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Featured Strategy QUANT AI Gold and Silver +39.4% Cumul. Return since Sep 23, 2025 Hypothetical

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Advanced Statistics: Kingda Forex

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
 Mean0.039
 SD0.165
 Sharpe ratio (Glass type estimate) 0.237
 Sharpe ratio (Hedges UMVUE)0.234
 df68.000
 t0.568
 p0.286
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.582
 Upperbound of 95% confidence interval for Sharpe Ratio1.055
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.584
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.053
Statistics related to Sortino ratio
 Sortino ratio0.288
 Upside Potential Ratio1.184
 Upside part of mean0.160
 Downside part of mean-0.121
 Upside SD0.092
 Downside SD0.135
 N nonnegative terms30.000
 N negative terms39.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.293
 Mean of criterion0.039
 SD of predictor0.264
 SD of criterion0.165
 Covariance0.000
 r0.000
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)0.039
 Mean Square Error0.027
 DF error67.000
 t(b)0.003
 p(b)0.499
 t(a)0.536
 p(a)0.297
 Lowerbound of 95% confidence interval for beta-0.152
 Upperbound of 95% confidence interval for beta0.152
 Lowerbound of 95% confidence interval for alpha-0.106
 Upperbound of 95% confidence interval for alpha0.184
 Treynor index (mean / b)186.797
 Jensen alpha (a)0.039
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.024
 SD0.183
 Sharpe ratio (Glass type estimate) 0.129
 Sharpe ratio (Hedges UMVUE)0.128
 df68.000
 t0.310
 p0.379
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.689
 Upperbound of 95% confidence interval for Sharpe Ratio0.946
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.690
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.945
Statistics related to Sortino ratio
 Sortino ratio0.149
 Upside Potential Ratio0.984
 Upside part of mean0.156
 Downside part of mean-0.132
 Upside SD0.089
 Downside SD0.158
 N nonnegative terms30.000
 N negative terms39.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.257
 Mean of criterion0.024
 SD of predictor0.251
 SD of criterion0.183
 Covariance0.001
 r0.013
 b (slope, estimate of beta)0.010
 a (intercept, estimate of alpha)0.021
 Mean Square Error0.034
 DF error67.000
 t(b)0.109
 p(b)0.457
 t(a)0.264
 p(a)0.396
 Lowerbound of 95% confidence interval for beta-0.168
 Upperbound of 95% confidence interval for beta0.187
 Lowerbound of 95% confidence interval for alpha-0.139
 Upperbound of 95% confidence interval for alpha0.181
 Treynor index (mean / b)2.430
 Jensen alpha (a)0.021
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.081
 Expected Shortfall on VaR0.101
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.024
 Expected Shortfall on VaR0.055
ORDER STATISTICS
Quartiles of return rates
 Number of observations69.000
 Minimum0.699
 Quartile 10.998
 Median1.002
 Quartile 31.022
 Maximum1.104
 Mean of quarter 10.969
 Mean of quarter 21.000
 Mean of quarter 31.011
 Mean of quarter 41.050
 Inter Quartile Range0.024
 Number outliers low3.000
 Percentage of outliers low0.043
 Mean of outliers low0.860
 Number of outliers high4.000
 Percentage of outliers high0.058
 Mean of outliers high1.088
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)1.264
 VaR(95%) (moments method)0.021
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)1.362
 VaR(95%) (regression method)0.025
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations8.000
 Minimum0.003
 Quartile 10.005
 Median0.014
 Quartile 30.041
 Maximum0.338
 Mean of quarter 10.004
 Mean of quarter 20.009
 Mean of quarter 30.028
 Mean of quarter 40.190
 Inter Quartile Range0.036
 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 high0.338
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)0.083
 Compounded annual return (geometric extrapolation)0.070
 Calmar ratio (compounded annual return / max draw down)0.207
 Compounded annual return / average of 25% largest draw downs0.369
 Compounded annual return / Expected Shortfall lognormal0.692
