SD of criterion0.266
 Covariance0.018
 r0.360
 b (slope, estimate of beta)0.515
 a (intercept, estimate of alpha)0.058
 Mean Square Error0.062
 DF error200.000
 t(b)5.459
 p(b)0.320
 t(a)0.951
 p(a)0.466
 Lowerbound of 95% confidence interval for beta0.329
 Upperbound of 95% confidence interval for beta0.701
 Lowerbound of 95% confidence interval for alpha-0.062
 Upperbound of 95% confidence interval for alpha0.179
 Treynor index (mean / b)0.189
 Jensen alpha (a)0.058
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.047
 SD0.352
 Sharpe ratio (Glass type estimate) 0.134
 Sharpe ratio (Hedges UMVUE)0.133
 df201.000
 t0.548
 p0.475
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.344
 Upperbound of 95% confidence interval for Sharpe Ratio0.611
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.345
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.611
Statistics related to Sortino ratio
 Sortino ratio0.150
 Upside Potential Ratio0.980
 Upside part of mean0.307
 Downside part of mean-0.260
 Upside SD0.160
 Downside SD0.313
 N nonnegative terms114.000
 N negative terms88.000
Statistics related to linear regression on benchmark
 N of observations202.000
 Mean of predictor0.058
 Mean of criterion0.047
 SD of predictor0.189
 SD of criterion0.352
 Covariance0.017
 r0.258
 b (slope, estimate of beta)0.481
 a (intercept, estimate of alpha)0.019
 Mean Square Error0.117
 DF error200.000
 t(b)3.772
 p(b)0.371
 t(a)0.231
 p(a)0.492
 Lowerbound of 95% confidence interval for beta0.230
 Upperbound of 95% confidence interval for beta0.732
 Lowerbound of 95% confidence interval for alpha-0.145
 Upperbound of 95% confidence interval for alpha0.184
 Treynor index (mean / b)0.098
 Jensen alpha (a)0.019
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.151
 Expected Shortfall on VaR0.186
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.038
 Expected Shortfall on VaR0.087
ORDER STATISTICS
Quartiles of return rates
 Number of observations202.000
 Minimum0.309
 Quartile 10.983
 Median1.010
 Quartile 31.042
 Maximum1.201
 Mean of quarter 10.936
 Mean of quarter 20.999
 Mean of quarter 31.025
 Mean of quarter 41.088
 Inter Quartile Range0.059
 Number outliers low5.000
 Percentage of outliers low0.025
 Mean of outliers low0.740
 Number of outliers high10.000
 Percentage of outliers high0.050
 Mean of outliers high1.160
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.428
 VaR(95%) (moments method)0.057
 Expected Shortfall (moments method)0.116
 Extreme Value Index (regression method)0.348
 VaR(95%) (regression method)0.057
 Expected Shortfall (regression method)0.107
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations20.000
 Minimum0.001
 Quartile 10.018
 Median0.056
 Quartile 30.146
 Maximum0.691
 Mean of quarter 10.007
 Mean of quarter 20.040
 Mean of quarter 30.102
 Mean of quarter 40.341
 Inter Quartile Range0.128
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high2.000
 Percentage of outliers high0.100
 Mean of outliers high0.517
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.418
 VaR(95%) (moments method)0.346
 Expected Shortfall (moments method)0.416
 Extreme Value Index (regression method)0.207
 VaR(95%) (regression method)0.472
 Expected Shortfall (regression method)0.770
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.216
 Compounded annual return (geometric extrapolation)0.095
 Calmar ratio (compounded annual return / max draw down)0.138
 Compounded annual return / average of 25% largest draw downs0.280
 Compounded annual return / Expected Shortfall lognormal0.514
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.136
 SD0.396
 Sharpe ratio (Glass type estimate) 0.345
 Sharpe ratio (Hedges UMVUE)0.345
 df4431.000
 t1.417
 p0.078
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.132
 Upperbound of 95% confidence interval for Sharpe Ratio0.821
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.132
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.821
