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Advanced Statistics: Kingda Forex (20x)

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
 Mean0.063
 SD0.140
 Sharpe ratio (Glass type estimate) 0.450
 Sharpe ratio (Hedges UMVUE)0.445
 df66.000
 t1.064
 p0.146
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.384
 Upperbound of 95% confidence interval for Sharpe Ratio1.282
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.388
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.278
Statistics related to Sortino ratio
 Sortino ratio0.822
 Upside Potential Ratio2.334
 Upside part of mean0.180
 Downside part of mean-0.116
 Upside SD0.118
 Downside SD0.077
 N nonnegative terms27.000
 N negative terms40.000
Statistics related to linear regression on benchmark
 N of observations67.000
 Mean of predictor0.295
 Mean of criterion0.063
 SD of predictor0.238
 SD of criterion0.140
 Covariance0.000
 r0.007
 b (slope, estimate of beta)0.004
 a (intercept, estimate of alpha)0.062
 Mean Square Error0.020
 DF error65.000
 t(b)0.053
 p(b)0.479
 t(a)0.975
 p(a)0.167
 Lowerbound of 95% confidence interval for beta-0.142
 Upperbound of 95% confidence interval for beta0.150
 Lowerbound of 95% confidence interval for alpha-0.065
 Upperbound of 95% confidence interval for alpha0.189
 Treynor index (mean / b)16.267
 Jensen alpha (a)0.062
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.053
 SD0.137
 Sharpe ratio (Glass type estimate) 0.390
 Sharpe ratio (Hedges UMVUE)0.386
 df66.000
 t0.923
 p0.180
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.443
 Upperbound of 95% confidence interval for Sharpe Ratio1.221
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.446
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.218
Statistics related to Sortino ratio
 Sortino ratio0.673
 Upside Potential Ratio2.170
 Upside part of mean0.172
 Downside part of mean-0.119
 Upside SD0.111
 Downside SD0.079
 N nonnegative terms27.000
 N negative terms40.000
Statistics related to linear regression on benchmark
 N of observations67.000
 Mean of predictor0.265
 Mean of criterion0.053
 SD of predictor0.227
 SD of criterion0.137
 Covariance0.001
 r0.018
 b (slope, estimate of beta)0.011
 a (intercept, estimate of alpha)0.051
 Mean Square Error0.019
 DF error65.000
 t(b)0.148
 p(b)0.441
 t(a)0.819
 p(a)0.208
 Lowerbound of 95% confidence interval for beta-0.139
 Upperbound of 95% confidence interval for beta0.161
 Lowerbound of 95% confidence interval for alpha-0.073
 Upperbound of 95% confidence interval for alpha0.174
 Treynor index (mean / b)4.819
 Jensen alpha (a)0.051
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.059
 Expected Shortfall on VaR0.074
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.025
 Expected Shortfall on VaR0.050
ORDER STATISTICS
Quartiles of return rates
 Number of observations67.000
 Minimum0.910
 Quartile 10.997
 Median1.001
 Quartile 31.021
 Maximum1.165
 Mean of quarter 10.970
 Mean of quarter 21.000
 Mean of quarter 31.008
 Mean of quarter 41.058
 Inter Quartile Range0.024
 Number outliers low5.000
 Percentage of outliers low0.075
 Mean of outliers low0.929
 Number of outliers high8.000
 Percentage of outliers high0.119
 Mean of outliers high1.091
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.724
 VaR(95%) (moments method)0.020
 Expected Shortfall (moments method)0.086
 Extreme Value Index (regression method)-0.138
 VaR(95%) (regression method)0.032
 Expected Shortfall (regression method)0.046
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations8.000
 Minimum0.005
 Quartile 10.012
 Median0.024
 Quartile 30.071
 Maximum0.168
 Mean of quarter 10.008
 Mean of quarter 20.014
 Mean of quarter 30.051
 Mean of quarter 40.121
 Inter Quartile Range0.059
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.125
 Mean of outliers high0.168
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)0.130
 Compounded annual return (geometric extrapolation)0.102
 Calmar ratio (compounded annual return / max draw down)0.609
