Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +36.4% Cumul. Return since Sep 23, 2025 Hypothetical

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Advanced Statistics: FX Flame

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
 Mean0.225
 SD0.240
 Sharpe ratio (Glass type estimate) 0.935
 Sharpe ratio (Hedges UMVUE)0.920
 df47.000
 t1.869
 p0.034
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.068
 Upperbound of 95% confidence interval for Sharpe Ratio1.928
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.078
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.917
Statistics related to Sortino ratio
 Sortino ratio4.545
 Upside Potential Ratio5.948
 Upside part of mean0.294
 Downside part of mean-0.069
 Upside SD0.242
 Downside SD0.049
 N nonnegative terms14.000
 N negative terms34.000
Statistics related to linear regression on benchmark
 N of observations48.000
 Mean of predictor0.448
 Mean of criterion0.225
 SD of predictor0.274
 SD of criterion0.240
 Covariance0.002
 r0.034
 b (slope, estimate of beta)0.029
 a (intercept, estimate of alpha)0.212
 Mean Square Error0.059
 DF error46.000
 t(b)0.228
 p(b)0.410
 t(a)1.572
 p(a)0.061
 Lowerbound of 95% confidence interval for beta-0.231
 Upperbound of 95% confidence interval for beta0.290
 Lowerbound of 95% confidence interval for alpha-0.059
 Upperbound of 95% confidence interval for alpha0.482
 Treynor index (mean / b)7.622
 Jensen alpha (a)0.212
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.197
 SD0.218
 Sharpe ratio (Glass type estimate) 0.903
 Sharpe ratio (Hedges UMVUE)0.889
 df47.000
 t1.806
 p0.039
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.098
 Upperbound of 95% confidence interval for Sharpe Ratio1.895
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.108
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.885
Statistics related to Sortino ratio
 Sortino ratio3.864
 Upside Potential Ratio5.242
 Upside part of mean0.268
 Downside part of mean-0.070
 Upside SD0.218
 Downside SD0.051
 N nonnegative terms14.000
 N negative terms34.000
Statistics related to linear regression on benchmark
 N of observations48.000
 Mean of predictor0.405
 Mean of criterion0.197
 SD of predictor0.262
 SD of criterion0.218
 Covariance0.003
 r0.053
 b (slope, estimate of beta)0.044
 a (intercept, estimate of alpha)0.180
 Mean Square Error0.049
 DF error46.000
 t(b)0.357
 p(b)0.361
 t(a)1.485
 p(a)0.072
 Lowerbound of 95% confidence interval for beta-0.203
 Upperbound of 95% confidence interval for beta0.291
 Lowerbound of 95% confidence interval for alpha-0.064
 Upperbound of 95% confidence interval for alpha0.423
 Treynor index (mean / b)4.499
 Jensen alpha (a)0.180
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.084
 Expected Shortfall on VaR0.107
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.016
 Expected Shortfall on VaR0.033
ORDER STATISTICS
Quartiles of return rates
 Number of observations48.000
 Minimum0.919
 Quartile 11.000
 Median1.000
 Quartile 31.008
 Maximum1.269
 Mean of quarter 10.987
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.101
 Inter Quartile Range0.008
 Number outliers low4.000
 Percentage of outliers low0.083
 Mean of outliers low0.964
 Number of outliers high8.000
 Percentage of outliers high0.167
 Mean of outliers high1.146
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-47.290
 VaR(95%) (moments method)0.000
 Expected Shortfall (moments method)0.000
 Extreme Value Index (regression method)0.295
 VaR(95%) (regression method)0.023
 Expected Shortfall (regression method)0.064
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations5.000
 Minimum0.000
 Quartile 10.007
 Median0.013
 Quartile 30.019
 Maximum0.110
 Mean of quarter 10.004
 Mean of quarter 20.013
 Mean of quarter 30.019
 Mean of quarter 40.110
 Inter Quartile Range0.012
 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 high0.110
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)0.406
 Compounded annual return (geometric extrapolation)0.273
 Calmar ratio (compounded annual return / max draw down)2.479
 Compounded annual return / average of 25% largest draw downs2.479
 Compounded annual return / Expected Shortfall lognormal2.546
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.223
 SD0.234
 Sharpe ratio (Glass type estimate) 0.951
 Sharpe ratio (Hedges UMVUE)0.950
 df1049.000
 t1.903
 p0.463
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.029
