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Advanced Statistics: Futurama

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
 Mean1763386.617
 SD2595634.814
 Sharpe ratio (Glass type estimate) 0.679
 Sharpe ratio (Hedges UMVUE)0.659
 df25.000
 t1.000
 p0.163
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.672
 Upperbound of 95% confidence interval for Sharpe Ratio2.017
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.685
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.003
Statistics related to Sortino ratio
 Sortino ratio2431423.073
 Upside Potential Ratio2431424.130
 Upside part of mean1763387.383
 Downside part of mean-0.766
 Upside SD2595634.814
 Downside SD0.725
 N nonnegative terms3.000
 N negative terms23.000
Statistics related to linear regression on benchmark
 N of observations26.000
 Mean of predictor0.545
 Mean of criterion1763386.617
 SD of predictor0.488
 SD of criterion2595634.814
 Covariance99707.431
 r0.079
 b (slope, estimate of beta)419326.675
 a (intercept, estimate of alpha)1534953.798
 Mean Square Error6974489691519.891
 DF error24.000
 t(b)0.387
 p(b)0.351
 t(a)0.813
 p(a)0.212
 Lowerbound of 95% confidence interval for beta-1816237.236
 Upperbound of 95% confidence interval for beta2654890.585
 Lowerbound of 95% confidence interval for alpha-2363127.476
 Upperbound of 95% confidence interval for alpha5433035.072
 Treynor index (mean / b)4.205
 Jensen alpha (a)1534953.798
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean2.152
 SD12.955
 Sharpe ratio (Glass type estimate) 0.166
 Sharpe ratio (Hedges UMVUE)0.161
 df25.000
 t0.245
 p0.404
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.168
 Upperbound of 95% confidence interval for Sharpe Ratio1.497
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.171
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.493
Statistics related to Sortino ratio
 Sortino ratio0.289
 Upside Potential Ratio1.013
 Upside part of mean7.546
 Downside part of mean-5.394
 Upside SD10.311
 Downside SD7.446
 N nonnegative terms3.000
 N negative terms23.000
Statistics related to linear regression on benchmark
 N of observations26.000
 Mean of predictor0.448
 Mean of criterion2.152
 SD of predictor0.396
 SD of criterion12.955
 Covariance0.672
 r0.131
 b (slope, estimate of beta)4.289
 a (intercept, estimate of alpha)0.233
 Mean Square Error171.813
 DF error24.000
 t(b)0.648
 p(b)0.262
 t(a)0.025
 p(a)0.490
 Lowerbound of 95% confidence interval for beta-9.381
 Upperbound of 95% confidence interval for beta17.958
 Lowerbound of 95% confidence interval for alpha-19.137
 Upperbound of 95% confidence interval for alpha19.603
 Treynor index (mean / b)0.502
 Jensen alpha (a)0.233
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.997
 Expected Shortfall on VaR0.999
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.206
 Expected Shortfall on VaR0.438
ORDER STATISTICS
Quartiles of return rates
 Number of observations26.000
 Minimum0.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum3820672.000
 Mean of quarter 10.775
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 4545811.382
 Inter Quartile Range0.000
 Number outliers low4.000
 Percentage of outliers low0.154
 Mean of outliers low0.606
 Number of outliers high3.000
 Percentage of outliers high0.115
 Mean of outliers high1273558.558
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)1.717
 VaR(95%) (regression method)0.151
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.139
 Quartile 10.219
 Median0.299
 Quartile 30.650
 Maximum1.000
 Mean of quarter 10.139
 Mean of quarter 20.299
 Mean of quarter 3NA
 Mean of quarter 41.000
 Inter Quartile Range0.431
 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)53.364
 Compounded annual return (geometric extrapolation)7.993
 Calmar ratio (compounded annual return / max draw down)7.993
 Compounded annual return / average of 25% largest draw downs7.993
 Compounded annual return / Expected Shortfall lognormal8.000
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean1532374.190