 Compounded annual return / average of 25% largest draw downs0.844
 Compounded annual return / Expected Shortfall lognormal1.382
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.061
 SD0.127
 Sharpe ratio (Glass type estimate) 0.480
 Sharpe ratio (Hedges UMVUE)0.480
 df1468.000
 t1.136
 p0.485
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.348
 Upperbound of 95% confidence interval for Sharpe Ratio1.308
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.348
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.308
Statistics related to Sortino ratio
 Sortino ratio0.690
 Upside Potential Ratio5.211
 Upside part of mean0.462
 Downside part of mean-0.401
 Upside SD0.091
 Downside SD0.089
 N nonnegative terms594.000
 N negative terms875.000
Statistics related to linear regression on benchmark
 N of observations1469.000
 Mean of predictor0.316
 Mean of criterion0.061
 SD of predictor0.262
 SD of criterion0.127
 Covariance-0.000
 r-0.004
 b (slope, estimate of beta)-0.002
 a (intercept, estimate of alpha)0.062
 Mean Square Error0.016
 DF error1467.000
 t(b)-0.170
 p(b)0.503
 t(a)1.146
 p(a)0.481
 Lowerbound of 95% confidence interval for beta-0.027
 Upperbound of 95% confidence interval for beta0.023
 Lowerbound of 95% confidence interval for alpha-0.044
 Upperbound of 95% confidence interval for alpha0.168
 Treynor index (mean / b)-28.301
 Jensen alpha (a)0.062
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.053
 SD0.127
 Sharpe ratio (Glass type estimate) 0.416
 Sharpe ratio (Hedges UMVUE)0.416
 df1468.000
 t0.986
 p0.487
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.412
 Upperbound of 95% confidence interval for Sharpe Ratio1.244
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.412
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.244
Statistics related to Sortino ratio
 Sortino ratio0.588
 Upside Potential Ratio5.081
 Upside part of mean0.458
 Downside part of mean-0.405
 Upside SD0.090
 Downside SD0.090
 N nonnegative terms594.000
 N negative terms875.000
Statistics related to linear regression on benchmark
 N of observations1469.000
 Mean of predictor0.281
 Mean of criterion0.053
 SD of predictor0.262
 SD of criterion0.127
 Covariance-0.000
 r-0.004
 b (slope, estimate of beta)-0.002
 a (intercept, estimate of alpha)0.054
 Mean Square Error0.016
 DF error1467.000
 t(b)-0.146
 p(b)0.502
 t(a)0.993
 p(a)0.484
 Lowerbound of 95% confidence interval for beta-0.027
 Upperbound of 95% confidence interval for beta0.023
 Lowerbound of 95% confidence interval for alpha-0.052
 Upperbound of 95% confidence interval for alpha0.159
 Treynor index (mean / b)-28.711
 Jensen alpha (a)0.054
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.013
 Expected Shortfall on VaR0.016
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 observations1469.000
 Minimum0.946
 Quartile 11.000
 Median1.000
 Quartile 31.001
 Maximum1.067
 Mean of quarter 10.994
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.007
 Inter Quartile Range0.001
 Number outliers low172.000
 Percentage of outliers low0.117
 Mean of outliers low0.989
 Number of outliers high211.000
 Percentage of outliers high0.144
 Mean of outliers high1.011
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.540
 VaR(95%) (moments method)0.003
 Expected Shortfall (moments method)0.010
 Extreme Value Index (regression method)0.183
 VaR(95%) (regression method)0.006
 Expected Shortfall (regression method)0.012
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations42.000
 Minimum0.000
 Quartile 10.004
 Median0.012
 Quartile 30.036
 Maximum0.169
 Mean of quarter 10.002
 Mean of quarter 20.008
 Mean of quarter 30.025
 Mean of quarter 40.079
 Inter Quartile Range0.032
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high5.000
 Percentage of outliers high0.119
 Mean of outliers high0.115
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.089
 VaR(95%) (moments method)0.078
 Expected Shortfall (moments method)0.101
 Extreme Value Index (regression method)-0.196
 VaR(95%) (regression method)0.099
