Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +39.4% Cumul. Return since Sep 23, 2025 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it

Advanced Statistics: WSS_Gold100oz

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
 Mean0.221
 SD0.197
 Sharpe ratio (Glass type estimate) 1.123
 Sharpe ratio (Hedges UMVUE)1.111
 df68.000
 t2.694
 p0.004
 Lowerbound of 95% confidence interval for Sharpe Ratio0.281
 Upperbound of 95% confidence interval for Sharpe Ratio1.958
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.273
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.949
Statistics related to Sortino ratio
 Sortino ratio3.846
 Upside Potential Ratio5.483
 Upside part of mean0.315
 Downside part of mean-0.094
 Upside SD0.197
 Downside SD0.057
 N nonnegative terms31.000
 N negative terms38.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.275
 Mean of criterion0.221
 SD of predictor0.274
 SD of criterion0.197
 Covariance-0.005
 r-0.090
 b (slope, estimate of beta)-0.065
 a (intercept, estimate of alpha)0.239
 Mean Square Error0.039
 DF error67.000
 t(b)-0.739
 p(b)0.769
 t(a)2.784
 p(a)0.003
 Lowerbound of 95% confidence interval for beta-0.239
 Upperbound of 95% confidence interval for beta0.110
 Lowerbound of 95% confidence interval for alpha0.068
 Upperbound of 95% confidence interval for alpha0.410
 Treynor index (mean / b)-3.417
 Jensen alpha (a)0.239
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.201
 SD0.184
 Sharpe ratio (Glass type estimate) 1.094
 Sharpe ratio (Hedges UMVUE)1.082
 df68.000
 t2.624
 p0.005
 Lowerbound of 95% confidence interval for Sharpe Ratio0.253
 Upperbound of 95% confidence interval for Sharpe Ratio1.928
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.245
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.920
Statistics related to Sortino ratio
 Sortino ratio3.414
 Upside Potential Ratio5.033
 Upside part of mean0.296
 Downside part of mean-0.095
 Upside SD0.182
 Downside SD0.059
 N nonnegative terms31.000
 N negative terms38.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.238
 Mean of criterion0.201
 SD of predictor0.257
 SD of criterion0.184
 Covariance-0.005
 r-0.096
 b (slope, estimate of beta)-0.068
 a (intercept, estimate of alpha)0.217
 Mean Square Error0.034
 DF error67.000
 t(b)-0.786
 p(b)0.783
 t(a)2.731
 p(a)0.004
 Lowerbound of 95% confidence interval for beta-0.242
 Upperbound of 95% confidence interval for beta0.105
 Lowerbound of 95% confidence interval for alpha0.058
 Upperbound of 95% confidence interval for alpha0.376
 Treynor index (mean / b)-2.940
 Jensen alpha (a)0.217
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.068
 Expected Shortfall on VaR0.088
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.019
 Expected Shortfall on VaR0.038
ORDER STATISTICS
Quartiles of return rates
 Number of observations69.000
 Minimum0.916
 Quartile 11.000
 Median1.000
 Quartile 31.031
 Maximum1.249
 Mean of quarter 10.978
 Mean of quarter 21.000
 Mean of quarter 31.014
 Mean of quarter 41.100
 Inter Quartile Range0.031
 Number outliers low1.000
 Percentage of outliers low0.014
 Mean of outliers low0.916
 Number of outliers high8.000
 Percentage of outliers high0.116
 Mean of outliers high1.153
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)-0.510
 VaR(95%) (regression method)0.021
 Expected Shortfall (regression method)0.027
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations5.000
 Minimum0.008
 Quartile 10.032
 Median0.036
 Quartile 30.084
 Maximum0.105
 Mean of quarter 10.020
 Mean of quarter 20.036
 Mean of quarter 30.084
 Mean of quarter 40.105
 Inter Quartile Range0.052
 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)0.537
 Compounded annual return (geometric extrapolation)0.278
 Calmar ratio (compounded annual return / max draw down)2.645
 Compounded annual return / average of 25% largest draw downs2.645
 Compounded annual return / Expected Shortfall lognormal3.145
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.217
 SD0.190
 Sharpe ratio (Glass type estimate) 1.140
 Sharpe ratio (Hedges UMVUE)1.140
 df1517.000
 t2.745
 p0.455
 Lowerbound of 95% confidence interval for Sharpe Ratio0.325
 Upperbound of 95% confidence interval for Sharpe Ratio1.955
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.324
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.955