Statistics related to Sortino ratio
 Sortino ratio0.476
 Upside Potential Ratio4.602
 Upside part of mean1.320
 Downside part of mean-1.184
 Upside SD0.273
 Downside SD0.287
 N nonnegative terms2182.000
 N negative terms2250.000
Statistics related to linear regression on benchmark
 N of observations4432.000
 Mean of predictor0.113
 Mean of criterion0.136
 SD of predictor0.335
 SD of criterion0.396
 Covariance-0.026
 r-0.193
 b (slope, estimate of beta)-0.229
 a (intercept, estimate of alpha)0.162
 Mean Square Error0.151
 DF error4430.000
 t(b)-13.125
 p(b)1.000
 t(a)1.718
 p(a)0.043
 Lowerbound of 95% confidence interval for beta-0.263
 Upperbound of 95% confidence interval for beta-0.195
 Lowerbound of 95% confidence interval for alpha-0.023
 Upperbound of 95% confidence interval for alpha0.348
 Treynor index (mean / b)-0.597
 Jensen alpha (a)0.162
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.045
 SD0.452
 Sharpe ratio (Glass type estimate) 0.100
 Sharpe ratio (Hedges UMVUE)0.100
 df4431.000
 t0.413
 p0.340
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.376
 Upperbound of 95% confidence interval for Sharpe Ratio0.577
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.376
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.577
Statistics related to Sortino ratio
 Sortino ratio0.121
 Upside Potential Ratio3.429
 Upside part of mean1.287
 Downside part of mean-1.241
 Upside SD0.252
 Downside SD0.375
 N nonnegative terms2182.000
 N negative terms2250.000
Statistics related to linear regression on benchmark
 N of observations4432.000
 Mean of predictor0.057
 Mean of criterion0.045
 SD of predictor0.335
 SD of criterion0.452
 Covariance-0.026
 r-0.173
 b (slope, estimate of beta)-0.234
 a (intercept, estimate of alpha)0.059
 Mean Square Error0.198
 DF error4430.000
 t(b)-11.723
 p(b)1.000
 t(a)0.543
 p(a)0.294
 Lowerbound of 95% confidence interval for beta-0.273
 Upperbound of 95% confidence interval for beta-0.195
 Lowerbound of 95% confidence interval for alpha-0.154
 Upperbound of 95% confidence interval for alpha0.271
 Treynor index (mean / b)-0.194
 Jensen alpha (a)0.059
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.045
 Expected Shortfall on VaR0.056
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.010
 Expected Shortfall on VaR0.023
ORDER STATISTICS
Quartiles of return rates
 Number of observations4432.000
 Minimum0.318
 Quartile 10.996
 Median1.000
 Quartile 31.005
 Maximum1.361
 Mean of quarter 10.983
 Mean of quarter 20.999
 Mean of quarter 31.002
 Mean of quarter 41.018
 Inter Quartile Range0.009
 Number outliers low268.000
 Percentage of outliers low0.060
 Mean of outliers low0.957
 Number of outliers high256.000
 Percentage of outliers high0.058
 Mean of outliers high1.045
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.637
 VaR(95%) (moments method)0.015
 Expected Shortfall (moments method)0.045
 Extreme Value Index (regression method)0.483
 VaR(95%) (regression method)0.013
 Expected Shortfall (regression method)0.028
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations124.000
 Minimum0.000
 Quartile 10.003
 Median0.007
 Quartile 30.029
 Maximum0.697
 Mean of quarter 10.001
 Mean of quarter 20.005
 Mean of quarter 30.016
 Mean of quarter 40.127
 Inter Quartile Range0.026
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high17.000
 Percentage of outliers high0.137
 Mean of outliers high0.195
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.650
 VaR(95%) (moments method)0.120
 Expected Shortfall (moments method)0.383
 Extreme Value Index (regression method)0.609
 VaR(95%) (regression method)0.125
 Expected Shortfall (regression method)0.364
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.209
 Compounded annual return (geometric extrapolation)0.094
 Calmar ratio (compounded annual return / max draw down)0.134
 Compounded annual return / average of 25% largest draw downs0.735
 Compounded annual return / Expected Shortfall lognormal1.676