 Expected Shortfall (regression method)0.127
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.129
 Compounded annual return (geometric extrapolation)0.102
 Calmar ratio (compounded annual return / max draw down)0.604
 Compounded annual return / average of 25% largest draw downs1.294
 Compounded annual return / Expected Shortfall lognormal6.410
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.051
 SD0.006
 Sharpe ratio (Glass type estimate) -8.255
 Sharpe ratio (Hedges UMVUE)-8.207
 df130.000
 t-5.837
 p0.728
 Lowerbound of 95% confidence interval for Sharpe Ratio-11.188
 Upperbound of 95% confidence interval for Sharpe Ratio-5.293
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-11.153
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-5.261
Statistics related to Sortino ratio
 Sortino ratio-7.894
 Upside Potential Ratio2.487
 Upside part of mean0.016
 Downside part of mean-0.067
 Upside SD0.002
 Downside SD0.006
 N nonnegative terms40.000
 N negative terms91.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.038
 Mean of criterion-0.051
 SD of predictor0.452
 SD of criterion0.006
 Covariance-0.001
 r-0.518
 b (slope, estimate of beta)-0.007
 a (intercept, estimate of alpha)-0.043
 Mean Square Error0.000
 DF error129.000
 t(b)-6.878
 p(b)0.814
 t(a)-5.759
 p(a)0.778
 Lowerbound of 95% confidence interval for beta-0.009
 Upperbound of 95% confidence interval for beta-0.005
 Lowerbound of 95% confidence interval for alpha-0.058
 Upperbound of 95% confidence interval for alpha-0.028
 Treynor index (mean / b)7.197
 Jensen alpha (a)-0.043
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.051
 SD0.006
 Sharpe ratio (Glass type estimate) -8.256
 Sharpe ratio (Hedges UMVUE)-8.209
 df130.000
 t-5.838
 p0.728
 Lowerbound of 95% confidence interval for Sharpe Ratio-11.190
 Upperbound of 95% confidence interval for Sharpe Ratio-5.295
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-11.154
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-5.263
Statistics related to Sortino ratio
 Sortino ratio-7.895
 Upside Potential Ratio2.485
 Upside part of mean0.016
 Downside part of mean-0.067
 Upside SD0.002
 Downside SD0.006
 N nonnegative terms40.000
 N negative terms91.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.935
 Mean of criterion-0.051
 SD of predictor0.452
 SD of criterion0.006
 Covariance-0.001
 r-0.518
 b (slope, estimate of beta)-0.007
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)-6.870
 p(b)0.814
 t(a)-5.867
 p(a)0.782
 Lowerbound of 95% confidence interval for beta-0.009
 Upperbound of 95% confidence interval for beta-0.005
 Lowerbound of 95% confidence interval for alpha-0.059
 Upperbound of 95% confidence interval for alpha-0.029
 Treynor index (mean / b)7.210
 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%)0.001
 Expected Shortfall on VaR0.001
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.001
 Expected Shortfall on VaR0.001
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.999
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.001
 Mean of quarter 10.999
 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 low0.999
 Number of outliers high2.000
 Percentage of outliers high0.015
 Mean of outliers high1.001
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-1.588
 VaR(95%) (moments method)0.000
 Expected Shortfall (moments method)0.001
 Extreme Value Index (regression method)0.019
 VaR(95%) (regression method)0.001
 Expected Shortfall (regression method)0.001
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.000
 Quartile 10.001
 Median0.002
 Quartile 30.004
 Maximum0.005
 Mean of quarter 10.000
 Mean of quarter 20.002
 Mean of quarter 3NA
 Mean of quarter 40.005
 Inter Quartile Range0.002
 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)-0.007
 Compounded annual return (geometric extrapolation)-0.007
 Calmar ratio (compounded annual return / max draw down)-1.455
 Compounded annual return / average of 25% largest draw downs-1.455
 Compounded annual return / Expected Shortfall lognormal-6.823

