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

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Advanced Statistics: RPH

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
 Mean-0.040
 SD0.213
 Sharpe ratio (Glass type estimate) -0.189
 Sharpe ratio (Hedges UMVUE)-0.187
 df56.000
 t-0.413
 p0.659
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.088
 Upperbound of 95% confidence interval for Sharpe Ratio0.712
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.087
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.713
Statistics related to Sortino ratio
 Sortino ratio-0.352
 Upside Potential Ratio1.818
 Upside part of mean0.208
 Downside part of mean-0.248
 Upside SD0.177
 Downside SD0.114
 N nonnegative terms16.000
 N negative terms41.000
Statistics related to linear regression on benchmark
 N of observations57.000
 Mean of predictor0.330
 Mean of criterion-0.040
 SD of predictor0.253
 SD of criterion0.213
 Covariance0.002
 r0.032
 b (slope, estimate of beta)0.027
 a (intercept, estimate of alpha)-0.049
 Mean Square Error0.046
 DF error55.000
 t(b)0.238
 p(b)0.406
 t(a)-0.467
 p(a)0.679
 Lowerbound of 95% confidence interval for beta-0.200
 Upperbound of 95% confidence interval for beta0.254
 Lowerbound of 95% confidence interval for alpha-0.260
 Upperbound of 95% confidence interval for alpha0.162
 Treynor index (mean / b)-1.492
 Jensen alpha (a)-0.049
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.061
 SD0.200
 Sharpe ratio (Glass type estimate) -0.303
 Sharpe ratio (Hedges UMVUE)-0.299
 df56.000
 t-0.661
 p0.744
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.203
 Upperbound of 95% confidence interval for Sharpe Ratio0.599
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.200
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.602
Statistics related to Sortino ratio
 Sortino ratio-0.513
 Upside Potential Ratio1.640
 Upside part of mean0.194
 Downside part of mean-0.254
 Upside SD0.160
 Downside SD0.118
 N nonnegative terms16.000
 N negative terms41.000
Statistics related to linear regression on benchmark
 N of observations57.000
 Mean of predictor0.296
 Mean of criterion-0.061
 SD of predictor0.240
 SD of criterion0.200
 Covariance0.002
 r0.038
 b (slope, estimate of beta)0.032
 a (intercept, estimate of alpha)-0.070
 Mean Square Error0.041
 DF error55.000
 t(b)0.284
 p(b)0.389
 t(a)-0.713
 p(a)0.761
 Lowerbound of 95% confidence interval for beta-0.192
 Upperbound of 95% confidence interval for beta0.256
 Lowerbound of 95% confidence interval for alpha-0.267
 Upperbound of 95% confidence interval for alpha0.127
 Treynor index (mean / b)-1.908
 Jensen alpha (a)-0.070
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.095
 Expected Shortfall on VaR0.116
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.058
 Expected Shortfall on VaR0.091
ORDER STATISTICS
Quartiles of return rates
 Number of observations57.000
 Minimum0.895
 Quartile 10.972
 Median0.994
 Quartile 31.008
 Maximum1.310
 Mean of quarter 10.945
 Mean of quarter 20.985
 Mean of quarter 31.001
 Mean of quarter 41.074
 Inter Quartile Range0.036
 Number outliers low1.000
 Percentage of outliers low0.018
 Mean of outliers low0.895
 Number of outliers high5.000
 Percentage of outliers high0.088
 Mean of outliers high1.147
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-1.304
 VaR(95%) (moments method)0.056
 Expected Shortfall (moments method)0.059
 Extreme Value Index (regression method)-1.035
 VaR(95%) (regression method)0.047
 Expected Shortfall (regression method)0.049
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.057
 Quartile 10.116
 Median0.174
 Quartile 30.304
 Maximum0.433
 Mean of quarter 10.057
 Mean of quarter 20.174
 Mean of quarter 3NA
 Mean of quarter 40.433
 Inter Quartile Range0.188
 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)-0.016
 Compounded annual return (geometric extrapolation)-0.016
