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

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Advanced Statistics: MiniAnalyst.com | MSA_U_DT

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
 Mean0.344
 SD0.484
 Sharpe ratio (Glass type estimate) 0.711
 Sharpe ratio (Hedges UMVUE)0.700
 df50.000
 t1.466
 p0.074
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.253
 Upperbound of 95% confidence interval for Sharpe Ratio1.668
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.260
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.661
Statistics related to Sortino ratio
 Sortino ratio1.835
 Upside Potential Ratio3.478
 Upside part of mean0.652
 Downside part of mean-0.308
 Upside SD0.452
 Downside SD0.187
 N nonnegative terms14.000
 N negative terms37.000
Statistics related to linear regression on benchmark
 N of observations51.000
 Mean of predictor0.386
 Mean of criterion0.344
 SD of predictor0.290
 SD of criterion0.484
 Covariance-0.003
 r-0.018
 b (slope, estimate of beta)-0.031
 a (intercept, estimate of alpha)0.356
 Mean Square Error0.239
 DF error49.000
 t(b)-0.129
 p(b)0.551
 t(a)1.400
 p(a)0.084
 Lowerbound of 95% confidence interval for beta-0.509
 Upperbound of 95% confidence interval for beta0.447
 Lowerbound of 95% confidence interval for alpha-0.155
 Upperbound of 95% confidence interval for alpha0.867
 Treynor index (mean / b)-11.197
 Jensen alpha (a)0.356
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.243
 SD0.428
 Sharpe ratio (Glass type estimate) 0.567
 Sharpe ratio (Hedges UMVUE)0.559
 df50.000
 t1.170
 p0.124
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.393
 Upperbound of 95% confidence interval for Sharpe Ratio1.522
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.398
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.516
Statistics related to Sortino ratio
 Sortino ratio1.202
 Upside Potential Ratio2.816
 Upside part of mean0.569
 Downside part of mean-0.326
 Upside SD0.379
 Downside SD0.202
 N nonnegative terms14.000
 N negative terms37.000
Statistics related to linear regression on benchmark
 N of observations51.000
 Mean of predictor0.342
 Mean of criterion0.243
 SD of predictor0.273
 SD of criterion0.428
 Covariance0.000
 r0.002
 b (slope, estimate of beta)0.003
 a (intercept, estimate of alpha)0.242
 Mean Square Error0.187
 DF error49.000
 t(b)0.013
 p(b)0.495
 t(a)1.083
 p(a)0.142
 Lowerbound of 95% confidence interval for beta-0.447
 Upperbound of 95% confidence interval for beta0.453
 Lowerbound of 95% confidence interval for alpha-0.207
 Upperbound of 95% confidence interval for alpha0.691
 Treynor index (mean / b)84.770
 Jensen alpha (a)0.242
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.167
 Expected Shortfall on VaR0.208
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.074
 Expected Shortfall on VaR0.140
ORDER STATISTICS
Quartiles of return rates
 Number of observations51.000
 Minimum0.791
 Quartile 10.993
 Median1.000
 Quartile 31.065
 Maximum1.583
 Mean of quarter 10.910
 Mean of quarter 21.000
 Mean of quarter 31.005
 Mean of quarter 41.212
 Inter Quartile Range0.072
 Number outliers low3.000
 Percentage of outliers low0.059
 Mean of outliers low0.836
 Number of outliers high7.000
 Percentage of outliers high0.137
 Mean of outliers high1.311
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-3.815
 VaR(95%) (moments method)0.046
 Expected Shortfall (moments method)0.046
 Extreme Value Index (regression method)-0.299
 VaR(95%) (regression method)0.089
 Expected Shortfall (regression method)0.117
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations5.000
 Minimum0.074
 Quartile 10.115
 Median0.116
 Quartile 30.284
 Maximum0.335
 Mean of quarter 10.094
 Mean of quarter 20.116
 Mean of quarter 30.284
 Mean of quarter 40.335
 Inter Quartile Range0.169
 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)0.561
 Compounded annual return (geometric extrapolation)0.332
 Calmar ratio (compounded annual return / max draw down)0.991
 Compounded annual return / average of 25% largest draw downs0.991
 Compounded annual return / Expected Shortfall lognormal1.595
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.359
 SD0.552
 Sharpe ratio (Glass type estimate) 0.651
 Sharpe ratio (Hedges UMVUE)0.650
 df1124.000
 t1.348
 p0.480
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.296
 Upperbound of 95% confidence interval for Sharpe Ratio1.597
