Find System by Name

Wait

Quick Links

Watch List

Drag any system on page
to here.

Advanced Statistics: Holly DAX

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
 Mean-0.352
 SD0.501
 Sharpe ratio (Glass type estimate) -0.702
 Sharpe ratio (Hedges UMVUE)-0.690
 df46.000
 t-1.389
 p0.914
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.699
 Upperbound of 95% confidence interval for Sharpe Ratio0.303
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.691
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.310
Statistics related to Sortino ratio
 Sortino ratio-0.699
 Upside Potential Ratio0.054
 Upside part of mean0.027
 Downside part of mean-0.379
 Upside SD0.053
 Downside SD0.504
 N nonnegative terms1.000
 N negative terms46.000
Statistics related to linear regression on benchmark
 N of observations47.000
 Mean of predictor-0.036
 Mean of criterion-0.352
 SD of predictor0.217
 SD of criterion0.501
 Covariance0.013
 r0.116
 b (slope, estimate of beta)0.269
 a (intercept, estimate of alpha)-0.342
 Mean Square Error0.254
 DF error45.000
 t(b)0.784
 p(b)0.219
 t(a)-1.343
 p(a)0.907
 Lowerbound of 95% confidence interval for beta-0.421
 Upperbound of 95% confidence interval for beta0.958
 Lowerbound of 95% confidence interval for alpha-0.855
 Upperbound of 95% confidence interval for alpha0.171
 Treynor index (mean / b)-1.310
 Jensen alpha (a)-0.342
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.744
 SD1.195
 Sharpe ratio (Glass type estimate) -0.623
 Sharpe ratio (Hedges UMVUE)-0.612
 df46.000
 t-1.232
 p0.888
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.618
 Upperbound of 95% confidence interval for Sharpe Ratio0.379
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.611
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.386
Statistics related to Sortino ratio
 Sortino ratio-0.620
 Upside Potential Ratio0.021
 Upside part of mean0.026
 Downside part of mean-0.769
 Upside SD0.051
 Downside SD1.200
 N nonnegative terms1.000
 N negative terms46.000
Statistics related to linear regression on benchmark
 N of observations47.000
 Mean of predictor-0.060
 Mean of criterion-0.744
 SD of predictor0.219
 SD of criterion1.195
 Covariance0.022
 r0.084
 b (slope, estimate of beta)0.455
 a (intercept, estimate of alpha)-0.717
 Mean Square Error1.449
 DF error45.000
 t(b)0.562
 p(b)0.288
 t(a)-1.175
 p(a)0.877
 Lowerbound of 95% confidence interval for beta-1.175
 Upperbound of 95% confidence interval for beta2.085
 Lowerbound of 95% confidence interval for alpha-1.945
 Upperbound of 95% confidence interval for alpha0.512
 Treynor index (mean / b)-1.634
 Jensen alpha (a)-0.717
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.467
 Expected Shortfall on VaR0.535
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.108
 Expected Shortfall on VaR0.238
ORDER STATISTICS
Quartiles of return rates
 Number of observations47.000
 Minimum0.099
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.109
 Mean of quarter 10.890
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.009
 Inter Quartile Range0.000
 Number outliers low4.000
 Percentage of outliers low0.085
 Mean of outliers low0.671
 Number of outliers high3.000
 Percentage of outliers high0.064
 Mean of outliers high1.037
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-162.975
 VaR(95%) (moments method)-872072867.201
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-0.765
 VaR(95%) (regression method)0.232
 Expected Shortfall (regression method)0.771
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations1.000
 Minimum0.942
 Quartile 10.942
 Median0.942
 Quartile 30.942
 Maximum0.942
 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 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)-0.239
 Compounded annual return (geometric extrapolation)-0.503
 Calmar ratio (compounded annual return / max draw down)-0.534
 Compounded annual return / average of 25% largest draw downsNA
 Compounded annual return / Expected Shortfall lognormal-0.941
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.542
 SD0.525
 Sharpe ratio (Glass type estimate) -1.033
 Sharpe ratio (Hedges UMVUE)-1.032
 df1370.000
 t-2.062
 p0.528
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.015
 Upperbound of 95% confidence interval for Sharpe Ratio-0.050
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.015
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.050
Statistics related to Sortino ratio
 Sortino ratio-1.128
 Upside Potential Ratio0.666
 Upside part of mean0.320
 Downside part of mean-0.862