Advanced Statistics: Kingda Forex (20x)

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
 Mean0.063
 SD0.140
 Sharpe ratio (Glass type estimate) 0.450
 Sharpe ratio (Hedges UMVUE)0.445
 df66.000
 t1.064
 p0.146
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.384
 Upperbound of 95% confidence interval for Sharpe Ratio1.282
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.388
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.278
Statistics related to Sortino ratio
 Sortino ratio0.822
 Upside Potential Ratio2.334
 Upside part of mean0.180
 Downside part of mean-0.116
 Upside SD0.118
 Downside SD0.077
 N nonnegative terms27.000
 N negative terms40.000
Statistics related to linear regression on benchmark
 N of observations67.000
 Mean of predictor0.295
 Mean of criterion0.063
 SD of predictor0.238
 SD of criterion0.140
 Covariance0.000
 r0.007
 b (slope, estimate of beta)0.004
 a (intercept, estimate of alpha)0.062
 Mean Square Error0.020
 DF error65.000
 t(b)0.053
 p(b)0.479
 t(a)0.975
 p(a)0.167
 Lowerbound of 95% confidence interval for beta-0.142
 Upperbound of 95% confidence interval for beta0.150
 Lowerbound of 95% confidence interval for alpha-0.065
 Upperbound of 95% confidence interval for alpha0.189
 Treynor index (mean / b)16.267
 Jensen alpha (a)0.062
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.053
 SD0.137
 Sharpe ratio (Glass type estimate) 0.390
 Sharpe ratio (Hedges UMVUE)0.386
 df66.000
 t0.923
 p0.180
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.443
 Upperbound of 95% confidence interval for Sharpe Ratio1.221
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.446
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.218
Statistics related to Sortino ratio
 Sortino ratio0.673
 Upside Potential Ratio2.170
 Upside part of mean0.172
 Downside part of mean-0.119
 Upside SD0.111
 Downside SD0.079
 N nonnegative terms27.000
 N negative terms40.000
Statistics related to linear regression on benchmark
 N of observations67.000
 Mean of predictor0.265
 Mean of criterion0.053
 SD of predictor0.227
 SD of criterion0.137
 Covariance0.001
 r0.018
 b (slope, estimate of beta)0.011
 a (intercept, estimate of alpha)0.051
 Mean Square Error0.019
 DF error65.000
 t(b)0.148
 p(b)0.441
 t(a)0.819
 p(a)0.208
 Lowerbound of 95% confidence interval for beta-0.139
 Upperbound of 95% confidence interval for beta0.161
 Lowerbound of 95% confidence interval for alpha-0.073
 Upperbound of 95% confidence interval for alpha0.174
 Treynor index (mean / b)4.819
 Jensen alpha (a)0.051
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.059
 Expected Shortfall on VaR0.074
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.025
 Expected Shortfall on VaR0.050
ORDER STATISTICS
Quartiles of return rates
 Number of observations67.000
 Minimum0.910
 Quartile 10.997
 Median1.001
 Quartile 31.021
 Maximum1.165
 Mean of quarter 10.970
 Mean of quarter 21.000
 Mean of quarter 31.008
 Mean of quarter 41.058
 Inter Quartile Range0.024
 Number outliers low5.000
 Percentage of outliers low0.075
 Mean of outliers low0.929
 Number of outliers high8.000
 Percentage of outliers high0.119
 Mean of outliers high1.091
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.724
 VaR(95%) (moments method)0.020
 Expected Shortfall (moments method)0.086
 Extreme Value Index (regression method)-0.138
 VaR(95%) (regression method)0.032
 Expected Shortfall (regression method)0.046
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations8.000
 Minimum0.005
 Quartile 10.012
 Median0.024
 Quartile 30.071
 Maximum0.168
 Mean of quarter 10.008
 Mean of quarter 20.014
 Mean of quarter 30.051
 Mean of quarter 40.121
 Inter Quartile Range0.059
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.125
 Mean of outliers high0.168
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)0.130
 Compounded annual return (geometric extrapolation)0.102
 Calmar ratio (compounded annual return / max draw down)0.609
 Compounded annual return / average of 25% largest draw downs0.844
