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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: Strawberry Rhubarb FX

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
 Mean0.155
 SD0.418
 Sharpe ratio (Glass type estimate) 0.370
 Sharpe ratio (Hedges UMVUE)0.365
 df55.000
 t0.800
 p0.214
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.541
 Upperbound of 95% confidence interval for Sharpe Ratio1.279
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.545
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.275
Statistics related to Sortino ratio
 Sortino ratio0.543
 Upside Potential Ratio1.972
 Upside part of mean0.562
 Downside part of mean-0.407
 Upside SD0.304
 Downside SD0.285
 N nonnegative terms30.000
 N negative terms26.000
Statistics related to linear regression on benchmark
 N of observations56.000
 Mean of predictor0.371
 Mean of criterion0.155
 SD of predictor0.246
 SD of criterion0.418
 Covariance0.005
 r0.050
 b (slope, estimate of beta)0.085
 a (intercept, estimate of alpha)0.123
 Mean Square Error0.177
 DF error54.000
 t(b)0.369
 p(b)0.357
 t(a)0.579
 p(a)0.283
 Lowerbound of 95% confidence interval for beta-0.377
 Upperbound of 95% confidence interval for beta0.548
 Lowerbound of 95% confidence interval for alpha-0.304
 Upperbound of 95% confidence interval for alpha0.550
 Treynor index (mean / b)1.818
 Jensen alpha (a)0.123
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.065
 SD0.431
 Sharpe ratio (Glass type estimate) 0.152
 Sharpe ratio (Hedges UMVUE)0.150
 df55.000
 t0.328
 p0.372
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.756
 Upperbound of 95% confidence interval for Sharpe Ratio1.059
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.758
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.058
Statistics related to Sortino ratio
 Sortino ratio0.199
 Upside Potential Ratio1.584
 Upside part of mean0.520
 Downside part of mean-0.454
 Upside SD0.273
 Downside SD0.328
 N nonnegative terms30.000
 N negative terms26.000
Statistics related to linear regression on benchmark
 N of observations56.000
 Mean of predictor0.336
 Mean of criterion0.065
 SD of predictor0.240
 SD of criterion0.431
 Covariance0.006
 r0.063
 b (slope, estimate of beta)0.112
 a (intercept, estimate of alpha)0.028
 Mean Square Error0.188
 DF error54.000
 t(b)0.461
 p(b)0.323
 t(a)0.128
 p(a)0.449
 Lowerbound of 95% confidence interval for beta-0.377
 Upperbound of 95% confidence interval for beta0.601
 Lowerbound of 95% confidence interval for alpha-0.407
 Upperbound of 95% confidence interval for alpha0.462
 Treynor index (mean / b)0.582
 Jensen alpha (a)0.028
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.180
 Expected Shortfall on VaR0.221
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.073
 Expected Shortfall on VaR0.155
ORDER STATISTICS
Quartiles of return rates
 Number of observations56.000
 Minimum0.684
 Quartile 10.982
 Median1.013
 Quartile 31.076
 Maximum1.361
 Mean of quarter 10.878
 Mean of quarter 20.995
 Mean of quarter 31.039
 Mean of quarter 41.155
 Inter Quartile Range0.093
 Number outliers low5.000
 Percentage of outliers low0.089
 Mean of outliers low0.743
 Number of outliers high3.000
 Percentage of outliers high0.054
 Mean of outliers high1.285
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.829
 VaR(95%) (moments method)0.117
 Expected Shortfall (moments method)0.751
 Extreme Value Index (regression method)0.079
 VaR(95%) (regression method)0.105
 Expected Shortfall (regression method)0.164
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations4.000
 Minimum0.006
 Quartile 10.178
 Median0.286
 Quartile 30.418
 Maximum0.663
 Mean of quarter 10.006
 Mean of quarter 20.235
 Mean of quarter 30.336
 Mean of quarter 40.663
 Inter Quartile Range0.240
 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)0.143
 Compounded annual return (geometric extrapolation)0.116
 Calmar ratio (compounded annual return / max draw down)0.174
 Compounded annual return / average of 25% largest draw downs0.174
 Compounded annual return / Expected Shortfall lognormal0.523
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.140
 SD0.380
