Advanced Statistics: NQ Timer
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 | -0.033 | ||||
| SD | 0.143 | ||||
| Sharpe ratio (Glass type estimate) | -0.230 | ||||
| Sharpe ratio (Hedges UMVUE) | -0.228 | ||||
| df | 81.000 | ||||
| t | -0.602 | ||||
| p | 0.726 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.980 | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.521 | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -0.979 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | 0.522 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -0.302 | ||||
| Upside Potential Ratio | 1.228 | ||||
| Upside part of mean | 0.133 | ||||
| Downside part of mean | -0.166 | ||||
| Upside SD | 0.092 | ||||
| Downside SD | 0.109 | ||||
| N nonnegative terms | 20.000 | ||||
| N negative terms | 62.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 82.000 | ||||
| Mean of predictor | 0.234 | ||||
| Mean of criterion | -0.033 | ||||
| SD of predictor | 0.185 | ||||
| SD of criterion | 0.143 | ||||
| Covariance | -0.001 | ||||
| r | -0.024 | ||||
| b (slope, estimate of beta) | -0.019 | ||||
| a (intercept, estimate of alpha) | -0.028 | ||||
| Mean Square Error | 0.021 | ||||
| DF error | 80.000 | ||||
| t(b) | -0.217 | ||||
| p(b) | 0.586 | ||||
| t(a) | -0.487 | ||||
| p(a) | 0.686 | ||||
| Lowerbound of 95% confidence interval for beta | -0.191 | ||||
| Upperbound of 95% confidence interval for beta | 0.153 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.145 | ||||
| Upperbound of 95% confidence interval for alpha | 0.088 | ||||
| Treynor index (mean / b) | 1.750 | ||||
| Jensen alpha (a) | -0.028 | ||||
| Ratio statistics of excess log return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.043 | ||||
| SD | 0.144 | ||||
| Sharpe ratio (Glass type estimate) | -0.298 | ||||
| Sharpe ratio (Hedges UMVUE) | -0.296 | ||||
| df | 81.000 | ||||
| t | -0.780 | ||||
| p | 0.781 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.049 | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.454 | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -1.047 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | 0.456 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -0.378 | ||||
| Upside Potential Ratio | 1.136 | ||||
| Upside part of mean | 0.129 | ||||
| Downside part of mean | -0.172 | ||||
| Upside SD | 0.088 | ||||
| Downside SD | 0.114 | ||||
| N nonnegative terms | 20.000 | ||||
| N negative terms | 62.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 82.000 | ||||
| Mean of predictor | 0.215 | ||||
| Mean of criterion | -0.043 | ||||
| SD of predictor | 0.178 | ||||
| SD of criterion | 0.144 | ||||
| Covariance | -0.001 | ||||
| r | -0.023 | ||||
| b (slope, estimate of beta) | -0.018 | ||||
| a (intercept, estimate of alpha) | -0.039 | ||||
| Mean Square Error | 0.021 | ||||
| DF error | 80.000 | ||||
| t(b) | -0.202 | ||||
| p(b) | 0.580 | ||||
| t(a) | -0.665 | ||||
| p(a) | 0.746 | ||||
| Lowerbound of 95% confidence interval for beta | -0.198 | ||||
| Upperbound of 95% confidence interval for beta | 0.162 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.156 | ||||
| Upperbound of 95% confidence interval for alpha | 0.078 | ||||
| Treynor index (mean / b) | 2.356 | ||||
| Jensen alpha (a) | -0.039 | ||||
| Risk estimates for a one-period unit investment (parametric) | |||||
| assuming log normal returns and losses (using central moments from Sharpe statistics) | |||||
| VaR(95%) | 0.069 | ||||
| Expected Shortfall on VaR | 0.085 | ||||
| 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 | 82.000 | ||||
| Minimum | 0.883 | ||||
| Quartile 1 | 1.000 | ||||
| Median | 1.000 | ||||
| Quartile 3 | 1.000 | ||||
| Maximum | 1.109 | ||||
| Mean of quarter 1 | 0.957 | ||||
| Mean of quarter 2 | 1.000 | ||||
| Mean of quarter 3 | 1.000 | ||||
| Mean of quarter 4 | 1.047 | ||||
| Inter Quartile Range | 0.000 | ||||
| Number outliers low | 16.000 | ||||
| Percentage of outliers low | 0.195 | ||||
| Mean of outliers low | 0.943 | ||||
