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

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Advanced Statistics: YZ income fund

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
 Mean0.298
 SD0.409
 Sharpe ratio (Glass type estimate) 0.730
 Sharpe ratio (Hedges UMVUE)0.724
 df98.000
 t2.095
 p0.019
 Lowerbound of 95% confidence interval for Sharpe Ratio0.038
 Upperbound of 95% confidence interval for Sharpe Ratio1.418
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.034
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.414
Statistics related to Sortino ratio
 Sortino ratio1.775
 Upside Potential Ratio2.744
 Upside part of mean0.461
 Downside part of mean-0.163
 Upside SD0.380
 Downside SD0.168
 N nonnegative terms66.000
 N negative terms33.000
Statistics related to linear regression on benchmark
 N of observations99.000
 Mean of predictor0.185
 Mean of criterion0.298
 SD of predictor0.184
 SD of criterion0.409
 Covariance-0.001
 r-0.016
 b (slope, estimate of beta)-0.035
 a (intercept, estimate of alpha)0.305
 Mean Square Error0.169
 DF error97.000
 t(b)-0.153
 p(b)0.561
 t(a)2.044
 p(a)0.022
 Lowerbound of 95% confidence interval for beta-0.483
 Upperbound of 95% confidence interval for beta0.414
 Lowerbound of 95% confidence interval for alpha0.009
 Upperbound of 95% confidence interval for alpha0.601
 Treynor index (mean / b)-8.612
 Jensen alpha (a)0.305
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.231
 SD0.343
 Sharpe ratio (Glass type estimate) 0.672
 Sharpe ratio (Hedges UMVUE)0.667
 df98.000
 t1.930
 p0.028
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.019
 Upperbound of 95% confidence interval for Sharpe Ratio1.359
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.022
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.355
Statistics related to Sortino ratio
 Sortino ratio1.183
 Upside Potential Ratio2.104
 Upside part of mean0.410
 Downside part of mean-0.179
 Upside SD0.288
 Downside SD0.195
 N nonnegative terms66.000
 N negative terms33.000
Statistics related to linear regression on benchmark
 N of observations99.000
 Mean of predictor0.167
 Mean of criterion0.231
 SD of predictor0.176
 SD of criterion0.343
 Covariance0.003
 r0.051
 b (slope, estimate of beta)0.100
 a (intercept, estimate of alpha)0.214
 Mean Square Error0.119
 DF error97.000
 t(b)0.507
 p(b)0.307
 t(a)1.719
 p(a)0.044
 Lowerbound of 95% confidence interval for beta-0.292
 Upperbound of 95% confidence interval for beta0.492
 Lowerbound of 95% confidence interval for alpha-0.033
 Upperbound of 95% confidence interval for alpha0.461
 Treynor index (mean / b)2.306
 Jensen alpha (a)0.214
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.134
 Expected Shortfall on VaR0.168
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.022
 Expected Shortfall on VaR0.055
ORDER STATISTICS
Quartiles of return rates
 Number of observations99.000
 Minimum0.670
 Quartile 11.000
 Median1.021
 Quartile 31.039
 Maximum1.962
 Mean of quarter 10.951
 Mean of quarter 21.010
 Mean of quarter 31.027
 Mean of quarter 41.126
 Inter Quartile Range0.039
 Number outliers low4.000
 Percentage of outliers low0.040
 Mean of outliers low0.786
 Number of outliers high6.000
 Percentage of outliers high0.061
 Mean of outliers high1.314
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)0.775
 VaR(95%) (regression method)0.037
 Expected Shortfall (regression method)0.230
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations13.000
 Minimum0.004
 Quartile 10.021
 Median0.031
 Quartile 30.054
 Maximum0.424
 Mean of quarter 10.013
 Mean of quarter 20.026
 Mean of quarter 30.046
 Mean of quarter 40.258
 Inter Quartile Range0.033
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.231
 Mean of outliers high0.258
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-4.251
 VaR(95%) (moments method)0.152
 Expected Shortfall (moments method)0.152
 Extreme Value Index (regression method)0.379
 VaR(95%) (regression method)0.173
 Expected Shortfall (regression method)0.323
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)1.047
 Compounded annual return (geometric extrapolation)0.316
 Calmar ratio (compounded annual return / max draw down)0.746
 Compounded annual return / average of 25% largest draw downs1.225
 Compounded annual return / Expected Shortfall lognormal1.876
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.282
 SD0.325
 Sharpe ratio (Glass type estimate) 0.868
 Sharpe ratio (Hedges UMVUE)0.868
 df2173.000
 t2.501
 p0.006