 SD2293682.788
 Sharpe ratio (Glass type estimate) 0.668
 Sharpe ratio (Hedges UMVUE)0.667
 df586.000
 t1.000
 p0.159
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.642
 Upperbound of 95% confidence interval for Sharpe Ratio1.978
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.643
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.977
Statistics related to Sortino ratio
 Sortino ratio1542783.922
 Upside Potential Ratio1542786.075
 Upside part of mean1532376.329
 Downside part of mean-2.139
 Upside SD2293682.787
 Downside SD0.993
 N nonnegative terms68.000
 N negative terms519.000
Statistics related to linear regression on benchmark
 N of observations587.000
 Mean of predictor0.685
 Mean of criterion1532374.190
 SD of predictor0.353
 SD of criterion2293682.788
 Covariance-9675.218
 r-0.012
 b (slope, estimate of beta)-77629.632
 a (intercept, estimate of alpha)1585551.663
 Mean Square Error5269221492058.454
 DF error585.000
 t(b)-0.289
 p(b)0.614
 t(a)1.027
 p(a)0.153
 Lowerbound of 95% confidence interval for beta-605169.621
 Upperbound of 95% confidence interval for beta449910.358
 Lowerbound of 95% confidence interval for alpha-1448031.607
 Upperbound of 95% confidence interval for alpha4619134.933
 Treynor index (mean / b)-19.740
 Jensen alpha (a)1585551.663
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-4.526
 SD15.950
 Sharpe ratio (Glass type estimate) -0.284
 Sharpe ratio (Hedges UMVUE)-0.283
 df586.000
 t-0.425
 p0.664
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.593
 Upperbound of 95% confidence interval for Sharpe Ratio1.026
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.593
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.026
Statistics related to Sortino ratio
 Sortino ratio-0.366
 Upside Potential Ratio0.673
 Upside part of mean8.323
 Downside part of mean-12.849
 Upside SD10.063
 Downside SD12.361
 N nonnegative terms68.000
 N negative terms519.000
Statistics related to linear regression on benchmark
 N of observations587.000
 Mean of predictor0.625
 Mean of criterion-4.526
 SD of predictor0.342
 SD of criterion15.950
 Covariance-0.179
 r-0.033
 b (slope, estimate of beta)-1.530
 a (intercept, estimate of alpha)-3.570
 Mean Square Error254.577
 DF error585.000
 t(b)-0.794
 p(b)0.786
 t(a)-0.333
 p(a)0.630
 Lowerbound of 95% confidence interval for beta-5.318
 Upperbound of 95% confidence interval for beta2.257
 Lowerbound of 95% confidence interval for alpha-24.639
 Upperbound of 95% confidence interval for alpha17.499
 Treynor index (mean / b)2.958
 Jensen alpha (a)-3.570
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.806
 Expected Shortfall on VaR0.864
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.026
 Expected Shortfall on VaR0.060
ORDER STATISTICS
Quartiles of return rates
 Number of observations587.000
 Minimum0.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum3433222.000
 Mean of quarter 10.968
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 423356.271
 Inter Quartile Range0.000
 Number outliers low52.000
 Percentage of outliers low0.089
 Mean of outliers low0.910
 Number of outliers high68.000
 Percentage of outliers high0.116
 Mean of outliers high50489.601
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)-0.399
 VaR(95%) (regression method)0.016
 Expected Shortfall (regression method)0.034
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations10.000
 Minimum0.008
 Quartile 10.034
 Median0.111
 Quartile 30.272
 Maximum1.000
 Mean of quarter 10.017
 Mean of quarter 20.062
 Mean of quarter 30.187
 Mean of quarter 40.761
 Inter Quartile Range0.238
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high2.000
 Percentage of outliers high0.200
 Mean of outliers high1.000
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-19029910659.787
 VaR(95%) (moments method)0.639
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-16.756
 VaR(95%) (regression method)76.745
 Expected Shortfall (regression method)76.745