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.296
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.596
Statistics related to Sortino ratio
 Sortino ratio1.671
 Upside Potential Ratio5.881
 Upside part of mean1.264
 Downside part of mean-0.905
 Upside SD0.509
 Downside SD0.215
 N nonnegative terms194.000
 N negative terms931.000
Statistics related to linear regression on benchmark
 N of observations1125.000
 Mean of predictor0.398
 Mean of criterion0.359
 SD of predictor0.267
 SD of criterion0.552
 Covariance0.010
 r0.068
 b (slope, estimate of beta)0.141
 a (intercept, estimate of alpha)0.303
 Mean Square Error0.304
 DF error1123.000
 t(b)2.285
 p(b)0.457
 t(a)1.135
 p(a)0.478
 Lowerbound of 95% confidence interval for beta0.020
 Upperbound of 95% confidence interval for beta0.261
 Lowerbound of 95% confidence interval for alpha-0.221
 Upperbound of 95% confidence interval for alpha0.827
 Treynor index (mean / b)2.555
 Jensen alpha (a)0.303
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.240
 SD0.464
 Sharpe ratio (Glass type estimate) 0.517
 Sharpe ratio (Hedges UMVUE)0.517
 df1124.000
 t1.072
 p0.484
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.429
 Upperbound of 95% confidence interval for Sharpe Ratio1.463
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.429
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.463
Statistics related to Sortino ratio
 Sortino ratio1.037
 Upside Potential Ratio5.058
 Upside part of mean1.170
 Downside part of mean-0.930
 Upside SD0.402
 Downside SD0.231
 N nonnegative terms194.000
 N negative terms931.000
Statistics related to linear regression on benchmark
 N of observations1125.000
 Mean of predictor0.362
 Mean of criterion0.240
 SD of predictor0.268
 SD of criterion0.464
 Covariance0.008
 r0.065
 b (slope, estimate of beta)0.113
 a (intercept, estimate of alpha)0.199
 Mean Square Error0.214
 DF error1123.000
 t(b)2.196
 p(b)0.458
 t(a)0.887
 p(a)0.483
 Lowerbound of 95% confidence interval for beta0.012
 Upperbound of 95% confidence interval for beta0.214
 Lowerbound of 95% confidence interval for alpha-0.241
 Upperbound of 95% confidence interval for alpha0.639
 Treynor index (mean / b)2.119
 Jensen alpha (a)0.199
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.045
 Expected Shortfall on VaR0.056
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.011
 Expected Shortfall on VaR0.023
ORDER STATISTICS
Quartiles of return rates
 Number of observations1125.000
 Minimum0.751
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.889
 Mean of quarter 10.987
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.019
 Inter Quartile Range0.000
 Number outliers low219.000
 Percentage of outliers low0.195
 Mean of outliers low0.983
 Number of outliers high196.000
 Percentage of outliers high0.174
 Mean of outliers high1.028
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.008
 VaR(95%) (moments method)0.004
 Expected Shortfall (moments method)0.006
 Extreme Value Index (regression method)0.361
 VaR(95%) (regression method)0.011
 Expected Shortfall (regression method)0.025
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations19.000
 Minimum0.004
 Quartile 10.016
 Median0.040
 Quartile 30.136
 Maximum0.488
 Mean of quarter 10.010
 Mean of quarter 20.025
 Mean of quarter 30.088
 Mean of quarter 40.302
 Inter Quartile Range0.120
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high2.000
 Percentage of outliers high0.105
 Mean of outliers high0.422
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-1.988
 VaR(95%) (moments method)0.316
 Expected Shortfall (moments method)0.323
 Extreme Value Index (regression method)-0.533
 VaR(95%) (regression method)0.447
 Expected Shortfall (regression method)0.522
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.555
 Compounded annual return (geometric extrapolation)0.328
 Calmar ratio (compounded annual return / max draw down)0.672
 Compounded annual return / average of 25% largest draw downs1.087
 Compounded annual return / Expected Shortfall lognormal5.816
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 predictor1.134
 Mean of criterion-0.044
 SD of predictor0.450
 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 predictor1.031
 Mean of criterion-0.044
 SD of predictor0.453
 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)-8713391591874616.000
 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)185939421585813513513516977356800.000