 Lowerbound of 95% confidence interval for Sharpe Ratio0.187
 Upperbound of 95% confidence interval for Sharpe Ratio1.549
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.187
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.549
Statistics related to Sortino ratio
 Sortino ratio1.352
 Upside Potential Ratio4.777
 Upside part of mean0.998
 Downside part of mean-0.715
 Upside SD0.250
 Downside SD0.209
 N nonnegative terms1143.000
 N negative terms1031.000
Statistics related to linear regression on benchmark
 N of observations2174.000
 Mean of predictor0.199
 Mean of criterion0.282
 SD of predictor0.222
 SD of criterion0.325
 Covariance0.006
 r0.085
 b (slope, estimate of beta)0.124
 a (intercept, estimate of alpha)0.258
 Mean Square Error0.105
 DF error2172.000
 t(b)3.967
 p(b)0.000
 t(a)2.285
 p(a)0.011
 Lowerbound of 95% confidence interval for beta0.063
 Upperbound of 95% confidence interval for beta0.186
 Lowerbound of 95% confidence interval for alpha0.037
 Upperbound of 95% confidence interval for alpha0.479
 Treynor index (mean / b)2.269
 Jensen alpha (a)0.258
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.229
 SD0.328
 Sharpe ratio (Glass type estimate) 0.698
 Sharpe ratio (Hedges UMVUE)0.698
 df2173.000
 t2.011
 p0.022
 Lowerbound of 95% confidence interval for Sharpe Ratio0.017
 Upperbound of 95% confidence interval for Sharpe Ratio1.379
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.017
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.378
Statistics related to Sortino ratio
 Sortino ratio0.989
 Upside Potential Ratio4.183
 Upside part of mean0.969
 Downside part of mean-0.740
 Upside SD0.233
 Downside SD0.232
 N nonnegative terms1143.000
 N negative terms1031.000
Statistics related to linear regression on benchmark
 N of observations2174.000
 Mean of predictor0.175
 Mean of criterion0.229
 SD of predictor0.220
 SD of criterion0.328
 Covariance0.006
 r0.085
 b (slope, estimate of beta)0.126
 a (intercept, estimate of alpha)0.207
 Mean Square Error0.107
 DF error2172.000
 t(b)3.958
 p(b)0.000
 t(a)1.820
 p(a)0.034
 Lowerbound of 95% confidence interval for beta0.064
 Upperbound of 95% confidence interval for beta0.189
 Lowerbound of 95% confidence interval for alpha-0.016
 Upperbound of 95% confidence interval for alpha0.430
 Treynor index (mean / b)1.811
 Jensen alpha (a)0.207
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.032
 Expected Shortfall on VaR0.040
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.006
 Expected Shortfall on VaR0.014
ORDER STATISTICS
Quartiles of return rates
 Number of observations2174.000
 Minimum0.649
 Quartile 11.000
 Median1.000
 Quartile 31.003
 Maximum1.273
 Mean of quarter 10.989
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.014
 Inter Quartile Range0.003
 Number outliers low217.000
 Percentage of outliers low0.100
 Mean of outliers low0.976
 Number of outliers high233.000
 Percentage of outliers high0.107
 Mean of outliers high1.027
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)1.146
 VaR(95%) (moments method)0.007
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)0.687
 VaR(95%) (regression method)0.007
 Expected Shortfall (regression method)0.029
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations151.000
 Minimum0.000
 Quartile 10.001
 Median0.004
 Quartile 30.015
 Maximum0.479
 Mean of quarter 10.000
 Mean of quarter 20.002
 Mean of quarter 30.008
 Mean of quarter 40.075
 Inter Quartile Range0.014
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high21.000
 Percentage of outliers high0.139
 Mean of outliers high0.117
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.735
 VaR(95%) (moments method)0.070
 Expected Shortfall (moments method)0.289
 Extreme Value Index (regression method)0.548
 VaR(95%) (regression method)0.066
 Expected Shortfall (regression method)0.168
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)1.041
 Compounded annual return (geometric extrapolation)0.314
 Calmar ratio (compounded annual return / max draw down)0.655
 Compounded annual return / average of 25% largest draw downs4.199
 Compounded annual return / Expected Shortfall lognormal7.832
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 predictor0.970
 Mean of criterion-0.044
 SD of predictor0.478
 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 predictor0.854
 Mean of criterion-0.044
 SD of predictor0.479
 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)-8746467305781650.000
 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)164458316335599655079519671287808.000