 Calmar ratio (compounded annual return / max draw down)-0.038
 Compounded annual return / average of 25% largest draw downs-0.038
 Compounded annual return / Expected Shortfall lognormal-0.141
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.032
 SD0.239
 Sharpe ratio (Glass type estimate) -0.135
 Sharpe ratio (Hedges UMVUE)-0.134
 df1259.000
 t-0.295
 p0.505
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.028
 Upperbound of 95% confidence interval for Sharpe Ratio0.759
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.028
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.759
Statistics related to Sortino ratio
 Sortino ratio-0.202
 Upside Potential Ratio5.537
 Upside part of mean0.883
 Downside part of mean-0.915
 Upside SD0.178
 Downside SD0.159
 N nonnegative terms462.000
 N negative terms798.000
Statistics related to linear regression on benchmark
 N of observations1260.000
 Mean of predictor0.367
 Mean of criterion-0.032
 SD of predictor0.303
 SD of criterion0.239
 Covariance-0.004
 r-0.061
 b (slope, estimate of beta)-0.048
 a (intercept, estimate of alpha)-0.015
 Mean Square Error0.057
 DF error1258.000
 t(b)-2.163
 p(b)0.530
 t(a)-0.133
 p(a)0.502
 Lowerbound of 95% confidence interval for beta-0.092
 Upperbound of 95% confidence interval for beta-0.004
 Lowerbound of 95% confidence interval for alpha-0.228
 Upperbound of 95% confidence interval for alpha0.199
 Treynor index (mean / b)0.669
 Jensen alpha (a)-0.015
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.060
 SD0.238
 Sharpe ratio (Glass type estimate) -0.254
 Sharpe ratio (Hedges UMVUE)-0.254
 df1259.000
 t-0.557
 p0.510
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.148
 Upperbound of 95% confidence interval for Sharpe Ratio0.640
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.148
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.640
Statistics related to Sortino ratio
 Sortino ratio-0.369
 Upside Potential Ratio5.302
 Upside part of mean0.867
 Downside part of mean-0.928
 Upside SD0.172
 Downside SD0.164
 N nonnegative terms462.000
 N negative terms798.000
Statistics related to linear regression on benchmark
 N of observations1260.000
 Mean of predictor0.321
 Mean of criterion-0.060
 SD of predictor0.302
 SD of criterion0.238
 Covariance-0.004
 r-0.061
 b (slope, estimate of beta)-0.048
 a (intercept, estimate of alpha)-0.045
 Mean Square Error0.056
 DF error1258.000
 t(b)-2.161
 p(b)0.530
 t(a)-0.415
 p(a)0.506
 Lowerbound of 95% confidence interval for beta-0.091
 Upperbound of 95% confidence interval for beta-0.004
 Lowerbound of 95% confidence interval for alpha-0.258
 Upperbound of 95% confidence interval for alpha0.168
 Treynor index (mean / b)1.262
 Jensen alpha (a)-0.045
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.024
 Expected Shortfall on VaR0.030
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.009
 Expected Shortfall on VaR0.020
ORDER STATISTICS
Quartiles of return rates
 Number of observations1260.000
 Minimum0.901
 Quartile 10.998
 Median1.000
 Quartile 31.002
 Maximum1.123
 Mean of quarter 10.987
 Mean of quarter 20.999
 Mean of quarter 31.000
 Mean of quarter 41.013
 Inter Quartile Range0.004
 Number outliers low143.000
 Percentage of outliers low0.113
 Mean of outliers low0.977
 Number of outliers high137.000
 Percentage of outliers high0.109
 Mean of outliers high1.025
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.690
 VaR(95%) (moments method)0.011
 Expected Shortfall (moments method)0.039
 Extreme Value Index (regression method)0.416
 VaR(95%) (regression method)0.011
 Expected Shortfall (regression method)0.023
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations11.000
 Minimum0.013
 Quartile 10.033
 Median0.089
 Quartile 30.184
 Maximum0.467
 Mean of quarter 10.020
 Mean of quarter 20.061
 Mean of quarter 30.131
 Mean of quarter 40.321
 Inter Quartile Range0.150