 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: MiniAnalyst.com | MSA_U_DT

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
 Mean0.344
 SD0.484
 Sharpe ratio (Glass type estimate) 0.711
 Sharpe ratio (Hedges UMVUE)0.700
 df50.000
 t1.466
 p0.074
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.253
 Upperbound of 95% confidence interval for Sharpe Ratio1.668
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.260
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.661
Statistics related to Sortino ratio
 Sortino ratio1.835
 Upside Potential Ratio3.478
 Upside part of mean0.652
 Downside part of mean-0.308
 Upside SD0.452
 Downside SD0.187
 N nonnegative terms14.000
 N negative terms37.000
Statistics related to linear regression on benchmark
 N of observations51.000
 Mean of predictor0.386
 Mean of criterion0.344
 SD of predictor0.290
 SD of criterion0.484
 Covariance-0.003
 r-0.018
 b (slope, estimate of beta)-0.031
 a (intercept, estimate of alpha)0.356
 Mean Square Error0.239
 DF error49.000
 t(b)-0.129
 p(b)0.551
 t(a)1.400
 p(a)0.084
 Lowerbound of 95% confidence interval for beta-0.509
 Upperbound of 95% confidence interval for beta0.447
 Lowerbound of 95% confidence interval for alpha-0.155
 Upperbound of 95% confidence interval for alpha0.867
 Treynor index (mean / b)-11.197
 Jensen alpha (a)0.356
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.243
 SD0.428
 Sharpe ratio (Glass type estimate) 0.567
 Sharpe ratio (Hedges UMVUE)0.559
 df50.000
 t1.170
 p0.124
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.393
 Upperbound of 95% confidence interval for Sharpe Ratio1.522
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.398
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.516
Statistics related to Sortino ratio
 Sortino ratio1.202
 Upside Potential Ratio2.816
 Upside part of mean0.569
 Downside part of mean-0.326
 Upside SD0.379
 Downside SD0.202
 N nonnegative terms14.000
 N negative terms37.000
Statistics related to linear regression on benchmark
 N of observations51.000
 Mean of predictor0.342
 Mean of criterion0.243
 SD of predictor0.273
 SD of criterion0.428
 Covariance0.000
 r0.002
 b (slope, estimate of beta)0.003
 a (intercept, estimate of alpha)0.242
 Mean Square Error0.187
 DF error49.000
 t(b)0.013
 p(b)0.495
 t(a)1.083
 p(a)0.142
 Lowerbound of 95% confidence interval for beta-0.447
 Upperbound of 95% confidence interval for beta0.453
 Lowerbound of 95% confidence interval for alpha-0.207
 Upperbound of 95% confidence interval for alpha0.691
 Treynor index (mean / b)84.770
 Jensen alpha (a)0.242
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.167
 Expected Shortfall on VaR0.208
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.074
 Expected Shortfall on VaR0.140
ORDER STATISTICS
Quartiles of return rates
 Number of observations51.000
 Minimum0.791
 Quartile 10.993
 Median1.000
 Quartile 31.065
 Maximum1.583
 Mean of quarter 10.910
 Mean of quarter 21.000
 Mean of quarter 31.005
 Mean of quarter 41.212
 Inter Quartile Range0.072
 Number outliers low3.000
 Percentage of outliers low0.059
 Mean of outliers low0.836
 Number of outliers high7.000
 Percentage of outliers high0.137
 Mean of outliers high1.311
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-3.815
 VaR(95%) (moments method)0.046
 Expected Shortfall (moments method)0.046
 Extreme Value Index (regression method)-0.299
 VaR(95%) (regression method)0.089
 Expected Shortfall (regression method)0.117
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations5.000
 Minimum0.074
 Quartile 10.115
 Median0.116
 Quartile 30.284
 Maximum0.335
 Mean of quarter 10.094
 Mean of quarter 20.116
 Mean of quarter 30.284
 Mean of quarter 40.335
 Inter Quartile Range0.169
 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)0.561
 Compounded annual return (geometric extrapolation)0.332
 Calmar ratio (compounded annual return / max draw down)0.991
 Compounded annual return / average of 25% largest draw downs0.991
 Compounded annual return / Expected Shortfall lognormal1.595
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.359
 SD0.552
 Sharpe ratio (Glass type estimate) 0.651
 Sharpe ratio (Hedges UMVUE)0.650
 df1124.000
 t1.348
 p0.480
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.296
 Upperbound of 95% confidence interval for Sharpe Ratio1.597
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.296