 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: YZ income fund

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
 Mean0.298
 SD0.409
 Sharpe ratio (Glass type estimate) 0.730
 Sharpe ratio (Hedges UMVUE)0.724
 df98.000
 t2.095
 p0.019
 Lowerbound of 95% confidence interval for Sharpe Ratio0.038
 Upperbound of 95% confidence interval for Sharpe Ratio1.418
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.034
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.414
Statistics related to Sortino ratio
 Sortino ratio1.775
 Upside Potential Ratio2.744
 Upside part of mean0.461
 Downside part of mean-0.163
 Upside SD0.380
 Downside SD0.168
 N nonnegative terms66.000
 N negative terms33.000
Statistics related to linear regression on benchmark
 N of observations99.000
 Mean of predictor0.185
 Mean of criterion0.298
 SD of predictor0.184
 SD of criterion0.409
 Covariance-0.001
 r-0.016
 b (slope, estimate of beta)-0.035
 a (intercept, estimate of alpha)0.305
 Mean Square Error0.169
 DF error97.000
 t(b)-0.153
 p(b)0.561
 t(a)2.044
 p(a)0.022
 Lowerbound of 95% confidence interval for beta-0.483
 Upperbound of 95% confidence interval for beta0.414
 Lowerbound of 95% confidence interval for alpha0.009
 Upperbound of 95% confidence interval for alpha0.601
 Treynor index (mean / b)-8.612
 Jensen alpha (a)0.305
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.231
 SD0.343
 Sharpe ratio (Glass type estimate) 0.672
 Sharpe ratio (Hedges UMVUE)0.667
 df98.000
 t1.930
 p0.028
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.019
 Upperbound of 95% confidence interval for Sharpe Ratio1.359
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.022
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.355
Statistics related to Sortino ratio
 Sortino ratio1.183
 Upside Potential Ratio2.104
 Upside part of mean0.410
 Downside part of mean-0.179
 Upside SD0.288
 Downside SD0.195
 N nonnegative terms66.000
 N negative terms33.000
Statistics related to linear regression on benchmark
 N of observations99.000
 Mean of predictor0.167
 Mean of criterion0.231
 SD of predictor0.176
 SD of criterion0.343
 Covariance0.003
 r0.051
 b (slope, estimate of beta)0.100
 a (intercept, estimate of alpha)0.214
 Mean Square Error0.119
 DF error97.000
 t(b)0.507
 p(b)0.307
 t(a)1.719
 p(a)0.044
 Lowerbound of 95% confidence interval for beta-0.292
 Upperbound of 95% confidence interval for beta0.492
 Lowerbound of 95% confidence interval for alpha-0.033
 Upperbound of 95% confidence interval for alpha0.461
 Treynor index (mean / b)2.306
 Jensen alpha (a)0.214
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.134
 Expected Shortfall on VaR0.168
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.022
 Expected Shortfall on VaR0.055
ORDER STATISTICS
Quartiles of return rates
 Number of observations99.000
 Minimum0.670
 Quartile 11.000
 Median1.021
 Quartile 31.039
 Maximum1.962
 Mean of quarter 10.951
 Mean of quarter 21.010
 Mean of quarter 31.027
 Mean of quarter 41.126
 Inter Quartile Range0.039
 Number outliers low4.000
 Percentage of outliers low0.040
 Mean of outliers low0.786
 Number of outliers high6.000
 Percentage of outliers high0.061
 Mean of outliers high1.314
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)0.775
 VaR(95%) (regression method)0.037
 Expected Shortfall (regression method)0.230
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations13.000
 Minimum0.004
 Quartile 10.021
 Median0.031
 Quartile 30.054
 Maximum0.424
 Mean of quarter 10.013
 Mean of quarter 20.026
 Mean of quarter 30.046
 Mean of quarter 40.258
 Inter Quartile Range0.033
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.231
 Mean of outliers high0.258
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-4.251
 VaR(95%) (moments method)0.152
 Expected Shortfall (moments method)0.152
 Extreme Value Index (regression method)0.379
 VaR(95%) (regression method)0.173
 Expected Shortfall (regression method)0.323
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)1.047
 Compounded annual return (geometric extrapolation)0.316
 Calmar ratio (compounded annual return / max draw down)0.746
 Compounded annual return / average of 25% largest draw downs1.225
 Compounded annual return / Expected Shortfall lognormal1.876
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.282
 SD0.325
 Sharpe ratio (Glass type estimate) 0.868
 Sharpe ratio (Hedges UMVUE)0.868
 df2173.000
 t2.501
 p0.006
 Lowerbound of 95% confidence interval for Sharpe Ratio0.187