 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 high0.467
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-1.616
 VaR(95%) (moments method)0.376
 Expected Shortfall (moments method)0.390
 Extreme Value Index (regression method)0.192
 VaR(95%) (regression method)0.483
 Expected Shortfall (regression method)0.727
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)-0.016
 Compounded annual return (geometric extrapolation)-0.016
 Calmar ratio (compounded annual return / max draw down)-0.035
 Compounded annual return / average of 25% largest draw downs-0.051
 Compounded annual return / Expected Shortfall lognormal-0.542
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.046
 SD0.003
 Sharpe ratio (Glass type estimate) -16.633
 Sharpe ratio (Hedges UMVUE)-16.537
 df130.000
 t-11.761
 p0.859
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe Ratio-13.182
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-19.961
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-13.113
Statistics related to Sortino ratio
 Sortino ratio-12.108
 Upside Potential Ratio1.150
 Upside part of mean0.004
 Downside part of mean-0.051
 Upside SD0.001
 Downside SD0.004
 N nonnegative terms14.000
 N negative terms117.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.982
 Mean of criterion-0.046
 SD of predictor0.479
 SD of criterion0.003
 Covariance-0.001
 r-0.746
 b (slope, estimate of beta)-0.004
 a (intercept, estimate of alpha)-0.042
 Mean Square Error0.000
 DF error129.000
 t(b)-12.727
 p(b)0.926
 t(a)-15.850
 p(a)0.953
 Lowerbound of 95% confidence interval for beta-0.005
 Upperbound of 95% confidence interval for beta-0.004
 Lowerbound of 95% confidence interval for alpha-0.047
 Upperbound of 95% confidence interval for alpha-0.037
 Treynor index (mean / b)10.676
 Jensen alpha (a)-0.042
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.046
 SD0.003
 Sharpe ratio (Glass type estimate) -16.634
 Sharpe ratio (Hedges UMVUE)-16.538
 df130.000
 t-11.762
 p0.859
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe Ratio-13.183
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-19.962
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-13.114
Statistics related to Sortino ratio
 Sortino ratio-12.108
 Upside Potential Ratio1.150
 Upside part of mean0.004
 Downside part of mean-0.051
 Upside SD0.001
 Downside SD0.004
 N nonnegative terms14.000
 N negative terms117.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.867
 Mean of criterion-0.046
 SD of predictor0.478
 SD of criterion0.003
 Covariance-0.001
 r-0.749
 b (slope, estimate of beta)-0.004
 a (intercept, estimate of alpha)-0.042
 Mean Square Error0.000
 DF error129.000
 t(b)-12.849
 p(b)0.928
 t(a)-16.145
 p(a)0.955
 Lowerbound of 95% confidence interval for beta-0.005
 Upperbound of 95% confidence interval for beta-0.004
 Lowerbound of 95% confidence interval for alpha-0.048
 Upperbound of 95% confidence interval for alpha-0.037
 Treynor index (mean / b)10.619
 Jensen alpha (a)-0.042
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 VaR0.001
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
 Maximum1.001
 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 low4.000
 Percentage of outliers low0.031
 Mean of outliers low1.000
 Number of outliers high4.000
 Percentage of outliers high0.031
 Mean of outliers high1.001
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 observations5.000
 Minimum0.000
 Quartile 10.000
 Median0.000
 Quartile 30.000
 Maximum0.002
 Mean of quarter 10.000
 Mean of quarter 20.000
 Mean of quarter 30.000
 Mean of quarter 40.002
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.200
 Mean of outliers high0.002
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)-0.002
 Compounded annual return (geometric extrapolation)-0.002
 Calmar ratio (compounded annual return / max draw down)-0.965
 Compounded annual return / average of 25% largest draw downs-0.965