Statistics related to Sortino ratio
 Sortino ratio1.861
 Upside Potential Ratio6.802
 Upside part of mean0.794
 Downside part of mean-0.576
 Upside SD0.151
 Downside SD0.117
 N nonnegative terms554.000
 N negative terms964.000
Statistics related to linear regression on benchmark
 N of observations1518.000
 Mean of predictor0.291
 Mean of criterion0.217
 SD of predictor0.287
 SD of criterion0.190
 Covariance-0.003
 r-0.056
 b (slope, estimate of beta)-0.037
 a (intercept, estimate of alpha)0.228
 Mean Square Error0.036
 DF error1516.000
 t(b)-2.180
 p(b)0.528
 t(a)2.879
 p(a)0.463
 Lowerbound of 95% confidence interval for beta-0.071
 Upperbound of 95% confidence interval for beta-0.004
 Lowerbound of 95% confidence interval for alpha0.073
 Upperbound of 95% confidence interval for alpha0.383
 Treynor index (mean / b)-5.846
 Jensen alpha (a)0.228
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.199
 SD0.190
 Sharpe ratio (Glass type estimate) 1.050
 Sharpe ratio (Hedges UMVUE)1.050
 df1517.000
 t2.528
 p0.459
 Lowerbound of 95% confidence interval for Sharpe Ratio0.235
 Upperbound of 95% confidence interval for Sharpe Ratio1.865
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.234
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.865
Statistics related to Sortino ratio
 Sortino ratio1.654
 Upside Potential Ratio6.502
 Upside part of mean0.783
 Downside part of mean-0.583
 Upside SD0.147
 Downside SD0.120
 N nonnegative terms554.000
 N negative terms964.000
Statistics related to linear regression on benchmark
 N of observations1518.000
 Mean of predictor0.248
 Mean of criterion0.199
 SD of predictor0.295
 SD of criterion0.190
 Covariance-0.003
 r-0.054
 b (slope, estimate of beta)-0.035
 a (intercept, estimate of alpha)0.208
 Mean Square Error0.036
 DF error1516.000
 t(b)-2.112
 p(b)0.527
 t(a)2.637
 p(a)0.466
 Lowerbound of 95% confidence interval for beta-0.067
 Upperbound of 95% confidence interval for beta-0.002
 Lowerbound of 95% confidence interval for alpha0.053
 Upperbound of 95% confidence interval for alpha0.362
 Treynor index (mean / b)-5.725
 Jensen alpha (a)0.208
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.018
 Expected Shortfall on VaR0.023
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.006
 Expected Shortfall on VaR0.013
ORDER STATISTICS
Quartiles of return rates
 Number of observations1518.000
 Minimum0.896
 Quartile 10.998
 Median1.000
 Quartile 31.003
 Maximum1.116
 Mean of quarter 10.992
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.012
 Inter Quartile Range0.004
 Number outliers low103.000
 Percentage of outliers low0.068
 Mean of outliers low0.981
 Number of outliers high143.000
 Percentage of outliers high0.094
 Mean of outliers high1.023
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.542
 VaR(95%) (moments method)0.007
 Expected Shortfall (moments method)0.017
 Extreme Value Index (regression method)0.358
 VaR(95%) (regression method)0.007
 Expected Shortfall (regression method)0.013
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations48.000
 Minimum0.001
 Quartile 10.007
 Median0.011
 Quartile 30.038
 Maximum0.262
 Mean of quarter 10.003
 Mean of quarter 20.009
 Mean of quarter 30.022
 Mean of quarter 40.098
 Inter Quartile Range0.031
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high6.000
 Percentage of outliers high0.125
 Mean of outliers high0.133
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-1.038
 VaR(95%) (moments method)0.093
 Expected Shortfall (moments method)0.100
 Extreme Value Index (regression method)0.163
 VaR(95%) (regression method)0.098
 Expected Shortfall (regression method)0.148
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.533
 Compounded annual return (geometric extrapolation)0.275
 Calmar ratio (compounded annual return / max draw down)1.051
 Compounded annual return / average of 25% largest draw downs2.798
 Compounded annual return / Expected Shortfall lognormal11.904
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
 SD0.000
 Sharpe ratio (Glass type estimate) NA
 Sharpe ratio (Hedges UMVUE)NA
 dfNA
 tNA
 pNA
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 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 Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.990
 Mean of criterion-0.044
 SD of predictor0.516
 SD of criterion0.000
 Covariance0.000
 rNA
 b (slope, estimate of beta)NA