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.040
 SD0.183
 Sharpe ratio (Glass type estimate) 0.220
 Sharpe ratio (Hedges UMVUE)0.220
 df1512.000
 t0.529
 p0.493
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.596
 Upperbound of 95% confidence interval for Sharpe Ratio1.036
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.596
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.036
Statistics related to Sortino ratio
 Sortino ratio0.285
 Upside Potential Ratio3.945
 Upside part of mean0.557
 Downside part of mean-0.517
 Upside SD0.116
 Downside SD0.141
 N nonnegative terms613.000
 N negative terms900.000
Statistics related to linear regression on benchmark
 N of observations1513.000
 Mean of predictor0.315
 Mean of criterion0.040
 SD of predictor0.295
 SD of criterion0.183
 Covariance0.001
 r0.027
 b (slope, estimate of beta)0.017
 a (intercept, estimate of alpha)0.035
 Mean Square Error0.033
 DF error1511.000
 t(b)1.059
 p(b)0.483
 t(a)0.458
 p(a)0.493
 Lowerbound of 95% confidence interval for beta-0.014
 Upperbound of 95% confidence interval for beta0.048
 Lowerbound of 95% confidence interval for alpha-0.114
 Upperbound of 95% confidence interval for alpha0.184
 Treynor index (mean / b)2.387
 Jensen alpha (a)0.035
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.023
 SD0.186
 Sharpe ratio (Glass type estimate) 0.124
 Sharpe ratio (Hedges UMVUE)0.124
 df1512.000
 t0.298
 p0.496
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.692
 Upperbound of 95% confidence interval for Sharpe Ratio0.940
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.692
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.940
Statistics related to Sortino ratio
 Sortino ratio0.156
 Upside Potential Ratio3.720
 Upside part of mean0.550
 Downside part of mean-0.527
 Upside SD0.113
 Downside SD0.148
 N nonnegative terms613.000
 N negative terms900.000
Statistics related to linear regression on benchmark
 N of observations1513.000
 Mean of predictor0.269
 Mean of criterion0.023
 SD of predictor0.308
 SD of criterion0.186
 Covariance0.002
 r0.026
 b (slope, estimate of beta)0.016
 a (intercept, estimate of alpha)0.019
 Mean Square Error0.035
 DF error1511.000
 t(b)1.022
 p(b)0.483
 t(a)0.243
 p(a)0.496
 Lowerbound of 95% confidence interval for beta-0.015
 Upperbound of 95% confidence interval for beta0.046
 Lowerbound of 95% confidence interval for alpha-0.133
 Upperbound of 95% confidence interval for alpha0.171
 Treynor index (mean / b)1.455
 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%)0.019
 Expected Shortfall on VaR0.023
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.005
 Expected Shortfall on VaR0.011
ORDER STATISTICS
Quartiles of return rates
 Number of observations1513.000
 Minimum0.854
 Quartile 11.000
 Median1.000
 Quartile 31.001
 Maximum1.109
 Mean of quarter 10.993
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.008
 Inter Quartile Range0.002
 Number outliers low169.000
 Percentage of outliers low0.112
 Mean of outliers low0.984
 Number of outliers high197.000
 Percentage of outliers high0.130
 Mean of outliers high1.014
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.861
 VaR(95%) (moments method)0.004
 Expected Shortfall (moments method)0.038
 Extreme Value Index (regression method)0.431
 VaR(95%) (regression method)0.006
 Expected Shortfall (regression method)0.015
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations63.000
 Minimum0.000
 Quartile 10.003
 Median0.011
 Quartile 30.037
 Maximum0.341
 Mean of quarter 10.001
 Mean of quarter 20.006
 Mean of quarter 30.024
 Mean of quarter 40.087
 Inter Quartile Range0.034
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high6.000
 Percentage of outliers high0.095
 Mean of outliers high0.143
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.329
 VaR(95%) (moments method)0.091
 Expected Shortfall (moments method)0.156
 Extreme Value Index (regression method)0.586
 VaR(95%) (regression method)0.081
 Expected Shortfall (regression method)0.181