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)-0.446
 Compounded annual return (geometric extrapolation)-0.989
 Calmar ratio (compounded annual return / max draw down)-0.989
 Compounded annual return / average of 25% largest draw downs-1.300
 Compounded annual return / Expected Shortfall lognormal-1.145
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean6866439.628
 SD4855307.713
 Sharpe ratio (Glass type estimate) 1.414
 Sharpe ratio (Hedges UMVUE)1.406
 df130.000
 t1.000
 p0.456
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.366
 Upperbound of 95% confidence interval for Sharpe Ratio4.189
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.371
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.183
Statistics related to Sortino ratio
 Sortino ratio4702622.785
 Upside Potential Ratio4702625.439
 Upside part of mean6866443.503
 Downside part of mean-3.875
 Upside SD4855307.701
 Downside SD1.460
 N nonnegative terms17.000
 N negative terms114.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor2.126
 Mean of criterion6866439.628
 SD of predictor0.636
 SD of criterion4855307.713
 Covariance-81659.033
 r-0.026
 b (slope, estimate of beta)-201752.461
 a (intercept, estimate of alpha)7295293.752
 Mean Square Error23740154656095.102
 DF error129.000
 t(b)-0.300
 p(b)0.517
 t(a)1.037
 p(a)0.442
 Lowerbound of 95% confidence interval for beta-1530733.770
 Upperbound of 95% confidence interval for beta1127228.849
 Lowerbound of 95% confidence interval for alpha-6627522.663
 Upperbound of 95% confidence interval for alpha21218110.167
 Treynor index (mean / b)-34.034
 Jensen alpha (a)7295293.752
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD29.994
 Sharpe ratio (Glass type estimate) -0.001
 Sharpe ratio (Hedges UMVUE)-0.001
 df130.000
 t-0.001
 p0.500
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.773
 Upperbound of 95% confidence interval for Sharpe Ratio2.770
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.773
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.770
Statistics related to Sortino ratio
 Sortino ratio-0.002
 Upside Potential Ratio1.505
 Upside part of mean31.551
 Downside part of mean-31.595
 Upside SD21.285
 Downside SD20.970
 N nonnegative terms17.000
 N negative terms114.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.928
 Mean of criterion-0.044
 SD of predictor0.609
 SD of criterion29.994
 Covariance-0.765
 r-0.042
 b (slope, estimate of beta)-2.059
 a (intercept, estimate of alpha)3.927
 Mean Square Error905.013
 DF error129.000
 t(b)-0.476
 p(b)0.527
 t(a)0.091
 p(a)0.495
 Lowerbound of 95% confidence interval for beta-10.625
 Upperbound of 95% confidence interval for beta6.506
 Lowerbound of 95% confidence interval for alpha-81.853
 Upperbound of 95% confidence interval for alpha89.708
 Treynor index (mean / b)0.021
 Jensen alpha (a)3.927
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.953
 Expected Shortfall on VaR0.974
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.047
 Expected Shortfall on VaR0.106
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum3433222.000
 Mean of quarter 10.942
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 4104038.023
 Inter Quartile Range0.000
 Number outliers low18.000
 Percentage of outliers low0.137
 Mean of outliers low0.893
 Number of outliers high17.000
 Percentage of outliers high0.130
 Mean of outliers high201955.221
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)0.341
 VaR(95%) (regression method)0.029
 Expected Shortfall (regression method)0.079
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.011
 Quartile 10.258
 Median0.505
 Quartile 30.753
 Maximum1.000
 Mean of quarter 10.011
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 41.000
 Inter Quartile Range0.495
 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)0.000
 Compounded annual return (geometric extrapolation)0.000
 Calmar ratio (compounded annual return / max draw down)0.000
 Compounded annual return / average of 25% largest draw downs0.000
 Compounded annual return / Expected Shortfall lognormal0.000