 Upside SD0.212
 Downside SD0.481
 N nonnegative terms31.000
 N negative terms1340.000
Statistics related to linear regression on benchmark
 N of observations1371.000
 Mean of predictor0.028
 Mean of criterion-0.542
 SD of predictor0.296
 SD of criterion0.525
 Covariance0.011
 r0.069
 b (slope, estimate of beta)0.122
 a (intercept, estimate of alpha)-0.545
 Mean Square Error0.274
 DF error1369.000
 t(b)2.549
 p(b)0.456
 t(a)-2.079
 p(a)0.536
 Lowerbound of 95% confidence interval for beta0.028
 Upperbound of 95% confidence interval for beta0.216
 Lowerbound of 95% confidence interval for alpha-1.060
 Upperbound of 95% confidence interval for alpha-0.031
 Treynor index (mean / b)-4.442
 Jensen alpha (a)-0.545
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.732
 SD0.675
 Sharpe ratio (Glass type estimate) -1.083
 Sharpe ratio (Hedges UMVUE)-1.083
 df1370.000
 t-2.163
 p0.529
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.066
 Upperbound of 95% confidence interval for Sharpe Ratio-0.101
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.065
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.100
Statistics related to Sortino ratio
 Sortino ratio-1.128
 Upside Potential Ratio0.463
 Upside part of mean0.300
 Downside part of mean-1.032
 Upside SD0.192
 Downside SD0.648
 N nonnegative terms31.000
 N negative terms1340.000
Statistics related to linear regression on benchmark
 N of observations1371.000
 Mean of predictor-0.016
 Mean of criterion-0.732
 SD of predictor0.296
 SD of criterion0.675
 Covariance0.012
 r0.062
 b (slope, estimate of beta)0.141
 a (intercept, estimate of alpha)-0.729
 Mean Square Error0.455
 DF error1369.000
 t(b)2.292
 p(b)0.461
 t(a)-2.160
 p(a)0.537
 Lowerbound of 95% confidence interval for beta0.020
 Upperbound of 95% confidence interval for beta0.262
 Lowerbound of 95% confidence interval for alpha-1.392
 Upperbound of 95% confidence interval for alpha-0.067
 Treynor index (mean / b)-5.185
 Jensen alpha (a)-0.729
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.060
 Expected Shortfall on VaR0.074
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.009
 Expected Shortfall on VaR0.020
ORDER STATISTICS
Quartiles of return rates
 Number of observations1371.000
 Minimum0.371
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.329
 Mean of quarter 10.990
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.004
 Inter Quartile Range0.000
 Number outliers low38.000
 Percentage of outliers low0.028
 Mean of outliers low0.914
 Number of outliers high31.000
 Percentage of outliers high0.023
 Mean of outliers high1.041
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-3.812
 VaR(95%) (moments method)-0.230
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)0.141
 VaR(95%) (regression method)-0.097
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations4.000
 Minimum0.006
 Quartile 10.009
 Median0.186
 Quartile 30.508
 Maximum0.949
 Mean of quarter 10.006
 Mean of quarter 20.010
 Mean of quarter 30.362
 Mean of quarter 40.949
 Inter Quartile Range0.500
 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)-0.235
 Compounded annual return (geometric extrapolation)-0.497
 Calmar ratio (compounded annual return / max draw down)-0.524
 Compounded annual return / average of 25% largest draw downs-0.524
 Compounded annual return / Expected Shortfall lognormal-6.698
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-18.547
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.002
 N nonnegative terms0.000
 N negative terms172.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.598
 Mean of criterion-0.044
 SD of predictor0.253
 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) -7936535306446244.000
 Sharpe ratio (Hedges UMVUE)-7901674975671223.000
 df171.000
 t-5611977934314593.000
 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)-8739115425704417.000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-7064234525638030.000
Statistics related to Sortino ratio
 Sortino ratio-18.547
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.002
 N nonnegative terms0.000
 N negative terms172.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.566
 Mean of criterion-0.044
 SD of predictor0.251
 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 error170.000
 t(b)-0.000
 p(b)0.500
 t(a)-5554263782095954.000
 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)110823174314631172472153755877376.000
 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 observations172.000
 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