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.038
 SD0.205
 Sharpe ratio (Glass type estimate) 0.185
 Sharpe ratio (Hedges UMVUE)0.184
 df130.000
 t0.131
 p0.494
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.587
 Upperbound of 95% confidence interval for Sharpe Ratio2.956
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.588
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.956
Statistics related to Sortino ratio
 Sortino ratio0.267
 Upside Potential Ratio9.136
 Upside part of mean1.296
 Downside part of mean-1.258
 Upside SD0.147
 Downside SD0.142
 N nonnegative terms70.000
 N negative terms61.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.119
 Mean of criterion0.038
 SD of predictor0.133
 SD of criterion0.205
 Covariance0.021
 r0.768
 b (slope, estimate of beta)1.182
 a (intercept, estimate of alpha)-0.103
 Mean Square Error0.017
 DF error129.000
 t(b)13.609
 p(b)0.065
 t(a)-0.549
 p(a)0.531
 Lowerbound of 95% confidence interval for beta1.010
 Upperbound of 95% confidence interval for beta1.354
 Lowerbound of 95% confidence interval for alpha-0.472
 Upperbound of 95% confidence interval for alpha0.267
 Treynor index (mean / b)0.032
 Jensen alpha (a)-0.103
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.017
 SD0.205
 Sharpe ratio (Glass type estimate) 0.083
 Sharpe ratio (Hedges UMVUE)0.083
 df130.000
 t0.059
 p0.497
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.689
 Upperbound of 95% confidence interval for Sharpe Ratio2.855
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.689
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.854
Statistics related to Sortino ratio
 Sortino ratio0.119
 Upside Potential Ratio8.963
 Upside part of mean1.285
 Downside part of mean-1.268
 Upside SD0.145
 Downside SD0.143
 N nonnegative terms70.000
 N negative terms61.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.110
 Mean of criterion0.017
 SD of predictor0.133
 SD of criterion0.205
 Covariance0.021
 r0.770
 b (slope, estimate of beta)1.185
 a (intercept, estimate of alpha)-0.113
 Mean Square Error0.017
 DF error129.000
 t(b)13.709
 p(b)0.064
 t(a)-0.609
 p(a)0.534
 Lowerbound of 95% confidence interval for beta1.014
 Upperbound of 95% confidence interval for beta1.356
 Lowerbound of 95% confidence interval for alpha-0.481
 Upperbound of 95% confidence interval for alpha0.254
 Treynor index (mean / b)0.014
 Jensen alpha (a)-0.113
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.021
 Expected Shortfall on VaR0.026
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.011
 Expected Shortfall on VaR0.020
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.963
 Quartile 10.993
 Median1.001
 Quartile 31.007
 Maximum1.040
 Mean of quarter 10.985
 Mean of quarter 20.997
 Mean of quarter 31.004
 Mean of quarter 41.016
 Inter Quartile Range0.015
 Number outliers low2.000
 Percentage of outliers low0.015
 Mean of outliers low0.964
 Number of outliers high2.000
 Percentage of outliers high0.015
 Mean of outliers high1.035
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.204
 VaR(95%) (moments method)0.016
 Expected Shortfall (moments method)0.019
 Extreme Value Index (regression method)-0.089
 VaR(95%) (regression method)0.015
 Expected Shortfall (regression method)0.018
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations8.000
 Minimum0.001
 Quartile 10.003
 Median0.017
 Quartile 30.046
 Maximum0.158
 Mean of quarter 10.001
 Mean of quarter 20.005
 Mean of quarter 30.034
 Mean of quarter 40.111
 Inter Quartile Range0.043
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.125
 Mean of outliers high0.158
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)0.062
 Compounded annual return (geometric extrapolation)0.063
 Calmar ratio (compounded annual return / max draw down)0.399
 Compounded annual return / average of 25% largest draw downs0.566
 Compounded annual return / Expected Shortfall lognormal2.450