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Featured Strategy QUANT AI Gold and Silver +36.4% Cumul. Return since Sep 23, 2025 Hypothetical

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Advanced Statistics: Sky Hawk

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
 Mean0.234
 SD0.392
 Sharpe ratio (Glass type estimate) 0.597
 Sharpe ratio (Hedges UMVUE)0.592
 df105.000
 t1.773
 p0.392
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.069
 Upperbound of 95% confidence interval for Sharpe Ratio1.260
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.072
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.257
Statistics related to Sortino ratio
 Sortino ratio1.000
 Upside Potential Ratio2.275
 Upside part of mean0.532
 Downside part of mean-0.298
 Upside SD0.320
 Downside SD0.234
 N nonnegative terms62.000
 N negative terms44.000
Statistics related to linear regression on benchmark
 N of observations106.000
 Mean of predictor0.178
 Mean of criterion0.234
 SD of predictor0.193
 SD of criterion0.392
 Covariance0.025
 r0.333
 b (slope, estimate of beta)0.676
 a (intercept, estimate of alpha)0.114
 Mean Square Error0.138
 DF error104.000
 t(b)3.598
 p(b)0.334
 t(a)0.878
 p(a)0.457
 Lowerbound of 95% confidence interval for beta0.304
 Upperbound of 95% confidence interval for beta1.049
 Lowerbound of 95% confidence interval for alpha-0.143
 Upperbound of 95% confidence interval for alpha0.370
 Treynor index (mean / b)0.346
 Jensen alpha (a)0.114
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.156
 SD0.395
 Sharpe ratio (Glass type estimate) 0.396
 Sharpe ratio (Hedges UMVUE)0.394
 df105.000
 t1.178
 p0.427
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.266
 Upperbound of 95% confidence interval for Sharpe Ratio1.057
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.268
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.055
Statistics related to Sortino ratio
 Sortino ratio0.550
 Upside Potential Ratio1.718
 Upside part of mean0.489
 Downside part of mean-0.332
 Upside SD0.275
 Downside SD0.284
 N nonnegative terms62.000
 N negative terms44.000
Statistics related to linear regression on benchmark
 N of observations106.000
 Mean of predictor0.158
 Mean of criterion0.156
 SD of predictor0.191
 SD of criterion0.395
 Covariance0.031
 r0.410
 b (slope, estimate of beta)0.849
 a (intercept, estimate of alpha)0.022
 Mean Square Error0.131
 DF error104.000
 t(b)4.588
 p(b)0.295
 t(a)0.178
 p(a)0.491
 Lowerbound of 95% confidence interval for beta0.482
 Upperbound of 95% confidence interval for beta1.216
 Lowerbound of 95% confidence interval for alpha-0.226
 Upperbound of 95% confidence interval for alpha0.270
 Treynor index (mean / b)0.184
 Jensen alpha (a)0.022
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.160
 Expected Shortfall on VaR0.198
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.049
 Expected Shortfall on VaR0.110
ORDER STATISTICS
Quartiles of return rates
 Number of observations106.000
 Minimum0.534
 Quartile 10.984
 Median1.014
 Quartile 31.071
 Maximum1.616
 Mean of quarter 10.911
 Mean of quarter 21.001
 Mean of quarter 31.040
 Mean of quarter 41.141
 Inter Quartile Range0.087
 Number outliers low5.000
 Percentage of outliers low0.047
 Mean of outliers low0.741
 Number of outliers high3.000
 Percentage of outliers high0.028
 Mean of outliers high1.427
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.480
 VaR(95%) (moments method)0.070
 Expected Shortfall (moments method)0.163
 Extreme Value Index (regression method)0.366
 VaR(95%) (regression method)0.095
 Expected Shortfall (regression method)0.195
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations11.000
 Minimum0.015
 Quartile 10.065
 Median0.103
 Quartile 30.231
 Maximum0.482
 Mean of quarter 10.035
 Mean of quarter 20.083
 Mean of quarter 30.182
 Mean of quarter 40.403
 Inter Quartile Range0.166
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.091
 Mean of outliers high0.482
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-605.906
 VaR(95%) (moments method)0.418
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-4.664
 VaR(95%) (regression method)0.838
 Expected Shortfall (regression method)0.838
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.552