Advanced Statistics: Futurama

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
 Mean1763386.617
 SD2595634.814
 Sharpe ratio (Glass type estimate) 0.679
 Sharpe ratio (Hedges UMVUE)0.659
 df25.000
 t1.000
 p0.163
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.672
 Upperbound of 95% confidence interval for Sharpe Ratio2.017
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.685
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.003
Statistics related to Sortino ratio
 Sortino ratio2431423.073
 Upside Potential Ratio2431424.130
 Upside part of mean1763387.383
 Downside part of mean-0.766
 Upside SD2595634.814
 Downside SD0.725
 N nonnegative terms3.000
 N negative terms23.000
Statistics related to linear regression on benchmark
 N of observations26.000
 Mean of predictor0.545
 Mean of criterion1763386.617
 SD of predictor0.488
 SD of criterion2595634.814
 Covariance99707.431
 r0.079
 b (slope, estimate of beta)419326.675
 a (intercept, estimate of alpha)1534953.798
 Mean Square Error6974489691519.891
 DF error24.000
 t(b)0.387
 p(b)0.351
 t(a)0.813
 p(a)0.212
 Lowerbound of 95% confidence interval for beta-1816237.236
 Upperbound of 95% confidence interval for beta2654890.585
 Lowerbound of 95% confidence interval for alpha-2363127.476
 Upperbound of 95% confidence interval for alpha5433035.072
 Treynor index (mean / b)4.205
 Jensen alpha (a)1534953.798
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean2.152
 SD12.955
 Sharpe ratio (Glass type estimate) 0.166
 Sharpe ratio (Hedges UMVUE)0.161
 df25.000
 t0.245
 p0.404
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.168
 Upperbound of 95% confidence interval for Sharpe Ratio1.497
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.171
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.493
Statistics related to Sortino ratio
 Sortino ratio0.289
 Upside Potential Ratio1.013
 Upside part of mean7.546
 Downside part of mean-5.394
 Upside SD10.311
 Downside SD7.446
 N nonnegative terms3.000
 N negative terms23.000
Statistics related to linear regression on benchmark
 N of observations26.000
 Mean of predictor0.448
 Mean of criterion2.152
 SD of predictor0.396
 SD of criterion12.955
 Covariance0.672
 r0.131
 b (slope, estimate of beta)4.289
 a (intercept, estimate of alpha)0.233
 Mean Square Error171.813
 DF error24.000
 t(b)0.648
 p(b)0.262
 t(a)0.025
 p(a)0.490
 Lowerbound of 95% confidence interval for beta-9.381
 Upperbound of 95% confidence interval for beta17.958
 Lowerbound of 95% confidence interval for alpha-19.137
 Upperbound of 95% confidence interval for alpha19.603
 Treynor index (mean / b)0.502
 Jensen alpha (a)0.233
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.997
 Expected Shortfall on VaR0.999
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.206
 Expected Shortfall on VaR0.438
ORDER STATISTICS
Quartiles of return rates
 Number of observations26.000
 Minimum0.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum3820672.000
 Mean of quarter 10.775
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 4545811.382
 Inter Quartile Range0.000
 Number outliers low4.000
 Percentage of outliers low0.154
 Mean of outliers low0.606
 Number of outliers high3.000
 Percentage of outliers high0.115
 Mean of outliers high1273558.558
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)1.717
 VaR(95%) (regression method)0.151
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.139
 Quartile 10.219
 Median0.299
 Quartile 30.650
 Maximum1.000
 Mean of quarter 10.139
 Mean of quarter 20.299
 Mean of quarter 3NA
 Mean of quarter 41.000
 Inter Quartile Range0.431
 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)53.364
 Compounded annual return (geometric extrapolation)7.993
 Calmar ratio (compounded annual return / max draw down)7.993
 Compounded annual return / average of 25% largest draw downs7.993
 Compounded annual return / Expected Shortfall lognormal8.000
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean1532374.190