 Compounded annual return / Expected Shortfall lognormal1.382
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.061
 SD0.127
 Sharpe ratio (Glass type estimate) 0.480
 Sharpe ratio (Hedges UMVUE)0.480
 df1468.000
 t1.136
 p0.485
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.348
 Upperbound of 95% confidence interval for Sharpe Ratio1.308
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.348
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.308
Statistics related to Sortino ratio
 Sortino ratio0.690
 Upside Potential Ratio5.211
 Upside part of mean0.462
 Downside part of mean-0.401
 Upside SD0.091
 Downside SD0.089
 N nonnegative terms594.000
 N negative terms875.000
Statistics related to linear regression on benchmark
 N of observations1469.000
 Mean of predictor0.316
 Mean of criterion0.061
 SD of predictor0.262
 SD of criterion0.127
 Covariance-0.000
 r-0.004
 b (slope, estimate of beta)-0.002
 a (intercept, estimate of alpha)0.062
 Mean Square Error0.016
 DF error1467.000
 t(b)-0.170
 p(b)0.503
 t(a)1.146
 p(a)0.481
 Lowerbound of 95% confidence interval for beta-0.027
 Upperbound of 95% confidence interval for beta0.023
 Lowerbound of 95% confidence interval for alpha-0.044
 Upperbound of 95% confidence interval for alpha0.168
 Treynor index (mean / b)-28.301
 Jensen alpha (a)0.062
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.053
 SD0.127
 Sharpe ratio (Glass type estimate) 0.416
 Sharpe ratio (Hedges UMVUE)0.416
 df1468.000
 t0.986
 p0.487
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.412
 Upperbound of 95% confidence interval for Sharpe Ratio1.244
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.412
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.244
Statistics related to Sortino ratio
 Sortino ratio0.588
 Upside Potential Ratio5.081
 Upside part of mean0.458
 Downside part of mean-0.405
 Upside SD0.090
 Downside SD0.090
 N nonnegative terms594.000
 N negative terms875.000
Statistics related to linear regression on benchmark
 N of observations1469.000
 Mean of predictor0.281
 Mean of criterion0.053
 SD of predictor0.262
 SD of criterion0.127
 Covariance-0.000
 r-0.004
 b (slope, estimate of beta)-0.002
 a (intercept, estimate of alpha)0.054
 Mean Square Error0.016
 DF error1467.000
 t(b)-0.146
 p(b)0.502
 t(a)0.993
 p(a)0.484
 Lowerbound of 95% confidence interval for beta-0.027
 Upperbound of 95% confidence interval for beta0.023
 Lowerbound of 95% confidence interval for alpha-0.052
 Upperbound of 95% confidence interval for alpha0.159
 Treynor index (mean / b)-28.711
 Jensen alpha (a)0.054
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.013
 Expected Shortfall on VaR0.016
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 observations1469.000
 Minimum0.946
 Quartile 11.000
 Median1.000
 Quartile 31.001
 Maximum1.067
 Mean of quarter 10.994
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.007
 Inter Quartile Range0.001
 Number outliers low172.000
 Percentage of outliers low0.117
 Mean of outliers low0.989
 Number of outliers high211.000
 Percentage of outliers high0.144
 Mean of outliers high1.011
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.540
 VaR(95%) (moments method)0.003
 Expected Shortfall (moments method)0.010
 Extreme Value Index (regression method)0.183
 VaR(95%) (regression method)0.006
 Expected Shortfall (regression method)0.012
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations42.000
 Minimum0.000
 Quartile 10.004
 Median0.012
 Quartile 30.036
 Maximum0.169
 Mean of quarter 10.002
 Mean of quarter 20.008
 Mean of quarter 30.025
 Mean of quarter 40.079
 Inter Quartile Range0.032
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high5.000
 Percentage of outliers high0.119
 Mean of outliers high0.115
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.089
 VaR(95%) (moments method)0.078
 Expected Shortfall (moments method)0.101
 Extreme Value Index (regression method)-0.196
 VaR(95%) (regression method)0.099