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.596
Statistics related to Sortino ratio
 Sortino ratio1.671
 Upside Potential Ratio5.881
 Upside part of mean1.264
 Downside part of mean-0.905
 Upside SD0.509
 Downside SD0.215
 N nonnegative terms194.000
 N negative terms931.000
Statistics related to linear regression on benchmark
 N of observations1125.000
 Mean of predictor0.398
 Mean of criterion0.359
 SD of predictor0.267
 SD of criterion0.552
 Covariance0.010
 r0.068
 b (slope, estimate of beta)0.141
 a (intercept, estimate of alpha)0.303
 Mean Square Error0.304
 DF error1123.000
 t(b)2.285
 p(b)0.457
 t(a)1.135
 p(a)0.478
 Lowerbound of 95% confidence interval for beta0.020
 Upperbound of 95% confidence interval for beta0.261
 Lowerbound of 95% confidence interval for alpha-0.221
 Upperbound of 95% confidence interval for alpha0.827
 Treynor index (mean / b)2.555
 Jensen alpha (a)0.303
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.240
 SD0.464
 Sharpe ratio (Glass type estimate) 0.517
 Sharpe ratio (Hedges UMVUE)0.517
 df1124.000
 t1.072
 p0.484
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.429
 Upperbound of 95% confidence interval for Sharpe Ratio1.463
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.429
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.463
Statistics related to Sortino ratio
 Sortino ratio1.037
 Upside Potential Ratio5.058
 Upside part of mean1.170
 Downside part of mean-0.930
 Upside SD0.402
 Downside SD0.231
 N nonnegative terms194.000
 N negative terms931.000
Statistics related to linear regression on benchmark
 N of observations1125.000
 Mean of predictor0.362
 Mean of criterion0.240
 SD of predictor0.268
 SD of criterion0.464
 Covariance0.008
 r0.065
 b (slope, estimate of beta)0.113
 a (intercept, estimate of alpha)0.199
 Mean Square Error0.214
 DF error1123.000
 t(b)2.196
 p(b)0.458
 t(a)0.887
 p(a)0.483
 Lowerbound of 95% confidence interval for beta0.012
 Upperbound of 95% confidence interval for beta0.214
 Lowerbound of 95% confidence interval for alpha-0.241
 Upperbound of 95% confidence interval for alpha0.639
 Treynor index (mean / b)2.119
 Jensen alpha (a)0.199
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.045
 Expected Shortfall on VaR0.056
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.011
 Expected Shortfall on VaR0.023
ORDER STATISTICS
Quartiles of return rates
 Number of observations1125.000
 Minimum0.751
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.889
 Mean of quarter 10.987
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.019
 Inter Quartile Range0.000
 Number outliers low219.000
 Percentage of outliers low0.195
 Mean of outliers low0.983
 Number of outliers high196.000
 Percentage of outliers high0.174
 Mean of outliers high1.028
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.008
 VaR(95%) (moments method)0.004
 Expected Shortfall (moments method)0.006
 Extreme Value Index (regression method)0.361
 VaR(95%) (regression method)0.011
 Expected Shortfall (regression method)0.025
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations19.000
 Minimum0.004
 Quartile 10.016
 Median0.040
 Quartile 30.136
 Maximum0.488
 Mean of quarter 10.010
 Mean of quarter 20.025
 Mean of quarter 30.088
 Mean of quarter 40.302
 Inter Quartile Range0.120
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high2.000
 Percentage of outliers high0.105
 Mean of outliers high0.422
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-1.988
 VaR(95%) (moments method)0.316
 Expected Shortfall (moments method)0.323
 Extreme Value Index (regression method)-0.533
 VaR(95%) (regression method)0.447
 Expected Shortfall (regression method)0.522
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.555
 Compounded annual return (geometric extrapolation)0.328
 Calmar ratio (compounded annual return / max draw down)0.672
 Compounded annual return / average of 25% largest draw downs1.087
 Compounded annual return / Expected Shortfall lognormal5.816
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 predictor1.134
 Mean of criterion-0.044
 SD of predictor0.450
 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 predictor1.031
 Mean of criterion-0.044
 SD of predictor0.453
 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)-8713391591874616.000
 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)185939421585813513513516977356800.000
 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