 Compounded annual return (geometric extrapolation)0.222
 Calmar ratio (compounded annual return / max draw down)0.461
 Compounded annual return / average of 25% largest draw downs0.550
 Compounded annual return / Expected Shortfall lognormal1.119
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.218
 SD0.352
 Sharpe ratio (Glass type estimate) 0.617
 Sharpe ratio (Hedges UMVUE)0.617
 df2330.000
 t1.842
 p0.033
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.040
 Upperbound of 95% confidence interval for Sharpe Ratio1.275
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.040
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.275
Statistics related to Sortino ratio
 Sortino ratio0.873
 Upside Potential Ratio5.714
 Upside part of mean1.425
 Downside part of mean-1.207
 Upside SD0.249
 Downside SD0.249
 N nonnegative terms1025.000
 N negative terms1306.000
Statistics related to linear regression on benchmark
 N of observations2331.000
 Mean of predictor0.200
 Mean of criterion0.218
 SD of predictor0.245
 SD of criterion0.352
 Covariance0.033
 r0.379
 b (slope, estimate of beta)0.547
 a (intercept, estimate of alpha)0.109
 Mean Square Error0.106
 DF error2329.000
 t(b)19.788
 p(b)-0.000
 t(a)0.991
 p(a)0.161
 Lowerbound of 95% confidence interval for beta0.492
 Upperbound of 95% confidence interval for beta0.601
 Lowerbound of 95% confidence interval for alpha-0.106
 Upperbound of 95% confidence interval for alpha0.323
 Treynor index (mean / b)0.398
 Jensen alpha (a)0.109
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.152
 SD0.371
 Sharpe ratio (Glass type estimate) 0.408
 Sharpe ratio (Hedges UMVUE)0.408
 df2330.000
 t1.218
 p0.112
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.249
 Upperbound of 95% confidence interval for Sharpe Ratio1.065
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.249
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.065
Statistics related to Sortino ratio
 Sortino ratio0.530
 Upside Potential Ratio4.883
 Upside part of mean1.395
 Downside part of mean-1.244
 Upside SD0.237
 Downside SD0.286
 N nonnegative terms1025.000
 N negative terms1306.000
Statistics related to linear regression on benchmark
 N of observations2331.000
 Mean of predictor0.169
 Mean of criterion0.152
 SD of predictor0.247
 SD of criterion0.371
 Covariance0.037
 r0.401
 b (slope, estimate of beta)0.603
 a (intercept, estimate of alpha)0.050
 Mean Square Error0.116
 DF error2329.000
 t(b)21.117
 p(b)-0.000
 t(a)0.435
 p(a)0.332
 Lowerbound of 95% confidence interval for beta0.547
 Upperbound of 95% confidence interval for beta0.658
 Lowerbound of 95% confidence interval for alpha-0.174
 Upperbound of 95% confidence interval for alpha0.273
 Treynor index (mean / b)0.251
 Jensen alpha (a)0.050
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.036
 Expected Shortfall on VaR0.046
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.011
 Expected Shortfall on VaR0.025
ORDER STATISTICS
Quartiles of return rates
 Number of observations2331.000
 Minimum0.562
 Quartile 10.996
 Median1.000
 Quartile 31.005
 Maximum1.286
 Mean of quarter 10.983
 Mean of quarter 20.999
 Mean of quarter 31.002
 Mean of quarter 41.020
 Inter Quartile Range0.009
 Number outliers low159.000
 Percentage of outliers low0.068
 Mean of outliers low0.961
 Number of outliers high178.000
 Percentage of outliers high0.076
 Mean of outliers high1.042
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.582
 VaR(95%) (moments method)0.015
 Expected Shortfall (moments method)0.041
 Extreme Value Index (regression method)0.313
 VaR(95%) (regression method)0.014
 Expected Shortfall (regression method)0.025
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations60.000
 Minimum0.001
 Quartile 10.005
 Median0.015
 Quartile 30.062
 Maximum0.504
 Mean of quarter 10.002
 Mean of quarter 20.009
 Mean of quarter 30.037
 Mean of quarter 40.201
 Inter Quartile Range0.057
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high7.000
 Percentage of outliers high0.117
 Mean of outliers high0.323
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.307
 VaR(95%) (moments method)0.187
 Expected Shortfall (moments method)0.333
 Extreme Value Index (regression method)-1.813
 VaR(95%) (regression method)0.203
 Expected Shortfall (regression method)0.209