 Expected Shortfall (regression method)0.127
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.129
 Compounded annual return (geometric extrapolation)0.102
 Calmar ratio (compounded annual return / max draw down)0.604
 Compounded annual return / average of 25% largest draw downs1.294
 Compounded annual return / Expected Shortfall lognormal6.410
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.051
 SD0.006
 Sharpe ratio (Glass type estimate) -8.255
 Sharpe ratio (Hedges UMVUE)-8.207
 df130.000
 t-5.837
 p0.728
 Lowerbound of 95% confidence interval for Sharpe Ratio-11.188
 Upperbound of 95% confidence interval for Sharpe Ratio-5.293
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-11.153
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-5.261
Statistics related to Sortino ratio
 Sortino ratio-7.894
 Upside Potential Ratio2.487
 Upside part of mean0.016
 Downside part of mean-0.067
 Upside SD0.002
 Downside SD0.006
 N nonnegative terms40.000
 N negative terms91.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.038
 Mean of criterion-0.051
 SD of predictor0.452
 SD of criterion0.006
 Covariance-0.001
 r-0.518
 b (slope, estimate of beta)-0.007
 a (intercept, estimate of alpha)-0.043
 Mean Square Error0.000
 DF error129.000
 t(b)-6.878
 p(b)0.814
 t(a)-5.759
 p(a)0.778
 Lowerbound of 95% confidence interval for beta-0.009
 Upperbound of 95% confidence interval for beta-0.005
 Lowerbound of 95% confidence interval for alpha-0.058
 Upperbound of 95% confidence interval for alpha-0.028
 Treynor index (mean / b)7.197
 Jensen alpha (a)-0.043
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.051
 SD0.006
 Sharpe ratio (Glass type estimate) -8.256
 Sharpe ratio (Hedges UMVUE)-8.209
 df130.000
 t-5.838
 p0.728
 Lowerbound of 95% confidence interval for Sharpe Ratio-11.190
 Upperbound of 95% confidence interval for Sharpe Ratio-5.295
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-11.154
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-5.263
Statistics related to Sortino ratio
 Sortino ratio-7.895
 Upside Potential Ratio2.485
 Upside part of mean0.016
 Downside part of mean-0.067
 Upside SD0.002
 Downside SD0.006
 N nonnegative terms40.000
 N negative terms91.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.935
 Mean of criterion-0.051
 SD of predictor0.452
 SD of criterion0.006
 Covariance-0.001
 r-0.518
 b (slope, estimate of beta)-0.007
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)-6.870
 p(b)0.814
 t(a)-5.867
 p(a)0.782
 Lowerbound of 95% confidence interval for beta-0.009
 Upperbound of 95% confidence interval for beta-0.005
 Lowerbound of 95% confidence interval for alpha-0.059
 Upperbound of 95% confidence interval for alpha-0.029
 Treynor index (mean / b)7.210
 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%)0.001
 Expected Shortfall on VaR0.001
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.001
 Expected Shortfall on VaR0.001
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.999
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.001
 Mean of quarter 10.999
 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 low0.999
 Number of outliers high2.000
 Percentage of outliers high0.015
 Mean of outliers high1.001
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-1.588
 VaR(95%) (moments method)0.000
 Expected Shortfall (moments method)0.001
 Extreme Value Index (regression method)0.019
 VaR(95%) (regression method)0.001
 Expected Shortfall (regression method)0.001
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.000
 Quartile 10.001
 Median0.002
 Quartile 30.004
 Maximum0.005
 Mean of quarter 10.000
 Mean of quarter 20.002
 Mean of quarter 3NA
 Mean of quarter 40.005
 Inter Quartile Range0.002
 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)-0.007
 Compounded annual return (geometric extrapolation)-0.007
 Calmar ratio (compounded annual return / max draw down)-1.455
 Compounded annual return / average of 25% largest draw downs-1.455
 Compounded annual return / Expected Shortfall lognormal-6.823