 Upperbound of 95% confidence interval for Sharpe Ratio1.930
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.030
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.930
Statistics related to Sortino ratio
 Sortino ratio2.071
 Upside Potential Ratio5.221
 Upside part of mean0.562
 Downside part of mean-0.339
 Upside SD0.209
 Downside SD0.108
 N nonnegative terms155.000
 N negative terms895.000
Statistics related to linear regression on benchmark
 N of observations1050.000
 Mean of predictor0.462
 Mean of criterion0.223
 SD of predictor0.320
 SD of criterion0.234
 Covariance0.001
 r0.020
 b (slope, estimate of beta)0.014
 a (intercept, estimate of alpha)0.216
 Mean Square Error0.055
 DF error1048.000
 t(b)0.634
 p(b)0.490
 t(a)1.839
 p(a)0.472
 Lowerbound of 95% confidence interval for beta-0.030
 Upperbound of 95% confidence interval for beta0.059
 Lowerbound of 95% confidence interval for alpha-0.014
 Upperbound of 95% confidence interval for alpha0.447
 Treynor index (mean / b)15.559
 Jensen alpha (a)0.216
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.197
 SD0.225
 Sharpe ratio (Glass type estimate) 0.875
 Sharpe ratio (Hedges UMVUE)0.874
 df1049.000
 t1.751
 p0.466
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.105
 Upperbound of 95% confidence interval for Sharpe Ratio1.854
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.105
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.854
Statistics related to Sortino ratio
 Sortino ratio1.761
 Upside Potential Ratio4.848
 Upside part of mean0.542
 Downside part of mean-0.345
 Upside SD0.196
 Downside SD0.112
 N nonnegative terms155.000
 N negative terms895.000
Statistics related to linear regression on benchmark
 N of observations1050.000
 Mean of predictor0.408
 Mean of criterion0.197
 SD of predictor0.333
 SD of criterion0.225
 Covariance0.001
 r0.019
 b (slope, estimate of beta)0.013
 a (intercept, estimate of alpha)0.191
 Mean Square Error0.051
 DF error1048.000
 t(b)0.629
 p(b)0.490
 t(a)1.698
 p(a)0.474
 Lowerbound of 95% confidence interval for beta-0.028
 Upperbound of 95% confidence interval for beta0.054
 Lowerbound of 95% confidence interval for alpha-0.030
 Upperbound of 95% confidence interval for alpha0.413
 Treynor index (mean / b)14.974
 Jensen alpha (a)0.191
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.022
 Expected Shortfall on VaR0.028
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.004
 Expected Shortfall on VaR0.009
ORDER STATISTICS
Quartiles of return rates
 Number of observations1050.000
 Minimum0.881
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.235
 Mean of quarter 10.995
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.009
 Inter Quartile Range0.000
 Number outliers low137.000
 Percentage of outliers low0.130
 Mean of outliers low0.991
 Number of outliers high163.000
 Percentage of outliers high0.155
 Mean of outliers high1.014
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)1.032
 VaR(95%) (moments method)0.003
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)0.710
 VaR(95%) (regression method)0.003
 Expected Shortfall (regression method)0.017
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations31.000
 Minimum0.000
 Quartile 10.003
 Median0.012
 Quartile 30.032
 Maximum0.195
 Mean of quarter 10.001
 Mean of quarter 20.007
 Mean of quarter 30.023
 Mean of quarter 40.092
 Inter Quartile Range0.029
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.097
 Mean of outliers high0.166
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.299
 VaR(95%) (moments method)0.090
 Expected Shortfall (moments method)0.158
 Extreme Value Index (regression method)-0.702
 VaR(95%) (regression method)0.114
 Expected Shortfall (regression method)0.130
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.406
 Compounded annual return (geometric extrapolation)0.272
 Calmar ratio (compounded annual return / max draw down)1.393
 Compounded annual return / average of 25% largest draw downs2.949
 Compounded annual return / Expected Shortfall lognormal9.896
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 predictor1.050
 Mean of criterion-0.044
 SD of predictor0.479
 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 predictor0.933
 Mean of criterion-0.044
 SD of predictor0.482
 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)-8736982082394638.000
 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)98004913349418150263437477806080.000