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.082
 Compounded annual return (geometric extrapolation)0.069
 Calmar ratio (compounded annual return / max draw down)0.204
 Compounded annual return / average of 25% largest draw downs0.799
 Compounded annual return / Expected Shortfall lognormal2.973
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.058
 SD0.008
 Sharpe ratio (Glass type estimate) -7.384
 Sharpe ratio (Hedges UMVUE)-7.341
 df130.000
 t-5.221
 p0.708
 Lowerbound of 95% confidence interval for Sharpe Ratio-10.284
 Upperbound of 95% confidence interval for Sharpe Ratio-4.458
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-10.253
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-4.429
Statistics related to Sortino ratio
 Sortino ratio-7.526
 Upside Potential Ratio3.520
 Upside part of mean0.027
 Downside part of mean-0.085
 Upside SD0.004
 Downside SD0.008
 N nonnegative terms39.000
 N negative terms92.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.049
 Mean of criterion-0.058
 SD of predictor0.499
 SD of criterion0.008
 Covariance-0.001
 r-0.335
 b (slope, estimate of beta)-0.005
 a (intercept, estimate of alpha)-0.053
 Mean Square Error0.000
 DF error129.000
 t(b)-4.038
 p(b)0.709
 t(a)-4.951
 p(a)0.747
 Lowerbound of 95% confidence interval for beta-0.008
 Upperbound of 95% confidence interval for beta-0.003
 Lowerbound of 95% confidence interval for alpha-0.073
 Upperbound of 95% confidence interval for alpha-0.032
 Treynor index (mean / b)10.988
 Jensen alpha (a)-0.053
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.058
 SD0.008
 Sharpe ratio (Glass type estimate) -7.386
 Sharpe ratio (Hedges UMVUE)-7.344
 df130.000
 t-5.223
 p0.708
 Lowerbound of 95% confidence interval for Sharpe Ratio-10.287
 Upperbound of 95% confidence interval for Sharpe Ratio-4.460
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-10.256
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-4.432
Statistics related to Sortino ratio
 Sortino ratio-7.527
 Upside Potential Ratio3.517
 Upside part of mean0.027
 Downside part of mean-0.085
 Upside SD0.004
 Downside SD0.008
 N nonnegative terms39.000
 N negative terms92.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.924
 Mean of criterion-0.058
 SD of predictor0.496
 SD of criterion0.008
 Covariance-0.001
 r-0.335
 b (slope, estimate of beta)-0.005
 a (intercept, estimate of alpha)-0.053
 Mean Square Error0.000
 DF error129.000
 t(b)-4.033
 p(b)0.709
 t(a)-5.021
 p(a)0.750
 Lowerbound of 95% confidence interval for beta-0.008
 Upperbound of 95% confidence interval for beta-0.003
 Lowerbound of 95% confidence interval for alpha-0.074
 Upperbound of 95% confidence interval for alpha-0.032
 Treynor index (mean / b)10.948
 Jensen alpha (a)-0.053
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.001
 Expected Shortfall on VaR0.001
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.001
 Expected Shortfall on VaR0.001
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.998
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.001
 Mean of quarter 10.999
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.001
 Inter Quartile Range0.001
 Number outliers low2.000
 Percentage of outliers low0.015
 Mean of outliers low0.998
 Number of outliers high2.000
 Percentage of outliers high0.015
 Mean of outliers high1.001
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-1.004
 VaR(95%) (moments method)-0.002
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)0.573
 VaR(95%) (regression method)0.001
 Expected Shortfall (regression method)0.001
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.000
 Quartile 10.000
 Median0.000
 Quartile 30.004
 Maximum0.008
 Mean of quarter 10.000
 Mean of quarter 20.000
 Mean of quarter 3NA
 Mean of quarter 40.008
 Inter Quartile Range0.004
 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)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)-0.014
 Compounded annual return (geometric extrapolation)-0.014
 Calmar ratio (compounded annual return / max draw down)-1.689