 Upperbound of 95% confidence interval for Sharpe Ratio1.549
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.187
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.549
Statistics related to Sortino ratio
 Sortino ratio1.352
 Upside Potential Ratio4.777
 Upside part of mean0.998
 Downside part of mean-0.715
 Upside SD0.250
 Downside SD0.209
 N nonnegative terms1143.000
 N negative terms1031.000
Statistics related to linear regression on benchmark
 N of observations2174.000
 Mean of predictor0.199
 Mean of criterion0.282
 SD of predictor0.222
 SD of criterion0.325
 Covariance0.006
 r0.085
 b (slope, estimate of beta)0.124
 a (intercept, estimate of alpha)0.258
 Mean Square Error0.105
 DF error2172.000
 t(b)3.967
 p(b)0.000
 t(a)2.285
 p(a)0.011
 Lowerbound of 95% confidence interval for beta0.063
 Upperbound of 95% confidence interval for beta0.186
 Lowerbound of 95% confidence interval for alpha0.037
 Upperbound of 95% confidence interval for alpha0.479
 Treynor index (mean / b)2.269
 Jensen alpha (a)0.258
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.229
 SD0.328
 Sharpe ratio (Glass type estimate) 0.698
 Sharpe ratio (Hedges UMVUE)0.698
 df2173.000
 t2.011
 p0.022
 Lowerbound of 95% confidence interval for Sharpe Ratio0.017
 Upperbound of 95% confidence interval for Sharpe Ratio1.379
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.017
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.378
Statistics related to Sortino ratio
 Sortino ratio0.989
 Upside Potential Ratio4.183
 Upside part of mean0.969
 Downside part of mean-0.740
 Upside SD0.233
 Downside SD0.232
 N nonnegative terms1143.000
 N negative terms1031.000
Statistics related to linear regression on benchmark
 N of observations2174.000
 Mean of predictor0.175
 Mean of criterion0.229
 SD of predictor0.220
 SD of criterion0.328
 Covariance0.006
 r0.085
 b (slope, estimate of beta)0.126
 a (intercept, estimate of alpha)0.207
 Mean Square Error0.107
 DF error2172.000
 t(b)3.958
 p(b)0.000
 t(a)1.820
 p(a)0.034
 Lowerbound of 95% confidence interval for beta0.064
 Upperbound of 95% confidence interval for beta0.189
 Lowerbound of 95% confidence interval for alpha-0.016
 Upperbound of 95% confidence interval for alpha0.430
 Treynor index (mean / b)1.811
 Jensen alpha (a)0.207
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.032
 Expected Shortfall on VaR0.040
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.006
 Expected Shortfall on VaR0.014
ORDER STATISTICS
Quartiles of return rates
 Number of observations2174.000
 Minimum0.649
 Quartile 11.000
 Median1.000
 Quartile 31.003
 Maximum1.273
 Mean of quarter 10.989
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.014
 Inter Quartile Range0.003
 Number outliers low217.000
 Percentage of outliers low0.100
 Mean of outliers low0.976
 Number of outliers high233.000
 Percentage of outliers high0.107
 Mean of outliers high1.027
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)1.146
 VaR(95%) (moments method)0.007
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)0.687
 VaR(95%) (regression method)0.007
 Expected Shortfall (regression method)0.029
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations151.000
 Minimum0.000
 Quartile 10.001
 Median0.004
 Quartile 30.015
 Maximum0.479
 Mean of quarter 10.000
 Mean of quarter 20.002
 Mean of quarter 30.008
 Mean of quarter 40.075
 Inter Quartile Range0.014
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high21.000
 Percentage of outliers high0.139
 Mean of outliers high0.117
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.735
 VaR(95%) (moments method)0.070
 Expected Shortfall (moments method)0.289
 Extreme Value Index (regression method)0.548
 VaR(95%) (regression method)0.066
 Expected Shortfall (regression method)0.168
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)1.041
 Compounded annual return (geometric extrapolation)0.314
 Calmar ratio (compounded annual return / max draw down)0.655
 Compounded annual return / average of 25% largest draw downs4.199
 Compounded annual return / Expected Shortfall lognormal7.832
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 predictor0.970
 Mean of criterion-0.044
 SD of predictor0.478
 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 predictor0.854
 Mean of criterion-0.044
 SD of predictor0.479
 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)-8746467305781650.000
 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)164458316335599655079519671287808.000
 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