Find System by Name

Wait

Quick Links

Watch List

Drag any system on page
to here.

Advanced Statistics: es/

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
 Mean1.365
 SD0.998
 Sharpe ratio (Glass type estimate) 1.368
 Sharpe ratio (Hedges UMVUE)1.303
 df16.000
 t1.629
 p0.311
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.364
 Upperbound of 95% confidence interval for Sharpe Ratio3.061
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.405
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)3.010
Statistics related to Sortino ratio
 Sortino ratio2.868
 Upside Potential Ratio4.119
 Upside part of mean1.961
 Downside part of mean-0.595
 Upside SD0.931
 Downside SD0.476
 N nonnegative terms12.000
 N negative terms5.000
Statistics related to linear regression on benchmark
 N of observations17.000
 Mean of predictor0.085
 Mean of criterion1.365
 SD of predictor0.177
 SD of criterion0.998
 Covariance-0.080
 r-0.454
 b (slope, estimate of beta)-2.568
 a (intercept, estimate of alpha)1.585
 Mean Square Error0.843
 DF error15.000
 t(b)-1.976
 p(b)0.779
 t(a)2.034
 p(a)0.215
 Lowerbound of 95% confidence interval for beta-5.339
 Upperbound of 95% confidence interval for beta0.203
 Lowerbound of 95% confidence interval for alpha-0.076
 Upperbound of 95% confidence interval for alpha3.246
 Treynor index (mean / b)-0.532
 Jensen alpha (a)1.585
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.866
 SD0.993
 Sharpe ratio (Glass type estimate) 0.873
 Sharpe ratio (Hedges UMVUE)0.831
 df16.000
 t1.039
 p0.374
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.814
 Upperbound of 95% confidence interval for Sharpe Ratio2.533
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.841
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.503
Statistics related to Sortino ratio
 Sortino ratio1.313
 Upside Potential Ratio2.476
 Upside part of mean1.633
 Downside part of mean-0.767
 Upside SD0.745
 Downside SD0.660
 N nonnegative terms12.000
 N negative terms5.000
Statistics related to linear regression on benchmark
 N of observations17.000
 Mean of predictor0.071
 Mean of criterion0.866
 SD of predictor0.173
 SD of criterion0.993
 Covariance-0.076
 r-0.439
 b (slope, estimate of beta)-2.513
 a (intercept, estimate of alpha)1.044
 Mean Square Error0.848
 DF error15.000
 t(b)-1.893
 p(b)0.770
 t(a)1.339
 p(a)0.296
 Lowerbound of 95% confidence interval for beta-5.342
 Upperbound of 95% confidence interval for beta0.316
 Lowerbound of 95% confidence interval for alpha-0.618
 Upperbound of 95% confidence interval for alpha2.705
 Treynor index (mean / b)-0.345
 Jensen alpha (a)1.044
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.329
 Expected Shortfall on VaR0.402
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.075
 Expected Shortfall on VaR0.181
ORDER STATISTICS
Quartiles of return rates
 Number of observations17.000
 Minimum0.470
 Quartile 10.997
 Median1.060
 Quartile 31.250
 Maximum1.691
 Mean of quarter 10.835
 Mean of quarter 21.028
 Mean of quarter 31.179
 Mean of quarter 41.499
 Inter Quartile Range0.254
 Number outliers low1.000
 Percentage of outliers low0.059
 Mean of outliers low0.470
 Number of outliers high1.000
 Percentage of outliers high0.059
 Mean of outliers high1.691
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-4.959
 VaR(95%) (moments method)0.018
 Expected Shortfall (moments method)0.018
 Extreme Value Index (regression method)0.684
 VaR(95%) (regression method)0.331
 Expected Shortfall (regression method)1.358
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.053
 Quartile 10.141
 Median0.229
 Quartile 30.379
 Maximum0.530
 Mean of quarter 10.053
 Mean of quarter 20.229
 Mean of quarter 3NA
 Mean of quarter 40.530
 Inter Quartile Range0.238
 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)1.856
 Compounded annual return (geometric extrapolation)1.484
 Calmar ratio (compounded annual return / max draw down)2.803
 Compounded annual return / average of 25% largest draw downs2.803
 Compounded annual return / Expected Shortfall lognormal3.696
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean1.814
 SD1.442
 Sharpe ratio (Glass type estimate) 1.258
 Sharpe ratio (Hedges UMVUE)1.256
 df490.000
 t1.503
 p0.067
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.385
 Upperbound of 95% confidence interval for Sharpe Ratio2.900
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.386
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.898
Statistics related to Sortino ratio
 Sortino ratio2.155
 Upside Potential Ratio7.798
 Upside part of mean6.562
 Downside part of mean-4.749
 Upside SD1.173
 Downside SD0.842
 N nonnegative terms170.000
 N negative terms321.000
Statistics related to linear regression on benchmark
 N of observations491.000
 Mean of predictor0.143
 Mean of criterion1.814
 SD of predictor0.220
 SD of criterion1.442
 Covariance-0.065
 r-0.205
 b (slope, estimate of beta)-1.348
 a (intercept, estimate of alpha)2.006
 Mean Square Error1.995
 DF error489.000
 t(b)-4.643
 p(b)1.000
 t(a)1.696
 p(a)0.045
 Lowerbound of 95% confidence interval for beta-1.918