 Compounded annual return / average of 25% largest draw downs-1.689
 Compounded annual return / Expected Shortfall lognormal-11.415

Advanced Statistics: Kingda Forex

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
 Mean0.039
 SD0.165
 Sharpe ratio (Glass type estimate) 0.237
 Sharpe ratio (Hedges UMVUE)0.234
 df68.000
 t0.568
 p0.286
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.582
 Upperbound of 95% confidence interval for Sharpe Ratio1.055
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.584
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.053
Statistics related to Sortino ratio
 Sortino ratio0.288
 Upside Potential Ratio1.184
 Upside part of mean0.160
 Downside part of mean-0.121
 Upside SD0.092
 Downside SD0.135
 N nonnegative terms30.000
 N negative terms39.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.293
 Mean of criterion0.039
 SD of predictor0.264
 SD of criterion0.165
 Covariance0.000
 r0.000
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)0.039
 Mean Square Error0.027
 DF error67.000
 t(b)0.003
 p(b)0.499
 t(a)0.536
 p(a)0.297
 Lowerbound of 95% confidence interval for beta-0.152
 Upperbound of 95% confidence interval for beta0.152
 Lowerbound of 95% confidence interval for alpha-0.106
 Upperbound of 95% confidence interval for alpha0.184
 Treynor index (mean / b)186.797
 Jensen alpha (a)0.039
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.024
 SD0.183
 Sharpe ratio (Glass type estimate) 0.129
 Sharpe ratio (Hedges UMVUE)0.128
 df68.000
 t0.310
 p0.379
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.689
 Upperbound of 95% confidence interval for Sharpe Ratio0.946
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.690
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.945
Statistics related to Sortino ratio
 Sortino ratio0.149
 Upside Potential Ratio0.984
 Upside part of mean0.156
 Downside part of mean-0.132
 Upside SD0.089
 Downside SD0.158
 N nonnegative terms30.000
 N negative terms39.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.257
 Mean of criterion0.024
 SD of predictor0.251
 SD of criterion0.183
 Covariance0.001
 r0.013
 b (slope, estimate of beta)0.010
 a (intercept, estimate of alpha)0.021
 Mean Square Error0.034
 DF error67.000
 t(b)0.109
 p(b)0.457
 t(a)0.264
 p(a)0.396
 Lowerbound of 95% confidence interval for beta-0.168
 Upperbound of 95% confidence interval for beta0.187
 Lowerbound of 95% confidence interval for alpha-0.139
 Upperbound of 95% confidence interval for alpha0.181
 Treynor index (mean / b)2.430
 Jensen alpha (a)0.021
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.081
 Expected Shortfall on VaR0.101
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.024
 Expected Shortfall on VaR0.055
ORDER STATISTICS
Quartiles of return rates
 Number of observations69.000
 Minimum0.699
 Quartile 10.998
 Median1.002
 Quartile 31.022
 Maximum1.104
 Mean of quarter 10.969
 Mean of quarter 21.000
 Mean of quarter 31.011
 Mean of quarter 41.050
 Inter Quartile Range0.024
 Number outliers low3.000
 Percentage of outliers low0.043
 Mean of outliers low0.860
 Number of outliers high4.000
 Percentage of outliers high0.058
 Mean of outliers high1.088
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)1.264
 VaR(95%) (moments method)0.021
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)1.362
 VaR(95%) (regression method)0.025
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations8.000
 Minimum0.003
 Quartile 10.005
 Median0.014
 Quartile 30.041
 Maximum0.338
 Mean of quarter 10.004
 Mean of quarter 20.009
 Mean of quarter 30.028
 Mean of quarter 40.190
 Inter Quartile Range0.036
 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 high0.338
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)0.083
 Compounded annual return (geometric extrapolation)0.070
 Calmar ratio (compounded annual return / max draw down)0.207
 Compounded annual return / average of 25% largest draw downs0.369
 Compounded annual return / Expected Shortfall lognormal0.692
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.040
 SD0.183