 SD2293682.788
 Sharpe ratio (Glass type estimate) 0.668
 Sharpe ratio (Hedges UMVUE)0.667
 df586.000
 t1.000
 p0.159
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.642
 Upperbound of 95% confidence interval for Sharpe Ratio1.978
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.643
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.977
Statistics related to Sortino ratio
 Sortino ratio1542783.922
 Upside Potential Ratio1542786.075
 Upside part of mean1532376.329
 Downside part of mean-2.139
 Upside SD2293682.787
 Downside SD0.993
 N nonnegative terms68.000
 N negative terms519.000
Statistics related to linear regression on benchmark
 N of observations587.000
 Mean of predictor0.685
 Mean of criterion1532374.190
 SD of predictor0.353
 SD of criterion2293682.788
 Covariance-9675.218
 r-0.012
 b (slope, estimate of beta)-77629.632
 a (intercept, estimate of alpha)1585551.663
 Mean Square Error5269221492058.454
 DF error585.000
 t(b)-0.289
 p(b)0.614
 t(a)1.027
 p(a)0.153
 Lowerbound of 95% confidence interval for beta-605169.621
 Upperbound of 95% confidence interval for beta449910.358
 Lowerbound of 95% confidence interval for alpha-1448031.607
 Upperbound of 95% confidence interval for alpha4619134.933
 Treynor index (mean / b)-19.740
 Jensen alpha (a)1585551.663
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-4.526
 SD15.950
 Sharpe ratio (Glass type estimate) -0.284
 Sharpe ratio (Hedges UMVUE)-0.283
 df586.000
 t-0.425
 p0.664
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.593
 Upperbound of 95% confidence interval for Sharpe Ratio1.026
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.593
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.026
Statistics related to Sortino ratio
 Sortino ratio-0.366
 Upside Potential Ratio0.673
 Upside part of mean8.323
 Downside part of mean-12.849
 Upside SD10.063
 Downside SD12.361
 N nonnegative terms68.000
 N negative terms519.000
Statistics related to linear regression on benchmark
 N of observations587.000
 Mean of predictor0.625
 Mean of criterion-4.526
 SD of predictor0.342
 SD of criterion15.950
 Covariance-0.179
 r-0.033
 b (slope, estimate of beta)-1.530
 a (intercept, estimate of alpha)-3.570
 Mean Square Error254.577
 DF error585.000
 t(b)-0.794
 p(b)0.786
 t(a)-0.333
 p(a)0.630
 Lowerbound of 95% confidence interval for beta-5.318
 Upperbound of 95% confidence interval for beta2.257
 Lowerbound of 95% confidence interval for alpha-24.639
 Upperbound of 95% confidence interval for alpha17.499
 Treynor index (mean / b)2.958
 Jensen alpha (a)-3.570
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.806
 Expected Shortfall on VaR0.864
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.026
 Expected Shortfall on VaR0.060
ORDER STATISTICS
Quartiles of return rates
 Number of observations587.000
 Minimum0.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum3433222.000
 Mean of quarter 10.968
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 423356.271
 Inter Quartile Range0.000
 Number outliers low52.000
 Percentage of outliers low0.089
 Mean of outliers low0.910
 Number of outliers high68.000
 Percentage of outliers high0.116
 Mean of outliers high50489.601
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)-0.399
 VaR(95%) (regression method)0.016
 Expected Shortfall (regression method)0.034
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations10.000
 Minimum0.008
 Quartile 10.034
 Median0.111
 Quartile 30.272
 Maximum1.000
 Mean of quarter 10.017
 Mean of quarter 20.062
 Mean of quarter 30.187
 Mean of quarter 40.761
 Inter Quartile Range0.238
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high2.000
 Percentage of outliers high0.200
 Mean of outliers high1.000
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-19029910659.787
 VaR(95%) (moments method)0.639
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-16.756
 VaR(95%) (regression method)76.745
 Expected Shortfall (regression method)76.745
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)-0.446