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.528
 Compounded annual return (geometric extrapolation)0.216
 Calmar ratio (compounded annual return / max draw down)0.428
 Compounded annual return / average of 25% largest draw downs1.073
 Compounded annual return / Expected Shortfall lognormal4.735
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.204
 SD0.230
 Sharpe ratio (Glass type estimate) 0.887
 Sharpe ratio (Hedges UMVUE)0.882
 df130.000
 t0.627
 p0.473
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.889
 Upperbound of 95% confidence interval for Sharpe Ratio3.659
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.892
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)3.656
Statistics related to Sortino ratio
 Sortino ratio1.223
 Upside Potential Ratio7.766
 Upside part of mean1.296
 Downside part of mean-1.092
 Upside SD0.158
 Downside SD0.167
 N nonnegative terms69.000
 N negative terms62.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.751
 Mean of criterion0.204
 SD of predictor0.296
 SD of criterion0.230
 Covariance0.015
 r0.224
 b (slope, estimate of beta)0.174
 a (intercept, estimate of alpha)0.073
 Mean Square Error0.051
 DF error129.000
 t(b)2.605
 p(b)0.359
 t(a)0.228
 p(a)0.487
 Lowerbound of 95% confidence interval for beta0.042
 Upperbound of 95% confidence interval for beta0.306
 Lowerbound of 95% confidence interval for alpha-0.564
 Upperbound of 95% confidence interval for alpha0.711
 Treynor index (mean / b)1.173
 Jensen alpha (a)0.073
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.178
 SD0.231
 Sharpe ratio (Glass type estimate) 0.768
 Sharpe ratio (Hedges UMVUE)0.763
 df130.000
 t0.543
 p0.476
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.007
 Upperbound of 95% confidence interval for Sharpe Ratio3.540
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.010
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)3.537
Statistics related to Sortino ratio
 Sortino ratio1.041
 Upside Potential Ratio7.528
 Upside part of mean1.284
 Downside part of mean-1.106
 Upside SD0.155
 Downside SD0.171
 N nonnegative terms69.000
 N negative terms62.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.706
 Mean of criterion0.178
 SD of predictor0.297
 SD of criterion0.231
 Covariance0.016
 r0.230
 b (slope, estimate of beta)0.179
 a (intercept, estimate of alpha)0.051
 Mean Square Error0.051
 DF error129.000
 t(b)2.685
 p(b)0.355
 t(a)0.157
 p(a)0.491
 Lowerbound of 95% confidence interval for beta0.047
 Upperbound of 95% confidence interval for beta0.312
 Lowerbound of 95% confidence interval for alpha-0.588
 Upperbound of 95% confidence interval for alpha0.690
 Treynor index (mean / b)0.990
 Jensen alpha (a)0.051
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.023
 Expected Shortfall on VaR0.028
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.009
 Expected Shortfall on VaR0.019
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.938
 Quartile 10.996
 Median1.001
 Quartile 31.007
 Maximum1.057
 Mean of quarter 10.986
 Mean of quarter 20.998
 Mean of quarter 31.004
 Mean of quarter 41.016
 Inter Quartile Range0.012
 Number outliers low7.000
 Percentage of outliers low0.053
 Mean of outliers low0.962
 Number of outliers high3.000
 Percentage of outliers high0.023
 Mean of outliers high1.040
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.727
 VaR(95%) (moments method)0.016
 Expected Shortfall (moments method)0.060
 Extreme Value Index (regression method)0.646
 VaR(95%) (regression method)0.011
 Expected Shortfall (regression method)0.031
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations12.000
 Minimum0.002
 Quartile 10.005
 Median0.008
 Quartile 30.058
 Maximum0.069
 Mean of quarter 10.003
 Mean of quarter 20.007
 Mean of quarter 30.030
 Mean of quarter 40.063
 Inter Quartile Range0.053
 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)-1.290
 VaR(95%) (moments method)0.067
 Expected Shortfall (moments method)0.069
 Extreme Value Index (regression method)0.193
 VaR(95%) (regression method)0.069
 Expected Shortfall (regression method)0.078
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.234
 Compounded annual return (geometric extrapolation)0.248
 Calmar ratio (compounded annual return / max draw down)3.598