 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: FX Flame

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
 Mean0.225
 SD0.240
 Sharpe ratio (Glass type estimate) 0.935
 Sharpe ratio (Hedges UMVUE)0.920
 df47.000
 t1.869
 p0.034
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.068
 Upperbound of 95% confidence interval for Sharpe Ratio1.928
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.078
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.917
Statistics related to Sortino ratio
 Sortino ratio4.545
 Upside Potential Ratio5.948
 Upside part of mean0.294
 Downside part of mean-0.069
 Upside SD0.242
 Downside SD0.049
 N nonnegative terms14.000
 N negative terms34.000
Statistics related to linear regression on benchmark
 N of observations48.000
 Mean of predictor0.448
 Mean of criterion0.225
 SD of predictor0.274
 SD of criterion0.240
 Covariance0.002
 r0.034
 b (slope, estimate of beta)0.029
 a (intercept, estimate of alpha)0.212
 Mean Square Error0.059
 DF error46.000
 t(b)0.228
 p(b)0.410
 t(a)1.572
 p(a)0.061
 Lowerbound of 95% confidence interval for beta-0.231
 Upperbound of 95% confidence interval for beta0.290
 Lowerbound of 95% confidence interval for alpha-0.059
 Upperbound of 95% confidence interval for alpha0.482
 Treynor index (mean / b)7.622
 Jensen alpha (a)0.212
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.197
 SD0.218
 Sharpe ratio (Glass type estimate) 0.903
 Sharpe ratio (Hedges UMVUE)0.889
 df47.000
 t1.806
 p0.039
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.098
 Upperbound of 95% confidence interval for Sharpe Ratio1.895
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.108
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.885
Statistics related to Sortino ratio
 Sortino ratio3.864
 Upside Potential Ratio5.242
 Upside part of mean0.268
 Downside part of mean-0.070
 Upside SD0.218
 Downside SD0.051
 N nonnegative terms14.000
 N negative terms34.000
Statistics related to linear regression on benchmark
 N of observations48.000
 Mean of predictor0.405
 Mean of criterion0.197
 SD of predictor0.262
 SD of criterion0.218
 Covariance0.003
 r0.053
 b (slope, estimate of beta)0.044
 a (intercept, estimate of alpha)0.180
 Mean Square Error0.049
 DF error46.000
 t(b)0.357
 p(b)0.361
 t(a)1.485
 p(a)0.072
 Lowerbound of 95% confidence interval for beta-0.203
 Upperbound of 95% confidence interval for beta0.291
 Lowerbound of 95% confidence interval for alpha-0.064
 Upperbound of 95% confidence interval for alpha0.423
 Treynor index (mean / b)4.499
 Jensen alpha (a)0.180
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.084
 Expected Shortfall on VaR0.107
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.016
 Expected Shortfall on VaR0.033
ORDER STATISTICS
Quartiles of return rates
 Number of observations48.000
 Minimum0.919
 Quartile 11.000
 Median1.000
 Quartile 31.008
 Maximum1.269
 Mean of quarter 10.987
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.101
 Inter Quartile Range0.008
 Number outliers low4.000
 Percentage of outliers low0.083
 Mean of outliers low0.964
 Number of outliers high8.000
 Percentage of outliers high0.167
 Mean of outliers high1.146
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-47.290
 VaR(95%) (moments method)0.000
 Expected Shortfall (moments method)0.000
 Extreme Value Index (regression method)0.295
 VaR(95%) (regression method)0.023
 Expected Shortfall (regression method)0.064
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations5.000
 Minimum0.000
 Quartile 10.007
 Median0.013
 Quartile 30.019
 Maximum0.110
 Mean of quarter 10.004
 Mean of quarter 20.013
 Mean of quarter 30.019
 Mean of quarter 40.110
 Inter Quartile Range0.012
 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 high0.110
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)0.406
 Compounded annual return (geometric extrapolation)0.273
 Calmar ratio (compounded annual return / max draw down)2.479
 Compounded annual return / average of 25% largest draw downs2.479
 Compounded annual return / Expected Shortfall lognormal2.546
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.223
 SD0.234
 Sharpe ratio (Glass type estimate) 0.951
 Sharpe ratio (Hedges UMVUE)0.950
 df1049.000
 t1.903
 p0.463
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.029
 Upperbound of 95% confidence interval for Sharpe Ratio1.930