 Compounded annual return / Expected Shortfall lognormal-4.239

Advanced Statistics: RPH

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
 Mean-0.040
 SD0.213
 Sharpe ratio (Glass type estimate) -0.189
 Sharpe ratio (Hedges UMVUE)-0.187
 df56.000
 t-0.413
 p0.659
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.088
 Upperbound of 95% confidence interval for Sharpe Ratio0.712
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.087
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.713
Statistics related to Sortino ratio
 Sortino ratio-0.352
 Upside Potential Ratio1.818
 Upside part of mean0.208
 Downside part of mean-0.248
 Upside SD0.177
 Downside SD0.114
 N nonnegative terms16.000
 N negative terms41.000
Statistics related to linear regression on benchmark
 N of observations57.000
 Mean of predictor0.330
 Mean of criterion-0.040
 SD of predictor0.253
 SD of criterion0.213
 Covariance0.002
 r0.032
 b (slope, estimate of beta)0.027
 a (intercept, estimate of alpha)-0.049
 Mean Square Error0.046
 DF error55.000
 t(b)0.238
 p(b)0.406
 t(a)-0.467
 p(a)0.679
 Lowerbound of 95% confidence interval for beta-0.200
 Upperbound of 95% confidence interval for beta0.254
 Lowerbound of 95% confidence interval for alpha-0.260
 Upperbound of 95% confidence interval for alpha0.162
 Treynor index (mean / b)-1.492
 Jensen alpha (a)-0.049
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.061
 SD0.200
 Sharpe ratio (Glass type estimate) -0.303
 Sharpe ratio (Hedges UMVUE)-0.299
 df56.000
 t-0.661
 p0.744
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.203
 Upperbound of 95% confidence interval for Sharpe Ratio0.599
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.200
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.602
Statistics related to Sortino ratio
 Sortino ratio-0.513
 Upside Potential Ratio1.640
 Upside part of mean0.194
 Downside part of mean-0.254
 Upside SD0.160
 Downside SD0.118
 N nonnegative terms16.000
 N negative terms41.000
Statistics related to linear regression on benchmark
 N of observations57.000
 Mean of predictor0.296
 Mean of criterion-0.061
 SD of predictor0.240
 SD of criterion0.200
 Covariance0.002
 r0.038
 b (slope, estimate of beta)0.032
 a (intercept, estimate of alpha)-0.070
 Mean Square Error0.041
 DF error55.000
 t(b)0.284
 p(b)0.389
 t(a)-0.713
 p(a)0.761
 Lowerbound of 95% confidence interval for beta-0.192
 Upperbound of 95% confidence interval for beta0.256
 Lowerbound of 95% confidence interval for alpha-0.267
 Upperbound of 95% confidence interval for alpha0.127
 Treynor index (mean / b)-1.908
 Jensen alpha (a)-0.070
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.095
 Expected Shortfall on VaR0.116
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.058
 Expected Shortfall on VaR0.091
ORDER STATISTICS
Quartiles of return rates
 Number of observations57.000
 Minimum0.895
 Quartile 10.972
 Median0.994
 Quartile 31.008
 Maximum1.310
 Mean of quarter 10.945
 Mean of quarter 20.985
 Mean of quarter 31.001
 Mean of quarter 41.074
 Inter Quartile Range0.036
 Number outliers low1.000
 Percentage of outliers low0.018
 Mean of outliers low0.895
 Number of outliers high5.000
 Percentage of outliers high0.088
 Mean of outliers high1.147
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-1.304
 VaR(95%) (moments method)0.056
 Expected Shortfall (moments method)0.059
 Extreme Value Index (regression method)-1.035
 VaR(95%) (regression method)0.047
 Expected Shortfall (regression method)0.049
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.057
 Quartile 10.116
 Median0.174
 Quartile 30.304
 Maximum0.433
 Mean of quarter 10.057
 Mean of quarter 20.174
 Mean of quarter 3NA
 Mean of quarter 40.433
 Inter Quartile Range0.188
 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)-0.016
 Compounded annual return (geometric extrapolation)-0.016
 Calmar ratio (compounded annual return / max draw down)-0.038