 Compounded annual return / average of 25% largest draw downs3.919
 Compounded annual return / Expected Shortfall lognormal8.743

Advanced Statistics: Sky Hawk

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
 Mean0.234
 SD0.392
 Sharpe ratio (Glass type estimate) 0.597
 Sharpe ratio (Hedges UMVUE)0.592
 df105.000
 t1.773
 p0.392
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.069
 Upperbound of 95% confidence interval for Sharpe Ratio1.260
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.072
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.257
Statistics related to Sortino ratio
 Sortino ratio1.000
 Upside Potential Ratio2.275
 Upside part of mean0.532
 Downside part of mean-0.298
 Upside SD0.320
 Downside SD0.234
 N nonnegative terms62.000
 N negative terms44.000
Statistics related to linear regression on benchmark
 N of observations106.000
 Mean of predictor0.178
 Mean of criterion0.234
 SD of predictor0.193
 SD of criterion0.392
 Covariance0.025
 r0.333
 b (slope, estimate of beta)0.676
 a (intercept, estimate of alpha)0.114
 Mean Square Error0.138
 DF error104.000
 t(b)3.598
 p(b)0.334
 t(a)0.878
 p(a)0.457
 Lowerbound of 95% confidence interval for beta0.304
 Upperbound of 95% confidence interval for beta1.049
 Lowerbound of 95% confidence interval for alpha-0.143
 Upperbound of 95% confidence interval for alpha0.370
 Treynor index (mean / b)0.346
 Jensen alpha (a)0.114
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.156
 SD0.395
 Sharpe ratio (Glass type estimate) 0.396
 Sharpe ratio (Hedges UMVUE)0.394
 df105.000
 t1.178
 p0.427
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.266
 Upperbound of 95% confidence interval for Sharpe Ratio1.057
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.268
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.055
Statistics related to Sortino ratio
 Sortino ratio0.550
 Upside Potential Ratio1.718
 Upside part of mean0.489
 Downside part of mean-0.332
 Upside SD0.275
 Downside SD0.284
 N nonnegative terms62.000
 N negative terms44.000
Statistics related to linear regression on benchmark
 N of observations106.000
 Mean of predictor0.158
 Mean of criterion0.156
 SD of predictor0.191
 SD of criterion0.395
 Covariance0.031
 r0.410
 b (slope, estimate of beta)0.849
 a (intercept, estimate of alpha)0.022
 Mean Square Error0.131
 DF error104.000
 t(b)4.588
 p(b)0.295
 t(a)0.178
 p(a)0.491
 Lowerbound of 95% confidence interval for beta0.482
 Upperbound of 95% confidence interval for beta1.216
 Lowerbound of 95% confidence interval for alpha-0.226
 Upperbound of 95% confidence interval for alpha0.270
 Treynor index (mean / b)0.184
 Jensen alpha (a)0.022
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.160
 Expected Shortfall on VaR0.198
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.049
 Expected Shortfall on VaR0.110
ORDER STATISTICS
Quartiles of return rates
 Number of observations106.000
 Minimum0.534
 Quartile 10.984
 Median1.014
 Quartile 31.071
 Maximum1.616
 Mean of quarter 10.911
 Mean of quarter 21.001
 Mean of quarter 31.040
 Mean of quarter 41.141
 Inter Quartile Range0.087
 Number outliers low5.000
 Percentage of outliers low0.047
 Mean of outliers low0.741
 Number of outliers high3.000
 Percentage of outliers high0.028
 Mean of outliers high1.427
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.480
 VaR(95%) (moments method)0.070
 Expected Shortfall (moments method)0.163
 Extreme Value Index (regression method)0.366
 VaR(95%) (regression method)0.095
 Expected Shortfall (regression method)0.195
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations11.000
 Minimum0.015
 Quartile 10.065
 Median0.103
 Quartile 30.231
 Maximum0.482
 Mean of quarter 10.035
 Mean of quarter 20.083
 Mean of quarter 30.182
 Mean of quarter 40.403
 Inter Quartile Range0.166
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.091
 Mean of outliers high0.482
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-605.906
 VaR(95%) (moments method)0.418
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-4.664
 VaR(95%) (regression method)0.838
 Expected Shortfall (regression method)0.838
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.552
 Compounded annual return (geometric extrapolation)0.222
 Calmar ratio (compounded annual return / max draw down)0.461