 Sharpe ratio (Glass type estimate) 0.370
 Sharpe ratio (Hedges UMVUE)0.369
 df1230.000
 t0.801
 p0.489
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.535
 Upperbound of 95% confidence interval for Sharpe Ratio1.274
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.535
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.274
Statistics related to Sortino ratio
 Sortino ratio0.486
 Upside Potential Ratio6.036
 Upside part of mean1.741
 Downside part of mean-1.601
 Upside SD0.247
 Downside SD0.288
 N nonnegative terms664.000
 N negative terms567.000
Statistics related to linear regression on benchmark
 N of observations1231.000
 Mean of predictor0.398
 Mean of criterion0.140
 SD of predictor0.303
 SD of criterion0.380
 Covariance0.008
 r0.070
 b (slope, estimate of beta)0.087
 a (intercept, estimate of alpha)0.105
 Mean Square Error0.143
 DF error1229.000
 t(b)2.450
 p(b)0.456
 t(a)0.602
 p(a)0.489
 Lowerbound of 95% confidence interval for beta0.017
 Upperbound of 95% confidence interval for beta0.157
 Lowerbound of 95% confidence interval for alpha-0.238
 Upperbound of 95% confidence interval for alpha0.449
 Treynor index (mean / b)1.607
 Jensen alpha (a)0.105
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.067
 SD0.385
 Sharpe ratio (Glass type estimate) 0.174
 Sharpe ratio (Hedges UMVUE)0.174
 df1230.000
 t0.377
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.730
 Upperbound of 95% confidence interval for Sharpe Ratio1.078
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.730
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.078
Statistics related to Sortino ratio
 Sortino ratio0.222
 Upside Potential Ratio5.675
 Upside part of mean1.712
 Downside part of mean-1.645
 Upside SD0.239
 Downside SD0.302
 N nonnegative terms664.000
 N negative terms567.000
Statistics related to linear regression on benchmark
 N of observations1231.000
 Mean of predictor0.350
 Mean of criterion0.067
 SD of predictor0.314
 SD of criterion0.385
 Covariance0.008
 r0.067
 b (slope, estimate of beta)0.083
 a (intercept, estimate of alpha)0.038
 Mean Square Error0.147
 DF error1229.000
 t(b)2.369
 p(b)0.457
 t(a)0.214
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.014
 Upperbound of 95% confidence interval for beta0.151
 Lowerbound of 95% confidence interval for alpha-0.310
 Upperbound of 95% confidence interval for alpha0.386
 Treynor index (mean / b)0.810
 Jensen alpha (a)0.038
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.038
 Expected Shortfall on VaR0.048
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.013
 Expected Shortfall on VaR0.029
ORDER STATISTICS
Quartiles of return rates
 Number of observations1231.000
 Minimum0.852
 Quartile 10.996
 Median1.001
 Quartile 31.008
 Maximum1.166
 Mean of quarter 10.977
 Mean of quarter 20.999
 Mean of quarter 31.004
 Mean of quarter 41.023
 Inter Quartile Range0.011
 Number outliers low111.000
 Percentage of outliers low0.090
 Mean of outliers low0.951
 Number of outliers high90.000
 Percentage of outliers high0.073
 Mean of outliers high1.045
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.773
 VaR(95%) (moments method)0.020
 Expected Shortfall (moments method)0.096
 Extreme Value Index (regression method)0.367
 VaR(95%) (regression method)0.020
 Expected Shortfall (regression method)0.042
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations29.000
 Minimum0.000
 Quartile 10.007
 Median0.045
 Quartile 30.081
 Maximum0.776
 Mean of quarter 10.004
 Mean of quarter 20.025
 Mean of quarter 30.068
 Mean of quarter 40.281
 Inter Quartile Range0.074
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high4.000
 Percentage of outliers high0.138
 Mean of outliers high0.428
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.802
 VaR(95%) (moments method)0.313
 Expected Shortfall (moments method)1.625
 Extreme Value Index (regression method)2.284
 VaR(95%) (regression method)0.272
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.146
 Compounded annual return (geometric extrapolation)0.117
 Calmar ratio (compounded annual return / max draw down)0.151
 Compounded annual return / average of 25% largest draw downs0.418