 Sharpe ratio (Glass type estimate) 0.220
 Sharpe ratio (Hedges UMVUE)0.220
 df1512.000
 t0.529
 p0.493
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.596
 Upperbound of 95% confidence interval for Sharpe Ratio1.036
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.596
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.036
Statistics related to Sortino ratio
 Sortino ratio0.285
 Upside Potential Ratio3.945
 Upside part of mean0.557
 Downside part of mean-0.517
 Upside SD0.116
 Downside SD0.141
 N nonnegative terms613.000
 N negative terms900.000
Statistics related to linear regression on benchmark
 N of observations1513.000
 Mean of predictor0.315
 Mean of criterion0.040
 SD of predictor0.295
 SD of criterion0.183
 Covariance0.001
 r0.027
 b (slope, estimate of beta)0.017
 a (intercept, estimate of alpha)0.035
 Mean Square Error0.033
 DF error1511.000
 t(b)1.059
 p(b)0.483
 t(a)0.458
 p(a)0.493
 Lowerbound of 95% confidence interval for beta-0.014
 Upperbound of 95% confidence interval for beta0.048
 Lowerbound of 95% confidence interval for alpha-0.114
 Upperbound of 95% confidence interval for alpha0.184
 Treynor index (mean / b)2.387
 Jensen alpha (a)0.035
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.023
 SD0.186
 Sharpe ratio (Glass type estimate) 0.124
 Sharpe ratio (Hedges UMVUE)0.124
 df1512.000
 t0.298
 p0.496
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.692
 Upperbound of 95% confidence interval for Sharpe Ratio0.940
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.692
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.940
Statistics related to Sortino ratio
 Sortino ratio0.156
 Upside Potential Ratio3.720
 Upside part of mean0.550
 Downside part of mean-0.527
 Upside SD0.113
 Downside SD0.148
 N nonnegative terms613.000
 N negative terms900.000
Statistics related to linear regression on benchmark
 N of observations1513.000
 Mean of predictor0.269
 Mean of criterion0.023
 SD of predictor0.308
 SD of criterion0.186
 Covariance0.002
 r0.026
 b (slope, estimate of beta)0.016
 a (intercept, estimate of alpha)0.019
 Mean Square Error0.035
 DF error1511.000
 t(b)1.022
 p(b)0.483
 t(a)0.243
 p(a)0.496
 Lowerbound of 95% confidence interval for beta-0.015
 Upperbound of 95% confidence interval for beta0.046
 Lowerbound of 95% confidence interval for alpha-0.133
 Upperbound of 95% confidence interval for alpha0.171
 Treynor index (mean / b)1.455
 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%)0.019
 Expected Shortfall on VaR0.023
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.005
 Expected Shortfall on VaR0.011
ORDER STATISTICS
Quartiles of return rates
 Number of observations1513.000
 Minimum0.854
 Quartile 11.000
 Median1.000
 Quartile 31.001
 Maximum1.109
 Mean of quarter 10.993
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.008
 Inter Quartile Range0.002
 Number outliers low169.000
 Percentage of outliers low0.112
 Mean of outliers low0.984
 Number of outliers high197.000
 Percentage of outliers high0.130
 Mean of outliers high1.014
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.861
 VaR(95%) (moments method)0.004
 Expected Shortfall (moments method)0.038
 Extreme Value Index (regression method)0.431
 VaR(95%) (regression method)0.006
 Expected Shortfall (regression method)0.015
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations63.000
 Minimum0.000
 Quartile 10.003
 Median0.011
 Quartile 30.037
 Maximum0.341
 Mean of quarter 10.001
 Mean of quarter 20.006
 Mean of quarter 30.024
 Mean of quarter 40.087
 Inter Quartile Range0.034
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high6.000
 Percentage of outliers high0.095
 Mean of outliers high0.143
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.329
 VaR(95%) (moments method)0.091
 Expected Shortfall (moments method)0.156
 Extreme Value Index (regression method)0.586
 VaR(95%) (regression method)0.081
 Expected Shortfall (regression method)0.181
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.082
 Compounded annual return (geometric extrapolation)0.069