 a (intercept, estimate of alpha)NA
 Mean Square ErrorNA
 DF errorNA
 t(b)NA
 p(b)NA
 t(a)NA
 p(a)NA
 Lowerbound of 95% confidence interval for betaNA
 Upperbound of 95% confidence interval for betaNA
 Lowerbound of 95% confidence interval for alphaNA
 Upperbound of 95% confidence interval for alphaNA
 Treynor index (mean / b)NA
 Jensen alpha (a)NA
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) -12492933348697024.000
 Sharpe ratio (Hedges UMVUE)-12420719861132300.000
 df130.000
 t-8833837887775228.000
 p1.000
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 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 Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.859
 Mean of criterion-0.044
 SD of predictor0.510
 SD of criterion0.000
 Covariance-0.000
 r-0.000
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)-0.000
 p(b)0.500
 t(a)-8752114331685407.000
 p(a)1.000
 Lowerbound of 95% confidence interval for beta-0.000
 Upperbound of 95% confidence interval for beta0.000
 Lowerbound of 95% confidence interval for alpha-0.044
 Upperbound of 95% confidence interval for alpha-0.044
 Treynor index (mean / b)1159593673171795967890851996106752.000
 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 VaR0.000
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.000
 Expected Shortfall on VaR0.000
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum1.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.000
 Mean of quarter 11.000
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.000
 Inter Quartile Range0.000
 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 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 observations0.000
 MinimumNA
 Quartile 1NA
 MedianNA
 Quartile 3NA
 MaximumNA
 Mean of quarter 1NA
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 4NA
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers lowNA
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers highNA
 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)0.000
 Compounded annual return (geometric extrapolation)0.000
 Calmar ratio (compounded annual return / max draw down)NA
 Compounded annual return / average of 25% largest draw downsNA
 Compounded annual return / Expected Shortfall lognormal0.000

Advanced Statistics: WSS_Gold100oz

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
 Mean0.221
 SD0.197
 Sharpe ratio (Glass type estimate) 1.123
 Sharpe ratio (Hedges UMVUE)1.111
 df68.000
 t2.694
 p0.004
 Lowerbound of 95% confidence interval for Sharpe Ratio0.281
 Upperbound of 95% confidence interval for Sharpe Ratio1.958
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.273
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.949
Statistics related to Sortino ratio
 Sortino ratio3.846
 Upside Potential Ratio5.483
 Upside part of mean0.315
 Downside part of mean-0.094
 Upside SD0.197
 Downside SD0.057
 N nonnegative terms31.000
 N negative terms38.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.275
 Mean of criterion0.221
 SD of predictor0.274
 SD of criterion0.197
 Covariance-0.005
 r-0.090
 b (slope, estimate of beta)-0.065
 a (intercept, estimate of alpha)0.239
 Mean Square Error0.039
 DF error67.000
 t(b)-0.739
 p(b)0.769
 t(a)2.784
 p(a)0.003
 Lowerbound of 95% confidence interval for beta-0.239
 Upperbound of 95% confidence interval for beta0.110
 Lowerbound of 95% confidence interval for alpha0.068
 Upperbound of 95% confidence interval for alpha0.410
 Treynor index (mean / b)-3.417
 Jensen alpha (a)0.239
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.201
 SD0.184
 Sharpe ratio (Glass type estimate) 1.094
 Sharpe ratio (Hedges UMVUE)1.082
 df68.000
 t2.624
 p0.005
 Lowerbound of 95% confidence interval for Sharpe Ratio0.253
 Upperbound of 95% confidence interval for Sharpe Ratio1.928
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.245
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.920
Statistics related to Sortino ratio
 Sortino ratio3.414
 Upside Potential Ratio5.033
 Upside part of mean0.296
 Downside part of mean-0.095
 Upside SD0.182
 Downside SD0.059
 N nonnegative terms31.000
 N negative terms38.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.238
 Mean of criterion0.201
 SD of predictor0.257
 SD of criterion0.184
 Covariance-0.005
 r-0.096
 b (slope, estimate of beta)-0.068
 a (intercept, estimate of alpha)0.217