| Number of outliers high | 20.000 | ||||
| Percentage of outliers high | 0.244 | ||||
| Mean of outliers high | 1.049 | ||||
| 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) | -0.646 | ||||
| VaR(95%) (regression method) | 0.061 | ||||
| Expected Shortfall (regression method) | 0.078 | ||||
| DRAW DOWN STATISTICS | |||||
| Quartiles of draw downs | |||||
| Number of observations | 6.000 | ||||
| Minimum | 0.064 | ||||
| Quartile 1 | 0.085 | ||||
| Median | 0.092 | ||||
| Quartile 3 | 0.114 | ||||
| Maximum | 0.255 | ||||
| Mean of quarter 1 | 0.074 | ||||
| Mean of quarter 2 | 0.088 | ||||
| Mean of quarter 3 | 0.095 | ||||
| Mean of quarter 4 | 0.187 | ||||
| Inter Quartile Range | 0.029 | ||||
| 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 | 0.167 | ||||
| Mean of outliers high | 0.255 | ||||
| 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) | 0.001 | ||||
| Compounded annual return (geometric extrapolation) | 0.001 | ||||
| Calmar ratio (compounded annual return / max draw down) | 0.004 | ||||
| Compounded annual return / average of 25% largest draw downs | 0.006 | ||||
| Compounded annual return / Expected Shortfall lognormal | 0.012 | ||||
| ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back) | |||||
| RATIO STATISTICS | |||||
| Ratio statistics of excess return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.031 | ||||
| SD | 0.154 | ||||
| Sharpe ratio (Glass type estimate) | -0.203 | ||||
| Sharpe ratio (Hedges UMVUE) | -0.203 | ||||
| df | 1790.000 | ||||
| t | -0.531 | ||||
| p | 0.506 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.953 | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.547 | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -0.953 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | 0.547 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -0.284 | ||||
| Upside Potential Ratio | 5.421 | ||||
| Upside part of mean | 0.595 | ||||
| Downside part of mean | -0.627 | ||||
| Upside SD | 0.107 | ||||
| Downside SD | 0.110 | ||||
| N nonnegative terms | 407.000 | ||||
| N negative terms | 1384.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 1791.000 | ||||
| Mean of predictor | 0.248 | ||||
| Mean of criterion | -0.031 | ||||
| SD of predictor | 0.240 | ||||
| SD of criterion | 0.154 | ||||
| Covariance | 0.001 | ||||
| r | 0.041 | ||||
| b (slope, estimate of beta) | 0.026 | ||||
| a (intercept, estimate of alpha) | -0.038 | ||||
| Mean Square Error | 0.024 | ||||
| DF error | 1789.000 | ||||
| t(b) | 1.717 | ||||
| p(b) | 0.474 | ||||
| t(a) | -0.640 | ||||
| p(a) | 0.510 | ||||
| Lowerbound of 95% confidence interval for beta | -0.004 | ||||
| Upperbound of 95% confidence interval for beta | 0.056 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.153 | ||||
| Upperbound of 95% confidence interval for alpha | 0.078 | ||||
| Treynor index (mean / b) | -1.201 | ||||
| Jensen alpha (a) | -0.038 | ||||
| Ratio statistics of excess log return rates | |||||
| Statistics related to Sharpe ratio | |||||
| Mean | -0.043 | ||||
| SD | 0.154 | ||||
| Sharpe ratio (Glass type estimate) | -0.280 | ||||
| Sharpe ratio (Hedges UMVUE) | -0.280 | ||||
| df | 1790.000 | ||||
| t | -0.731 | ||||
| p | 0.509 | ||||
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.029 | ||||
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.470 | ||||
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation) | -1.029 | ||||
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation) | 0.470 | ||||
| Statistics related to Sortino ratio | |||||
| Sortino ratio | -0.386 | ||||
| Upside Potential Ratio | 5.293 | ||||
| Upside part of mean | 0.590 | ||||
| Downside part of mean | -0.633 | ||||
| Upside SD | 0.106 | ||||
| Downside SD | 0.111 | ||||
| N nonnegative terms | 407.000 | ||||
| N negative terms | 1384.000 | ||||
| Statistics related to linear regression on benchmark | |||||
| N of observations | 1791.000 | ||||
| Mean of predictor | 0.219 | ||||
| Mean of criterion | -0.043 | ||||
| SD of predictor | 0.240 | ||||
| SD of criterion | 0.154 | ||||