 Compounded annual return / average of 25% largest draw downs-0.038
 Compounded annual return / Expected Shortfall lognormal-0.141
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.032
 SD0.239
 Sharpe ratio (Glass type estimate) -0.135
 Sharpe ratio (Hedges UMVUE)-0.134
 df1259.000
 t-0.295
 p0.505
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.028
 Upperbound of 95% confidence interval for Sharpe Ratio0.759
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.028
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.759
Statistics related to Sortino ratio
 Sortino ratio-0.202
 Upside Potential Ratio5.537
 Upside part of mean0.883
 Downside part of mean-0.915
 Upside SD0.178
 Downside SD0.159
 N nonnegative terms462.000
 N negative terms798.000
Statistics related to linear regression on benchmark
 N of observations1260.000
 Mean of predictor0.367
 Mean of criterion-0.032
 SD of predictor0.303
 SD of criterion0.239
 Covariance-0.004
 r-0.061
 b (slope, estimate of beta)-0.048
 a (intercept, estimate of alpha)-0.015
 Mean Square Error0.057
 DF error1258.000
 t(b)-2.163
 p(b)0.530
 t(a)-0.133
 p(a)0.502
 Lowerbound of 95% confidence interval for beta-0.092
 Upperbound of 95% confidence interval for beta-0.004
 Lowerbound of 95% confidence interval for alpha-0.228
 Upperbound of 95% confidence interval for alpha0.199
 Treynor index (mean / b)0.669
 Jensen alpha (a)-0.015
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.060
 SD0.238
 Sharpe ratio (Glass type estimate) -0.254
 Sharpe ratio (Hedges UMVUE)-0.254
 df1259.000
 t-0.557
 p0.510
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.148
 Upperbound of 95% confidence interval for Sharpe Ratio0.640
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.148
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.640
Statistics related to Sortino ratio
 Sortino ratio-0.369
 Upside Potential Ratio5.302
 Upside part of mean0.867
 Downside part of mean-0.928
 Upside SD0.172
 Downside SD0.164
 N nonnegative terms462.000
 N negative terms798.000
Statistics related to linear regression on benchmark
 N of observations1260.000
 Mean of predictor0.321
 Mean of criterion-0.060
 SD of predictor0.302
 SD of criterion0.238
 Covariance-0.004
 r-0.061
 b (slope, estimate of beta)-0.048
 a (intercept, estimate of alpha)-0.045
 Mean Square Error0.056
 DF error1258.000
 t(b)-2.161
 p(b)0.530
 t(a)-0.415
 p(a)0.506
 Lowerbound of 95% confidence interval for beta-0.091
 Upperbound of 95% confidence interval for beta-0.004
 Lowerbound of 95% confidence interval for alpha-0.258
 Upperbound of 95% confidence interval for alpha0.168
 Treynor index (mean / b)1.262
 Jensen alpha (a)-0.045
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.024
 Expected Shortfall on VaR0.030
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.009
 Expected Shortfall on VaR0.020
ORDER STATISTICS
Quartiles of return rates
 Number of observations1260.000
 Minimum0.901
 Quartile 10.998
 Median1.000
 Quartile 31.002
 Maximum1.123
 Mean of quarter 10.987
 Mean of quarter 20.999
 Mean of quarter 31.000
 Mean of quarter 41.013
 Inter Quartile Range0.004
 Number outliers low143.000
 Percentage of outliers low0.113
 Mean of outliers low0.977
 Number of outliers high137.000
 Percentage of outliers high0.109
 Mean of outliers high1.025
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.690
 VaR(95%) (moments method)0.011
 Expected Shortfall (moments method)0.039
 Extreme Value Index (regression method)0.416
 VaR(95%) (regression method)0.011
 Expected Shortfall (regression method)0.023
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations11.000
 Minimum0.013
 Quartile 10.033
 Median0.089
 Quartile 30.184
 Maximum0.467
 Mean of quarter 10.020
 Mean of quarter 20.061
 Mean of quarter 30.131
 Mean of quarter 40.321
 Inter Quartile Range0.150
 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 high0.467