 Compounded annual return / average of 25% largest draw downs0.550
 Compounded annual return / Expected Shortfall lognormal1.119
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.218
 SD0.352
 Sharpe ratio (Glass type estimate) 0.617
 Sharpe ratio (Hedges UMVUE)0.617
 df2330.000
 t1.842
 p0.033
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.040
 Upperbound of 95% confidence interval for Sharpe Ratio1.275
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.040
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.275
Statistics related to Sortino ratio
 Sortino ratio0.873
 Upside Potential Ratio5.714
 Upside part of mean1.425
 Downside part of mean-1.207
 Upside SD0.249
 Downside SD0.249
 N nonnegative terms1025.000
 N negative terms1306.000
Statistics related to linear regression on benchmark
 N of observations2331.000
 Mean of predictor0.200
 Mean of criterion0.218
 SD of predictor0.245
 SD of criterion0.352
 Covariance0.033
 r0.379
 b (slope, estimate of beta)0.547
 a (intercept, estimate of alpha)0.109
 Mean Square Error0.106
 DF error2329.000
 t(b)19.788
 p(b)-0.000
 t(a)0.991
 p(a)0.161
 Lowerbound of 95% confidence interval for beta0.492
 Upperbound of 95% confidence interval for beta0.601
 Lowerbound of 95% confidence interval for alpha-0.106
 Upperbound of 95% confidence interval for alpha0.323
 Treynor index (mean / b)0.398
 Jensen alpha (a)0.109
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.152
 SD0.371
 Sharpe ratio (Glass type estimate) 0.408
 Sharpe ratio (Hedges UMVUE)0.408
 df2330.000
 t1.218
 p0.112
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.249
 Upperbound of 95% confidence interval for Sharpe Ratio1.065
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.249
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.065
Statistics related to Sortino ratio
 Sortino ratio0.530
 Upside Potential Ratio4.883
 Upside part of mean1.395
 Downside part of mean-1.244
 Upside SD0.237
 Downside SD0.286
 N nonnegative terms1025.000
 N negative terms1306.000
Statistics related to linear regression on benchmark
 N of observations2331.000
 Mean of predictor0.169
 Mean of criterion0.152
 SD of predictor0.247
 SD of criterion0.371
 Covariance0.037
 r0.401
 b (slope, estimate of beta)0.603
 a (intercept, estimate of alpha)0.050
 Mean Square Error0.116
 DF error2329.000
 t(b)21.117
 p(b)-0.000
 t(a)0.435
 p(a)0.332
 Lowerbound of 95% confidence interval for beta0.547
 Upperbound of 95% confidence interval for beta0.658
 Lowerbound of 95% confidence interval for alpha-0.174
 Upperbound of 95% confidence interval for alpha0.273
 Treynor index (mean / b)0.251
 Jensen alpha (a)0.050
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.036
 Expected Shortfall on VaR0.046
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.011
 Expected Shortfall on VaR0.025
ORDER STATISTICS
Quartiles of return rates
 Number of observations2331.000
 Minimum0.562
 Quartile 10.996
 Median1.000
 Quartile 31.005
 Maximum1.286
 Mean of quarter 10.983
 Mean of quarter 20.999
 Mean of quarter 31.002
 Mean of quarter 41.020
 Inter Quartile Range0.009
 Number outliers low159.000
 Percentage of outliers low0.068
 Mean of outliers low0.961
 Number of outliers high178.000
 Percentage of outliers high0.076
 Mean of outliers high1.042
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.582
 VaR(95%) (moments method)0.015
 Expected Shortfall (moments method)0.041
 Extreme Value Index (regression method)0.313
 VaR(95%) (regression method)0.014
 Expected Shortfall (regression method)0.025
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations60.000
 Minimum0.001
 Quartile 10.005
 Median0.015
 Quartile 30.062
 Maximum0.504
 Mean of quarter 10.002
 Mean of quarter 20.009
 Mean of quarter 30.037
 Mean of quarter 40.201
 Inter Quartile Range0.057
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high7.000
 Percentage of outliers high0.117
 Mean of outliers high0.323
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.307
 VaR(95%) (moments method)0.187
 Expected Shortfall (moments method)0.333
 Extreme Value Index (regression method)-1.813
 VaR(95%) (regression method)0.203
 Expected Shortfall (regression method)0.209
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.528
 Compounded annual return (geometric extrapolation)0.216