| Covariance | 0.002 | ||||
| r | 0.041 | ||||
| b (slope, estimate of beta) | 0.026 | ||||
| a (intercept, estimate of alpha) | -0.049 | ||||
| Mean Square Error | 0.024 | ||||
| DF error | 1789.000 | ||||
| t(b) | 1.732 | ||||
| p(b) | 0.474 | ||||
| t(a) | -0.828 | ||||
| p(a) | 0.512 | ||||
| Lowerbound of 95% confidence interval for beta | -0.003 | ||||
| Upperbound of 95% confidence interval for beta | 0.056 | ||||
| Lowerbound of 95% confidence interval for alpha | -0.164 | ||||
| Upperbound of 95% confidence interval for alpha | 0.067 | ||||
| Treynor index (mean / b) | -1.644 | ||||
| Jensen alpha (a) | -0.049 | ||||
| Risk estimates for a one-period unit investment (parametric) | |||||
| assuming log normal returns and losses (using central moments from Sharpe statistics) | |||||
| VaR(95%) | 0.016 | ||||
| Expected Shortfall on VaR | 0.020 | ||||
| assuming Pareto losses only (using partial moments from Sortino statistics) | |||||
| VaR(95%) | 0.007 | ||||
| Expected Shortfall on VaR | 0.015 | ||||
| ORDER STATISTICS | |||||
| Quartiles of return rates | |||||
| Number of observations | 1791.000 | ||||
| Minimum | 0.940 | ||||
| Quartile 1 | 1.000 | ||||
| Median | 1.000 | ||||
| Quartile 3 | 1.000 | ||||
| Maximum | 1.054 | ||||
| Mean of quarter 1 | 0.991 | ||||
| Mean of quarter 2 | 1.000 | ||||
| Mean of quarter 3 | 1.000 | ||||
| Mean of quarter 4 | 1.009 | ||||
| Inter Quartile Range | 0.000 | ||||
| Number outliers low | 370.000 | ||||
| Percentage of outliers low | 0.207 | ||||
| Mean of outliers low | 0.989 | ||||
| Number of outliers high | 413.000 | ||||
| Percentage of outliers high | 0.231 | ||||
| Mean of outliers high | 1.010 | ||||
| Risk estimates for a one-period unit investment (based on Extreme Value Theory) | |||||
| Extreme Value Index (moments method) | -0.307 | ||||
| VaR(95%) (moments method) | 0.004 | ||||
| Expected Shortfall (moments method) | 0.005 | ||||
| Extreme Value Index (regression method) | -0.096 | ||||
| VaR(95%) (regression method) | 0.009 | ||||
| Expected Shortfall (regression method) | 0.015 | ||||
| DRAW DOWN STATISTICS | |||||
| Quartiles of draw downs | |||||
| Number of observations | 25.000 | ||||
| Minimum | 0.004 | ||||
| Quartile 1 | 0.018 | ||||
| Median | 0.036 | ||||
| Quartile 3 | 0.070 | ||||
| Maximum | 0.268 | ||||
| Mean of quarter 1 | 0.012 | ||||
| Mean of quarter 2 | 0.026 | ||||
| Mean of quarter 3 | 0.052 | ||||
| Mean of quarter 4 | 0.153 | ||||
| Inter Quartile Range | 0.052 | ||||
| Number outliers low | 0.000 | ||||
| Percentage of outliers low | 0.000 | ||||
| Mean of outliers low | NA | ||||
| Number of outliers high | 3.000 | ||||
| Percentage of outliers high | 0.120 | ||||
| Mean of outliers high | 0.205 | ||||
| Risk estimates based on draw downs (based on Extreme Value Theory) | |||||
| Extreme Value Index (moments method) | -0.388 | ||||
| VaR(95%) (moments method) | 0.150 | ||||
| Expected Shortfall (moments method) | 0.177 | ||||
| Extreme Value Index (regression method) | -0.007 | ||||
| VaR(95%) (regression method) | 0.151 | ||||
| Expected Shortfall (regression method) | 0.198 | ||||
| COMBINED STATISTICS | |||||
| Annualized return (arithmetic extrapolation) | 0.001 | ||||
| Compounded annual return (geometric extrapolation) | 0.001 | ||||
| Calmar ratio (compounded annual return / max draw down) | 0.004 | ||||
| Compounded annual return / average of 25% largest draw downs | 0.007 | ||||
| Compounded annual return / Expected Shortfall lognormal | 0.053 | ||||
| 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 | 1.293 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.396 | ||||
| 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 | 1.212 | ||||
| Mean of criterion | -0.044 | ||||
| SD of predictor | 0.396 | ||||
| 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) | -8645661821221671.000 | ||||
| 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) | 103647124745103432541941727756288.000 | ||||
| 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 | ||||