 Mean Square Error0.034
 DF error67.000
 t(b)-0.786
 p(b)0.783
 t(a)2.731
 p(a)0.004
 Lowerbound of 95% confidence interval for beta-0.242
 Upperbound of 95% confidence interval for beta0.105
 Lowerbound of 95% confidence interval for alpha0.058
 Upperbound of 95% confidence interval for alpha0.376
 Treynor index (mean / b)-2.940
 Jensen alpha (a)0.217
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.068
 Expected Shortfall on VaR0.088
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.019
 Expected Shortfall on VaR0.038
ORDER STATISTICS
Quartiles of return rates
 Number of observations69.000
 Minimum0.916
 Quartile 11.000
 Median1.000
 Quartile 31.031
 Maximum1.249
 Mean of quarter 10.978
 Mean of quarter 21.000
 Mean of quarter 31.014
 Mean of quarter 41.100
 Inter Quartile Range0.031
 Number outliers low1.000
 Percentage of outliers low0.014
 Mean of outliers low0.916
 Number of outliers high8.000
 Percentage of outliers high0.116
 Mean of outliers high1.153
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)-0.510
 VaR(95%) (regression method)0.021
 Expected Shortfall (regression method)0.027
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations5.000
 Minimum0.008
 Quartile 10.032
 Median0.036
 Quartile 30.084
 Maximum0.105
 Mean of quarter 10.020
 Mean of quarter 20.036
 Mean of quarter 30.084
 Mean of quarter 40.105
 Inter Quartile Range0.052
 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)0.537
 Compounded annual return (geometric extrapolation)0.278
 Calmar ratio (compounded annual return / max draw down)2.645
 Compounded annual return / average of 25% largest draw downs2.645
 Compounded annual return / Expected Shortfall lognormal3.145
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.217
 SD0.190
 Sharpe ratio (Glass type estimate) 1.140
 Sharpe ratio (Hedges UMVUE)1.140
 df1517.000
 t2.745
 p0.455
 Lowerbound of 95% confidence interval for Sharpe Ratio0.325
 Upperbound of 95% confidence interval for Sharpe Ratio1.955
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.324
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.955
Statistics related to Sortino ratio
 Sortino ratio1.861
 Upside Potential Ratio6.802
 Upside part of mean0.794
 Downside part of mean-0.576
 Upside SD0.151
 Downside SD0.117
 N nonnegative terms554.000
 N negative terms964.000
Statistics related to linear regression on benchmark
 N of observations1518.000
 Mean of predictor0.291
 Mean of criterion0.217
 SD of predictor0.287
 SD of criterion0.190
 Covariance-0.003
 r-0.056
 b (slope, estimate of beta)-0.037
 a (intercept, estimate of alpha)0.228
 Mean Square Error0.036
 DF error1516.000
 t(b)-2.180
 p(b)0.528
 t(a)2.879
 p(a)0.463
 Lowerbound of 95% confidence interval for beta-0.071
 Upperbound of 95% confidence interval for beta-0.004
 Lowerbound of 95% confidence interval for alpha0.073
 Upperbound of 95% confidence interval for alpha0.383
 Treynor index (mean / b)-5.846
 Jensen alpha (a)0.228
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.199
 SD0.190
 Sharpe ratio (Glass type estimate) 1.050
 Sharpe ratio (Hedges UMVUE)1.050
 df1517.000
 t2.528
 p0.459
 Lowerbound of 95% confidence interval for Sharpe Ratio0.235
 Upperbound of 95% confidence interval for Sharpe Ratio1.865
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.234
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.865
Statistics related to Sortino ratio
 Sortino ratio1.654
 Upside Potential Ratio6.502
 Upside part of mean0.783
 Downside part of mean-0.583
 Upside SD0.147
 Downside SD0.120
 N nonnegative terms554.000
 N negative terms964.000
Statistics related to linear regression on benchmark
 N of observations1518.000
 Mean of predictor0.248
 Mean of criterion0.199
 SD of predictor0.295
 SD of criterion0.190
 Covariance-0.003
 r-0.054
 b (slope, estimate of beta)-0.035
 a (intercept, estimate of alpha)0.208
 Mean Square Error0.036
 DF error1516.000
 t(b)-2.112
 p(b)0.527
 t(a)2.637
 p(a)0.466
 Lowerbound of 95% confidence interval for beta-0.067
 Upperbound of 95% confidence interval for beta-0.002
 Lowerbound of 95% confidence interval for alpha0.053
 Upperbound of 95% confidence interval for alpha0.362
 Treynor index (mean / b)-5.725
 Jensen alpha (a)0.208
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.018
 Expected Shortfall on VaR0.023
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.006