 Compounded annual return (geometric extrapolation)-0.989
 Calmar ratio (compounded annual return / max draw down)-0.989
 Compounded annual return / average of 25% largest draw downs-1.300
 Compounded annual return / Expected Shortfall lognormal-1.145
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean6866439.628
 SD4855307.713
 Sharpe ratio (Glass type estimate) 1.414
 Sharpe ratio (Hedges UMVUE)1.406
 df130.000
 t1.000
 p0.456
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.366
 Upperbound of 95% confidence interval for Sharpe Ratio4.189
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.371
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.183
Statistics related to Sortino ratio
 Sortino ratio4702622.785
 Upside Potential Ratio4702625.439
 Upside part of mean6866443.503
 Downside part of mean-3.875
 Upside SD4855307.701
 Downside SD1.460
 N nonnegative terms17.000
 N negative terms114.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor2.126
 Mean of criterion6866439.628
 SD of predictor0.636
 SD of criterion4855307.713
 Covariance-81659.033
 r-0.026
 b (slope, estimate of beta)-201752.461
 a (intercept, estimate of alpha)7295293.752
 Mean Square Error23740154656095.102
 DF error129.000
 t(b)-0.300
 p(b)0.517
 t(a)1.037
 p(a)0.442
 Lowerbound of 95% confidence interval for beta-1530733.770
 Upperbound of 95% confidence interval for beta1127228.849
 Lowerbound of 95% confidence interval for alpha-6627522.663
 Upperbound of 95% confidence interval for alpha21218110.167
 Treynor index (mean / b)-34.034
 Jensen alpha (a)7295293.752
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD29.994
 Sharpe ratio (Glass type estimate) -0.001
 Sharpe ratio (Hedges UMVUE)-0.001
 df130.000
 t-0.001
 p0.500
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.773
 Upperbound of 95% confidence interval for Sharpe Ratio2.770
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.773
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.770
Statistics related to Sortino ratio
 Sortino ratio-0.002
 Upside Potential Ratio1.505
 Upside part of mean31.551
 Downside part of mean-31.595
 Upside SD21.285
 Downside SD20.970
 N nonnegative terms17.000
 N negative terms114.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.928
 Mean of criterion-0.044
 SD of predictor0.609
 SD of criterion29.994
 Covariance-0.765
 r-0.042
 b (slope, estimate of beta)-2.059
 a (intercept, estimate of alpha)3.927
 Mean Square Error905.013
 DF error129.000
 t(b)-0.476
 p(b)0.527
 t(a)0.091
 p(a)0.495
 Lowerbound of 95% confidence interval for beta-10.625
 Upperbound of 95% confidence interval for beta6.506
 Lowerbound of 95% confidence interval for alpha-81.853
 Upperbound of 95% confidence interval for alpha89.708
 Treynor index (mean / b)0.021
 Jensen alpha (a)3.927
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.953
 Expected Shortfall on VaR0.974
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.047
 Expected Shortfall on VaR0.106
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum3433222.000
 Mean of quarter 10.942
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 4104038.023
 Inter Quartile Range0.000
 Number outliers low18.000
 Percentage of outliers low0.137
 Mean of outliers low0.893
 Number of outliers high17.000
 Percentage of outliers high0.130
 Mean of outliers high201955.221
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)0.341
 VaR(95%) (regression method)0.029
 Expected Shortfall (regression method)0.079
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.011
 Quartile 10.258
 Median0.505
 Quartile 30.753
 Maximum1.000
 Mean of quarter 10.011
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 41.000
 Inter Quartile Range0.495
 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)0.000
 Compounded annual return (geometric extrapolation)0.000
 Calmar ratio (compounded annual return / max draw down)0.000
 Compounded annual return / average of 25% largest draw downs0.000
 Compounded annual return / Expected Shortfall lognormal0.000