 Compounded annual return / Expected Shortfall lognormal2.468
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.398
 SD0.178
 Sharpe ratio (Glass type estimate) 2.231
 Sharpe ratio (Hedges UMVUE)2.218
 df130.000
 t1.578
 p0.431
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.558
 Upperbound of 95% confidence interval for Sharpe Ratio5.012
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.567
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)5.003
Statistics related to Sortino ratio
 Sortino ratio3.774
 Upside Potential Ratio12.109
 Upside part of mean1.276
 Downside part of mean-0.878
 Upside SD0.145
 Downside SD0.105
 N nonnegative terms75.000
 N negative terms56.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.190
 Mean of criterion0.398
 SD of predictor0.500
 SD of criterion0.178
 Covariance0.003
 r0.029
 b (slope, estimate of beta)0.010
 a (intercept, estimate of alpha)0.385
 Mean Square Error0.032
 DF error129.000
 t(b)0.334
 p(b)0.481
 t(a)1.506
 p(a)0.417
 Lowerbound of 95% confidence interval for beta-0.052
 Upperbound of 95% confidence interval for beta0.073
 Lowerbound of 95% confidence interval for alpha-0.121
 Upperbound of 95% confidence interval for alpha0.891
 Treynor index (mean / b)37.902
 Jensen alpha (a)0.385
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.382
 SD0.177
 Sharpe ratio (Glass type estimate) 2.150
 Sharpe ratio (Hedges UMVUE)2.138
 df130.000
 t1.521
 p0.434
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.638
 Upperbound of 95% confidence interval for Sharpe Ratio4.930
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.646
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.922
Statistics related to Sortino ratio
 Sortino ratio3.593
 Upside Potential Ratio11.914
 Upside part of mean1.265
 Downside part of mean-0.884
 Upside SD0.143
 Downside SD0.106
 N nonnegative terms75.000
 N negative terms56.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.065
 Mean of criterion0.382
 SD of predictor0.496
 SD of criterion0.177
 Covariance0.002
 r0.027
 b (slope, estimate of beta)0.010
 a (intercept, estimate of alpha)0.371
 Mean Square Error0.032
 DF error129.000
 t(b)0.311
 p(b)0.483
 t(a)1.461
 p(a)0.419
 Lowerbound of 95% confidence interval for beta-0.052
 Upperbound of 95% confidence interval for beta0.072
 Lowerbound of 95% confidence interval for alpha-0.132
 Upperbound of 95% confidence interval for alpha0.874
 Treynor index (mean / b)38.910
 Jensen alpha (a)0.371
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 VaR0.021
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.007
 Expected Shortfall on VaR0.014
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.975
 Quartile 10.995
 Median1.002
 Quartile 31.007
 Maximum1.043
 Mean of quarter 10.989
 Mean of quarter 20.999
 Mean of quarter 31.004
 Mean of quarter 41.015
 Inter Quartile Range0.012
 Number outliers low1.000
 Percentage of outliers low0.008
 Mean of outliers low0.975
 Number of outliers high4.000
 Percentage of outliers high0.031
 Mean of outliers high1.033
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.118
 VaR(95%) (moments method)0.011
 Expected Shortfall (moments method)0.014
 Extreme Value Index (regression method)-0.069
 VaR(95%) (regression method)0.012
 Expected Shortfall (regression method)0.016
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations15.000
 Minimum0.001
 Quartile 10.004
 Median0.011
 Quartile 30.015
 Maximum0.077
 Mean of quarter 10.002
 Mean of quarter 20.008
 Mean of quarter 30.013
 Mean of quarter 40.046
 Inter Quartile Range0.011
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.200
 Mean of outliers high0.057
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-4.219
 VaR(95%) (moments method)0.040
 Expected Shortfall (moments method)0.040
 Extreme Value Index (regression method)-1.079
 VaR(95%) (regression method)0.081
 Expected Shortfall (regression method)0.088
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.474
 Compounded annual return (geometric extrapolation)0.531
 Calmar ratio (compounded annual return / max draw down)6.897
 Compounded annual return / average of 25% largest draw downs11.417