 Expected Shortfall on VaR0.013
ORDER STATISTICS
Quartiles of return rates
 Number of observations1518.000
 Minimum0.896
 Quartile 10.998
 Median1.000
 Quartile 31.003
 Maximum1.116
 Mean of quarter 10.992
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.012
 Inter Quartile Range0.004
 Number outliers low103.000
 Percentage of outliers low0.068
 Mean of outliers low0.981
 Number of outliers high143.000
 Percentage of outliers high0.094
 Mean of outliers high1.023
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.542
 VaR(95%) (moments method)0.007
 Expected Shortfall (moments method)0.017
 Extreme Value Index (regression method)0.358
 VaR(95%) (regression method)0.007
 Expected Shortfall (regression method)0.013
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations48.000
 Minimum0.001
 Quartile 10.007
 Median0.011
 Quartile 30.038
 Maximum0.262
 Mean of quarter 10.003
 Mean of quarter 20.009
 Mean of quarter 30.022
 Mean of quarter 40.098
 Inter Quartile Range0.031
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high6.000
 Percentage of outliers high0.125
 Mean of outliers high0.133
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-1.038
 VaR(95%) (moments method)0.093
 Expected Shortfall (moments method)0.100
 Extreme Value Index (regression method)0.163
 VaR(95%) (regression method)0.098
 Expected Shortfall (regression method)0.148
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.533
 Compounded annual return (geometric extrapolation)0.275
 Calmar ratio (compounded annual return / max draw down)1.051
 Compounded annual return / average of 25% largest draw downs2.798
 Compounded annual return / Expected Shortfall lognormal11.904
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
 SD0.000
 Sharpe ratio (Glass type estimate) NA
 Sharpe ratio (Hedges UMVUE)NA
 dfNA
 tNA
 pNA
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 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 Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.990
 Mean of criterion-0.044
 SD of predictor0.516
 SD of criterion0.000
 Covariance0.000
 rNA
 b (slope, estimate of beta)NA
 a (intercept, estimate of alpha)NA
 Mean Square ErrorNA
 DF errorNA
 t(b)NA
 p(b)NA
 t(a)NA
 p(a)NA
 Lowerbound of 95% confidence interval for betaNA
 Upperbound of 95% confidence interval for betaNA
 Lowerbound of 95% confidence interval for alphaNA
 Upperbound of 95% confidence interval for alphaNA
 Treynor index (mean / b)NA
 Jensen alpha (a)NA
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) -12492933348697024.000
 Sharpe ratio (Hedges UMVUE)-12420719861132300.000
 df130.000
 t-8833837887775228.000
 p1.000
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 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 Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.859
 Mean of criterion-0.044
 SD of predictor0.510
 SD of criterion0.000
 Covariance-0.000
 r-0.000
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)-0.000
 p(b)0.500
 t(a)-8752114331685407.000
 p(a)1.000
 Lowerbound of 95% confidence interval for beta-0.000
 Upperbound of 95% confidence interval for beta0.000
 Lowerbound of 95% confidence interval for alpha-0.044
 Upperbound of 95% confidence interval for alpha-0.044
 Treynor index (mean / b)1159593673171795967890851996106752.000
 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 VaR0.000
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.000
 Expected Shortfall on VaR0.000
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum1.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.000
 Mean of quarter 11.000
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.000
 Inter Quartile Range0.000
 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 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 observations0.000
 MinimumNA
 Quartile 1NA
 MedianNA
 Quartile 3NA
 MaximumNA
 Mean of quarter 1NA
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 4NA
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers lowNA
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers highNA
 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)0.000
 Compounded annual return (geometric extrapolation)0.000
 Calmar ratio (compounded annual return / max draw down)NA
 Compounded annual return / average of 25% largest draw downsNA
 Compounded annual return / Expected Shortfall lognormal0.000