 Calmar ratio (compounded annual return / max draw down)0.204
 Compounded annual return / average of 25% largest draw downs0.799
 Compounded annual return / Expected Shortfall lognormal2.973
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.058
 SD0.008
 Sharpe ratio (Glass type estimate) -7.384
 Sharpe ratio (Hedges UMVUE)-7.341
 df130.000
 t-5.221
 p0.708
 Lowerbound of 95% confidence interval for Sharpe Ratio-10.284
 Upperbound of 95% confidence interval for Sharpe Ratio-4.458
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-10.253
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-4.429
Statistics related to Sortino ratio
 Sortino ratio-7.526
 Upside Potential Ratio3.520
 Upside part of mean0.027
 Downside part of mean-0.085
 Upside SD0.004
 Downside SD0.008
 N nonnegative terms39.000
 N negative terms92.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.049
 Mean of criterion-0.058
 SD of predictor0.499
 SD of criterion0.008
 Covariance-0.001
 r-0.335
 b (slope, estimate of beta)-0.005
 a (intercept, estimate of alpha)-0.053
 Mean Square Error0.000
 DF error129.000
 t(b)-4.038
 p(b)0.709
 t(a)-4.951
 p(a)0.747
 Lowerbound of 95% confidence interval for beta-0.008
 Upperbound of 95% confidence interval for beta-0.003
 Lowerbound of 95% confidence interval for alpha-0.073
 Upperbound of 95% confidence interval for alpha-0.032
 Treynor index (mean / b)10.988
 Jensen alpha (a)-0.053
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.058
 SD0.008
 Sharpe ratio (Glass type estimate) -7.386
 Sharpe ratio (Hedges UMVUE)-7.344
 df130.000
 t-5.223
 p0.708
 Lowerbound of 95% confidence interval for Sharpe Ratio-10.287
 Upperbound of 95% confidence interval for Sharpe Ratio-4.460
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-10.256
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-4.432
Statistics related to Sortino ratio
 Sortino ratio-7.527
 Upside Potential Ratio3.517
 Upside part of mean0.027
 Downside part of mean-0.085
 Upside SD0.004
 Downside SD0.008
 N nonnegative terms39.000
 N negative terms92.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.924
 Mean of criterion-0.058
 SD of predictor0.496
 SD of criterion0.008
 Covariance-0.001
 r-0.335
 b (slope, estimate of beta)-0.005
 a (intercept, estimate of alpha)-0.053
 Mean Square Error0.000
 DF error129.000
 t(b)-4.033
 p(b)0.709
 t(a)-5.021
 p(a)0.750
 Lowerbound of 95% confidence interval for beta-0.008
 Upperbound of 95% confidence interval for beta-0.003
 Lowerbound of 95% confidence interval for alpha-0.074
 Upperbound of 95% confidence interval for alpha-0.032
 Treynor index (mean / b)10.948
 Jensen alpha (a)-0.053
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.001
 Expected Shortfall on VaR0.001
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.001
 Expected Shortfall on VaR0.001
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.998
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.001
 Mean of quarter 10.999
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.001
 Inter Quartile Range0.001
 Number outliers low2.000
 Percentage of outliers low0.015
 Mean of outliers low0.998
 Number of outliers high2.000
 Percentage of outliers high0.015
 Mean of outliers high1.001
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-1.004
 VaR(95%) (moments method)-0.002
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)0.573
 VaR(95%) (regression method)0.001
 Expected Shortfall (regression method)0.001
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.000
 Quartile 10.000
 Median0.000
 Quartile 30.004
 Maximum0.008
 Mean of quarter 10.000
 Mean of quarter 20.000
 Mean of quarter 3NA
 Mean of quarter 40.008
 Inter Quartile Range0.004
 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)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)-0.014
 Compounded annual return (geometric extrapolation)-0.014
 Calmar ratio (compounded annual return / max draw down)-1.689
 Compounded annual return / average of 25% largest draw downs-1.689
 Compounded annual return / Expected Shortfall lognormal-11.415