 Compounded annual return / Expected Shortfall lognormal25.353

Advanced Statistics: Strawberry Rhubarb FX

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
 Mean0.155
 SD0.418
 Sharpe ratio (Glass type estimate) 0.370
 Sharpe ratio (Hedges UMVUE)0.365
 df55.000
 t0.800
 p0.214
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.541
 Upperbound of 95% confidence interval for Sharpe Ratio1.279
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.545
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.275
Statistics related to Sortino ratio
 Sortino ratio0.543
 Upside Potential Ratio1.972
 Upside part of mean0.562
 Downside part of mean-0.407
 Upside SD0.304
 Downside SD0.285
 N nonnegative terms30.000
 N negative terms26.000
Statistics related to linear regression on benchmark
 N of observations56.000
 Mean of predictor0.371
 Mean of criterion0.155
 SD of predictor0.246
 SD of criterion0.418
 Covariance0.005
 r0.050
 b (slope, estimate of beta)0.085
 a (intercept, estimate of alpha)0.123
 Mean Square Error0.177
 DF error54.000
 t(b)0.369
 p(b)0.357
 t(a)0.579
 p(a)0.283
 Lowerbound of 95% confidence interval for beta-0.377
 Upperbound of 95% confidence interval for beta0.548
 Lowerbound of 95% confidence interval for alpha-0.304
 Upperbound of 95% confidence interval for alpha0.550
 Treynor index (mean / b)1.818
 Jensen alpha (a)0.123
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.065
 SD0.431
 Sharpe ratio (Glass type estimate) 0.152
 Sharpe ratio (Hedges UMVUE)0.150
 df55.000
 t0.328
 p0.372
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.756
 Upperbound of 95% confidence interval for Sharpe Ratio1.059
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.758
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.058
Statistics related to Sortino ratio
 Sortino ratio0.199
 Upside Potential Ratio1.584
 Upside part of mean0.520
 Downside part of mean-0.454
 Upside SD0.273
 Downside SD0.328
 N nonnegative terms30.000
 N negative terms26.000
Statistics related to linear regression on benchmark
 N of observations56.000
 Mean of predictor0.336
 Mean of criterion0.065
 SD of predictor0.240
 SD of criterion0.431
 Covariance0.006
 r0.063
 b (slope, estimate of beta)0.112
 a (intercept, estimate of alpha)0.028
 Mean Square Error0.188
 DF error54.000
 t(b)0.461
 p(b)0.323
 t(a)0.128
 p(a)0.449
 Lowerbound of 95% confidence interval for beta-0.377
 Upperbound of 95% confidence interval for beta0.601
 Lowerbound of 95% confidence interval for alpha-0.407
 Upperbound of 95% confidence interval for alpha0.462
 Treynor index (mean / b)0.582
 Jensen alpha (a)0.028
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.180
 Expected Shortfall on VaR0.221
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.073
 Expected Shortfall on VaR0.155
ORDER STATISTICS
Quartiles of return rates
 Number of observations56.000
 Minimum0.684
 Quartile 10.982
 Median1.013
 Quartile 31.076
 Maximum1.361
 Mean of quarter 10.878
 Mean of quarter 20.995
 Mean of quarter 31.039
 Mean of quarter 41.155
 Inter Quartile Range0.093
 Number outliers low5.000
 Percentage of outliers low0.089
 Mean of outliers low0.743
 Number of outliers high3.000
 Percentage of outliers high0.054
 Mean of outliers high1.285
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.829
 VaR(95%) (moments method)0.117
 Expected Shortfall (moments method)0.751
 Extreme Value Index (regression method)0.079
 VaR(95%) (regression method)0.105
 Expected Shortfall (regression method)0.164
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations4.000
 Minimum0.006
 Quartile 10.178
 Median0.286
 Quartile 30.418
 Maximum0.663
 Mean of quarter 10.006
 Mean of quarter 20.235
 Mean of quarter 30.336
 Mean of quarter 40.663
 Inter Quartile Range0.240
 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)0.143
 Compounded annual return (geometric extrapolation)0.116
 Calmar ratio (compounded annual return / max draw down)0.174
 Compounded annual return / average of 25% largest draw downs0.174
 Compounded annual return / Expected Shortfall lognormal0.523
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.140
 SD0.380
 Sharpe ratio (Glass type estimate) 0.370