 Calmar ratio (compounded annual return / max draw down)0.428
 Compounded annual return / average of 25% largest draw downs1.073
 Compounded annual return / Expected Shortfall lognormal4.735
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.204
 SD0.230
 Sharpe ratio (Glass type estimate) 0.887
 Sharpe ratio (Hedges UMVUE)0.882
 df130.000
 t0.627
 p0.473
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.889
 Upperbound of 95% confidence interval for Sharpe Ratio3.659
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.892
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)3.656
Statistics related to Sortino ratio
 Sortino ratio1.223
 Upside Potential Ratio7.766
 Upside part of mean1.296
 Downside part of mean-1.092
 Upside SD0.158
 Downside SD0.167
 N nonnegative terms69.000
 N negative terms62.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.751
 Mean of criterion0.204
 SD of predictor0.296
 SD of criterion0.230
 Covariance0.015
 r0.224
 b (slope, estimate of beta)0.174
 a (intercept, estimate of alpha)0.073
 Mean Square Error0.051
 DF error129.000
 t(b)2.605
 p(b)0.359
 t(a)0.228
 p(a)0.487
 Lowerbound of 95% confidence interval for beta0.042
 Upperbound of 95% confidence interval for beta0.306
 Lowerbound of 95% confidence interval for alpha-0.564
 Upperbound of 95% confidence interval for alpha0.711
 Treynor index (mean / b)1.173
 Jensen alpha (a)0.073
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.178
 SD0.231
 Sharpe ratio (Glass type estimate) 0.768
 Sharpe ratio (Hedges UMVUE)0.763
 df130.000
 t0.543
 p0.476
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.007
 Upperbound of 95% confidence interval for Sharpe Ratio3.540
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.010
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)3.537
Statistics related to Sortino ratio
 Sortino ratio1.041
 Upside Potential Ratio7.528
 Upside part of mean1.284
 Downside part of mean-1.106
 Upside SD0.155
 Downside SD0.171
 N nonnegative terms69.000
 N negative terms62.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.706
 Mean of criterion0.178
 SD of predictor0.297
 SD of criterion0.231
 Covariance0.016
 r0.230
 b (slope, estimate of beta)0.179
 a (intercept, estimate of alpha)0.051
 Mean Square Error0.051
 DF error129.000
 t(b)2.685
 p(b)0.355
 t(a)0.157
 p(a)0.491
 Lowerbound of 95% confidence interval for beta0.047
 Upperbound of 95% confidence interval for beta0.312
 Lowerbound of 95% confidence interval for alpha-0.588
 Upperbound of 95% confidence interval for alpha0.690
 Treynor index (mean / b)0.990
 Jensen alpha (a)0.051
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.023
 Expected Shortfall on VaR0.028
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.009
 Expected Shortfall on VaR0.019
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.938
 Quartile 10.996
 Median1.001
 Quartile 31.007
 Maximum1.057
 Mean of quarter 10.986
 Mean of quarter 20.998
 Mean of quarter 31.004
 Mean of quarter 41.016
 Inter Quartile Range0.012
 Number outliers low7.000
 Percentage of outliers low0.053
 Mean of outliers low0.962
 Number of outliers high3.000
 Percentage of outliers high0.023
 Mean of outliers high1.040
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.727
 VaR(95%) (moments method)0.016
 Expected Shortfall (moments method)0.060
 Extreme Value Index (regression method)0.646
 VaR(95%) (regression method)0.011
 Expected Shortfall (regression method)0.031
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations12.000
 Minimum0.002
 Quartile 10.005
 Median0.008
 Quartile 30.058
 Maximum0.069
 Mean of quarter 10.003
 Mean of quarter 20.007
 Mean of quarter 30.030
 Mean of quarter 40.063
 Inter Quartile Range0.053
 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)-1.290
 VaR(95%) (moments method)0.067
 Expected Shortfall (moments method)0.069
 Extreme Value Index (regression method)0.193
 VaR(95%) (regression method)0.069
 Expected Shortfall (regression method)0.078
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.234
 Compounded annual return (geometric extrapolation)0.248
 Calmar ratio (compounded annual return / max draw down)3.598
 Compounded annual return / average of 25% largest draw downs3.919
 Compounded annual return / Expected Shortfall lognormal8.743