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-1.616
 VaR(95%) (moments method)0.376
 Expected Shortfall (moments method)0.390
 Extreme Value Index (regression method)0.192
 VaR(95%) (regression method)0.483
 Expected Shortfall (regression method)0.727
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)-0.016
 Compounded annual return (geometric extrapolation)-0.016
 Calmar ratio (compounded annual return / max draw down)-0.035
 Compounded annual return / average of 25% largest draw downs-0.051
 Compounded annual return / Expected Shortfall lognormal-0.542
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.046
 SD0.003
 Sharpe ratio (Glass type estimate) -16.633
 Sharpe ratio (Hedges UMVUE)-16.537
 df130.000
 t-11.761
 p0.859
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe Ratio-13.182
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-19.961
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-13.113
Statistics related to Sortino ratio
 Sortino ratio-12.108
 Upside Potential Ratio1.150
 Upside part of mean0.004
 Downside part of mean-0.051
 Upside SD0.001
 Downside SD0.004
 N nonnegative terms14.000
 N negative terms117.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.982
 Mean of criterion-0.046
 SD of predictor0.479
 SD of criterion0.003
 Covariance-0.001
 r-0.746
 b (slope, estimate of beta)-0.004
 a (intercept, estimate of alpha)-0.042
 Mean Square Error0.000
 DF error129.000
 t(b)-12.727
 p(b)0.926
 t(a)-15.850
 p(a)0.953
 Lowerbound of 95% confidence interval for beta-0.005
 Upperbound of 95% confidence interval for beta-0.004
 Lowerbound of 95% confidence interval for alpha-0.047
 Upperbound of 95% confidence interval for alpha-0.037
 Treynor index (mean / b)10.676
 Jensen alpha (a)-0.042
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.046
 SD0.003
 Sharpe ratio (Glass type estimate) -16.634
 Sharpe ratio (Hedges UMVUE)-16.538
 df130.000
 t-11.762
 p0.859
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe Ratio-13.183
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-19.962
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-13.114
Statistics related to Sortino ratio
 Sortino ratio-12.108
 Upside Potential Ratio1.150
 Upside part of mean0.004
 Downside part of mean-0.051
 Upside SD0.001
 Downside SD0.004
 N nonnegative terms14.000
 N negative terms117.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.867
 Mean of criterion-0.046
 SD of predictor0.478
 SD of criterion0.003
 Covariance-0.001
 r-0.749
 b (slope, estimate of beta)-0.004
 a (intercept, estimate of alpha)-0.042
 Mean Square Error0.000
 DF error129.000
 t(b)-12.849
 p(b)0.928
 t(a)-16.145
 p(a)0.955
 Lowerbound of 95% confidence interval for beta-0.005
 Upperbound of 95% confidence interval for beta-0.004
 Lowerbound of 95% confidence interval for alpha-0.048
 Upperbound of 95% confidence interval for alpha-0.037
 Treynor index (mean / b)10.619
 Jensen alpha (a)-0.042
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 VaR0.001
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
 Maximum1.001
 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 low4.000
 Percentage of outliers low0.031
 Mean of outliers low1.000
 Number of outliers high4.000
 Percentage of outliers high0.031
 Mean of outliers high1.001
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 observations5.000
 Minimum0.000
 Quartile 10.000
 Median0.000
 Quartile 30.000
 Maximum0.002
 Mean of quarter 10.000
 Mean of quarter 20.000
 Mean of quarter 30.000
 Mean of quarter 40.002
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.200
 Mean of outliers high0.002
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)-0.002
 Compounded annual return (geometric extrapolation)-0.002
 Calmar ratio (compounded annual return / max draw down)-0.965
 Compounded annual return / average of 25% largest draw downs-0.965
 Compounded annual return / Expected Shortfall lognormal-4.239