 Sharpe ratio (Hedges UMVUE)0.369
 df1230.000
 t0.801
 p0.489
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.535
 Upperbound of 95% confidence interval for Sharpe Ratio1.274
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.535
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.274
Statistics related to Sortino ratio
 Sortino ratio0.486
 Upside Potential Ratio6.036
 Upside part of mean1.741
 Downside part of mean-1.601
 Upside SD0.247
 Downside SD0.288
 N nonnegative terms664.000
 N negative terms567.000
Statistics related to linear regression on benchmark
 N of observations1231.000
 Mean of predictor0.398
 Mean of criterion0.140
 SD of predictor0.303
 SD of criterion0.380
 Covariance0.008
 r0.070
 b (slope, estimate of beta)0.087
 a (intercept, estimate of alpha)0.105
 Mean Square Error0.143
 DF error1229.000
 t(b)2.450
 p(b)0.456
 t(a)0.602
 p(a)0.489
 Lowerbound of 95% confidence interval for beta0.017
 Upperbound of 95% confidence interval for beta0.157
 Lowerbound of 95% confidence interval for alpha-0.238
 Upperbound of 95% confidence interval for alpha0.449
 Treynor index (mean / b)1.607
 Jensen alpha (a)0.105
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.067
 SD0.385
 Sharpe ratio (Glass type estimate) 0.174
 Sharpe ratio (Hedges UMVUE)0.174
 df1230.000
 t0.377
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.730
 Upperbound of 95% confidence interval for Sharpe Ratio1.078
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.730
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.078
Statistics related to Sortino ratio
 Sortino ratio0.222
 Upside Potential Ratio5.675
 Upside part of mean1.712
 Downside part of mean-1.645
 Upside SD0.239
 Downside SD0.302
 N nonnegative terms664.000
 N negative terms567.000
Statistics related to linear regression on benchmark
 N of observations1231.000
 Mean of predictor0.350
 Mean of criterion0.067
 SD of predictor0.314
 SD of criterion0.385
 Covariance0.008
 r0.067
 b (slope, estimate of beta)0.083
 a (intercept, estimate of alpha)0.038
 Mean Square Error0.147
 DF error1229.000
 t(b)2.369
 p(b)0.457
 t(a)0.214
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.014
 Upperbound of 95% confidence interval for beta0.151
 Lowerbound of 95% confidence interval for alpha-0.310
 Upperbound of 95% confidence interval for alpha0.386
 Treynor index (mean / b)0.810
 Jensen alpha (a)0.038
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.038
 Expected Shortfall on VaR0.048
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.013
 Expected Shortfall on VaR0.029
ORDER STATISTICS
Quartiles of return rates
 Number of observations1231.000
 Minimum0.852
 Quartile 10.996
 Median1.001
 Quartile 31.008
 Maximum1.166
 Mean of quarter 10.977
 Mean of quarter 20.999
 Mean of quarter 31.004
 Mean of quarter 41.023
 Inter Quartile Range0.011
 Number outliers low111.000
 Percentage of outliers low0.090
 Mean of outliers low0.951
 Number of outliers high90.000
 Percentage of outliers high0.073
 Mean of outliers high1.045
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.773
 VaR(95%) (moments method)0.020
 Expected Shortfall (moments method)0.096
 Extreme Value Index (regression method)0.367
 VaR(95%) (regression method)0.020
 Expected Shortfall (regression method)0.042
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations29.000
 Minimum0.000
 Quartile 10.007
 Median0.045
 Quartile 30.081
 Maximum0.776
 Mean of quarter 10.004
 Mean of quarter 20.025
 Mean of quarter 30.068
 Mean of quarter 40.281
 Inter Quartile Range0.074
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high4.000
 Percentage of outliers high0.138
 Mean of outliers high0.428
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.802
 VaR(95%) (moments method)0.313
 Expected Shortfall (moments method)1.625
 Extreme Value Index (regression method)2.284
 VaR(95%) (regression method)0.272
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.146
 Compounded annual return (geometric extrapolation)0.117
 Calmar ratio (compounded annual return / max draw down)0.151
 Compounded annual return / average of 25% largest draw downs0.418
 Compounded annual return / Expected Shortfall lognormal2.468