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.030
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.930
Statistics related to Sortino ratio
 Sortino ratio2.071
 Upside Potential Ratio5.221
 Upside part of mean0.562
 Downside part of mean-0.339
 Upside SD0.209
 Downside SD0.108
 N nonnegative terms155.000
 N negative terms895.000
Statistics related to linear regression on benchmark
 N of observations1050.000
 Mean of predictor0.462
 Mean of criterion0.223
 SD of predictor0.320
 SD of criterion0.234
 Covariance0.001
 r0.020
 b (slope, estimate of beta)0.014
 a (intercept, estimate of alpha)0.216
 Mean Square Error0.055
 DF error1048.000
 t(b)0.634
 p(b)0.490
 t(a)1.839
 p(a)0.472
 Lowerbound of 95% confidence interval for beta-0.030
 Upperbound of 95% confidence interval for beta0.059
 Lowerbound of 95% confidence interval for alpha-0.014
 Upperbound of 95% confidence interval for alpha0.447
 Treynor index (mean / b)15.559
 Jensen alpha (a)0.216
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.197
 SD0.225
 Sharpe ratio (Glass type estimate) 0.875
 Sharpe ratio (Hedges UMVUE)0.874
 df1049.000
 t1.751
 p0.466
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.105
 Upperbound of 95% confidence interval for Sharpe Ratio1.854
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.105
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.854
Statistics related to Sortino ratio
 Sortino ratio1.761
 Upside Potential Ratio4.848
 Upside part of mean0.542
 Downside part of mean-0.345
 Upside SD0.196
 Downside SD0.112
 N nonnegative terms155.000
 N negative terms895.000
Statistics related to linear regression on benchmark
 N of observations1050.000
 Mean of predictor0.408
 Mean of criterion0.197
 SD of predictor0.333
 SD of criterion0.225
 Covariance0.001
 r0.019
 b (slope, estimate of beta)0.013
 a (intercept, estimate of alpha)0.191
 Mean Square Error0.051
 DF error1048.000
 t(b)0.629
 p(b)0.490
 t(a)1.698
 p(a)0.474
 Lowerbound of 95% confidence interval for beta-0.028
 Upperbound of 95% confidence interval for beta0.054
 Lowerbound of 95% confidence interval for alpha-0.030
 Upperbound of 95% confidence interval for alpha0.413
 Treynor index (mean / b)14.974
 Jensen alpha (a)0.191
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.022
 Expected Shortfall on VaR0.028
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.004
 Expected Shortfall on VaR0.009
ORDER STATISTICS
Quartiles of return rates
 Number of observations1050.000
 Minimum0.881
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.235
 Mean of quarter 10.995
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.009
 Inter Quartile Range0.000
 Number outliers low137.000
 Percentage of outliers low0.130
 Mean of outliers low0.991
 Number of outliers high163.000
 Percentage of outliers high0.155
 Mean of outliers high1.014
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)1.032
 VaR(95%) (moments method)0.003
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)0.710
 VaR(95%) (regression method)0.003
 Expected Shortfall (regression method)0.017
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations31.000
 Minimum0.000
 Quartile 10.003
 Median0.012
 Quartile 30.032
 Maximum0.195
 Mean of quarter 10.001
 Mean of quarter 20.007
 Mean of quarter 30.023
 Mean of quarter 40.092
 Inter Quartile Range0.029
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.097
 Mean of outliers high0.166
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.299
 VaR(95%) (moments method)0.090
 Expected Shortfall (moments method)0.158
 Extreme Value Index (regression method)-0.702
 VaR(95%) (regression method)0.114
 Expected Shortfall (regression method)0.130
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.406
 Compounded annual return (geometric extrapolation)0.272
 Calmar ratio (compounded annual return / max draw down)1.393
 Compounded annual return / average of 25% largest draw downs2.949
 Compounded annual return / Expected Shortfall lognormal9.896
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 predictor1.050
 Mean of criterion-0.044
 SD of predictor0.479
 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 predictor0.933
 Mean of criterion-0.044
 SD of predictor0.482
 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)-8736982082394638.000
 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)98004913349418150263437477806080.000
 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