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.398
 SD0.178
 Sharpe ratio (Glass type estimate) 2.231
 Sharpe ratio (Hedges UMVUE)2.218
 df130.000
 t1.578
 p0.431
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.558
 Upperbound of 95% confidence interval for Sharpe Ratio5.012
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.567
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)5.003
Statistics related to Sortino ratio
 Sortino ratio3.774
 Upside Potential Ratio12.109
 Upside part of mean1.276
 Downside part of mean-0.878
 Upside SD0.145
 Downside SD0.105
 N nonnegative terms75.000
 N negative terms56.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.190
 Mean of criterion0.398
 SD of predictor0.500
 SD of criterion0.178
 Covariance0.003
 r0.029
 b (slope, estimate of beta)0.010
 a (intercept, estimate of alpha)0.385
 Mean Square Error0.032
 DF error129.000
 t(b)0.334
 p(b)0.481
 t(a)1.506
 p(a)0.417
 Lowerbound of 95% confidence interval for beta-0.052
 Upperbound of 95% confidence interval for beta0.073
 Lowerbound of 95% confidence interval for alpha-0.121
 Upperbound of 95% confidence interval for alpha0.891
 Treynor index (mean / b)37.902
 Jensen alpha (a)0.385
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.382
 SD0.177
 Sharpe ratio (Glass type estimate) 2.150
 Sharpe ratio (Hedges UMVUE)2.138
 df130.000
 t1.521
 p0.434
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.638
 Upperbound of 95% confidence interval for Sharpe Ratio4.930
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.646
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.922
Statistics related to Sortino ratio
 Sortino ratio3.593
 Upside Potential Ratio11.914
 Upside part of mean1.265
 Downside part of mean-0.884
 Upside SD0.143
 Downside SD0.106
 N nonnegative terms75.000
 N negative terms56.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.065
 Mean of criterion0.382
 SD of predictor0.496
 SD of criterion0.177
 Covariance0.002
 r0.027
 b (slope, estimate of beta)0.010
 a (intercept, estimate of alpha)0.371
 Mean Square Error0.032
 DF error129.000
 t(b)0.311
 p(b)0.483
 t(a)1.461
 p(a)0.419
 Lowerbound of 95% confidence interval for beta-0.052
 Upperbound of 95% confidence interval for beta0.072
 Lowerbound of 95% confidence interval for alpha-0.132
 Upperbound of 95% confidence interval for alpha0.874
 Treynor index (mean / b)38.910
 Jensen alpha (a)0.371
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 VaR0.021
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.007
 Expected Shortfall on VaR0.014
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.975
 Quartile 10.995
 Median1.002
 Quartile 31.007
 Maximum1.043
 Mean of quarter 10.989
 Mean of quarter 20.999
 Mean of quarter 31.004
 Mean of quarter 41.015
 Inter Quartile Range0.012
 Number outliers low1.000
 Percentage of outliers low0.008
 Mean of outliers low0.975
 Number of outliers high4.000
 Percentage of outliers high0.031
 Mean of outliers high1.033
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.118
 VaR(95%) (moments method)0.011
 Expected Shortfall (moments method)0.014
 Extreme Value Index (regression method)-0.069
 VaR(95%) (regression method)0.012
 Expected Shortfall (regression method)0.016
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations15.000
 Minimum0.001
 Quartile 10.004
 Median0.011
 Quartile 30.015
 Maximum0.077
 Mean of quarter 10.002
 Mean of quarter 20.008
 Mean of quarter 30.013
 Mean of quarter 40.046
 Inter Quartile Range0.011
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.200
 Mean of outliers high0.057
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-4.219
 VaR(95%) (moments method)0.040
 Expected Shortfall (moments method)0.040
 Extreme Value Index (regression method)-1.079
 VaR(95%) (regression method)0.081
 Expected Shortfall (regression method)0.088
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.474
 Compounded annual return (geometric extrapolation)0.531
 Calmar ratio (compounded annual return / max draw down)6.897
 Compounded annual return / average of 25% largest draw downs11.417
 Compounded annual return / Expected Shortfall lognormal25.353