 Upperbound of 95% confidence interval for beta-0.778
 Lowerbound of 95% confidence interval for alpha-0.318
 Upperbound of 95% confidence interval for alpha4.330
 Treynor index (mean / b)-1.345
 Jensen alpha (a)2.006
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.859
 SD1.370
 Sharpe ratio (Glass type estimate) 0.627
 Sharpe ratio (Hedges UMVUE)0.626
 df490.000
 t0.749
 p0.227
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.014
 Upperbound of 95% confidence interval for Sharpe Ratio2.268
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.015
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.267
Statistics related to Sortino ratio
 Sortino ratio0.884
 Upside Potential Ratio6.210
 Upside part of mean6.036
 Downside part of mean-5.176
 Upside SD0.964
 Downside SD0.972
 N nonnegative terms170.000
 N negative terms321.000
Statistics related to linear regression on benchmark
 N of observations491.000
 Mean of predictor0.119
 Mean of criterion0.859
 SD of predictor0.220
 SD of criterion1.370
 Covariance-0.052
 r-0.173
 b (slope, estimate of beta)-1.079
 a (intercept, estimate of alpha)0.987
 Mean Square Error1.824
 DF error489.000
 t(b)-3.894
 p(b)1.000
 t(a)0.873
 p(a)0.192
 Lowerbound of 95% confidence interval for beta-1.623
 Upperbound of 95% confidence interval for beta-0.535
 Lowerbound of 95% confidence interval for alpha-1.235
 Upperbound of 95% confidence interval for alpha3.209
 Treynor index (mean / b)-0.796
 Jensen alpha (a)0.987
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.112
 Expected Shortfall on VaR0.139
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.037
 Expected Shortfall on VaR0.081
ORDER STATISTICS
Quartiles of return rates
 Number of observations491.000
 Minimum0.630
 Quartile 10.996
 Median1.000
 Quartile 31.015
 Maximum1.946
 Mean of quarter 10.945
 Mean of quarter 21.000
 Mean of quarter 31.003
 Mean of quarter 41.074
 Inter Quartile Range0.018
 Number outliers low58.000
 Percentage of outliers low0.118
 Mean of outliers low0.900
 Number of outliers high63.000
 Percentage of outliers high0.128
 Mean of outliers high1.117
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.878
 VaR(95%) (moments method)0.032
 Expected Shortfall (moments method)0.294
 Extreme Value Index (regression method)0.436
 VaR(95%) (regression method)0.048
 Expected Shortfall (regression method)0.116
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations21.000
 Minimum0.001
 Quartile 10.014
 Median0.031
 Quartile 30.129
 Maximum0.700
 Mean of quarter 10.008
 Mean of quarter 20.022
 Mean of quarter 30.082
 Mean of quarter 40.446
 Inter Quartile Range0.115
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.143
 Mean of outliers high0.631
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.303
 VaR(95%) (moments method)0.399
 Expected Shortfall (moments method)0.711
 Extreme Value Index (regression method)-0.435
 VaR(95%) (regression method)0.417
 Expected Shortfall (regression method)0.497
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)1.843
 Compounded annual return (geometric extrapolation)1.468
 Calmar ratio (compounded annual return / max draw down)2.098
 Compounded annual return / average of 25% largest draw downs3.291
 Compounded annual return / Expected Shortfall lognormal10.570
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-1.152
 SD0.836
 Sharpe ratio (Glass type estimate) -1.377
 Sharpe ratio (Hedges UMVUE)-1.371
 df171.000
 t-0.974
 p0.547
 Lowerbound of 95% confidence interval for Sharpe Ratio-4.151
 Upperbound of 95% confidence interval for Sharpe Ratio1.400
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-4.147
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.404
Statistics related to Sortino ratio
 Sortino ratio-1.605
 Upside Potential Ratio4.638
 Upside part of mean3.330
 Downside part of mean-4.481
 Upside SD0.429
 Downside SD0.718
 N nonnegative terms60.000
 N negative terms112.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.334
 Mean of criterion-1.152
 SD of predictor0.138
 SD of criterion0.836
 Covariance-0.022
 r-0.194
 b (slope, estimate of beta)-1.172
 a (intercept, estimate of alpha)-0.761
 Mean Square Error0.677
 DF error170.000
 t(b)-2.572
 p(b)0.597
 t(a)-0.648
 p(a)0.525
 Lowerbound of 95% confidence interval for beta-2.072
 Upperbound of 95% confidence interval for beta-0.272
 Lowerbound of 95% confidence interval for alpha-3.078
 Upperbound of 95% confidence interval for alpha1.556
 Treynor index (mean / b)0.983
 Jensen alpha (a)-0.761
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-1.542
 SD0.909
 Sharpe ratio (Glass type estimate) -1.696
 Sharpe ratio (Hedges UMVUE)-1.688
 df171.000
 t-1.199
 p0.558
 Lowerbound of 95% confidence interval for Sharpe Ratio-4.471
 Upperbound of 95% confidence interval for Sharpe Ratio1.084
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-4.466
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.089
Statistics related to Sortino ratio
 Sortino ratio-1.901
 Upside Potential Ratio3.996
 Upside part of mean3.242
 Downside part of mean-4.783
 Upside SD0.414
 Downside SD0.811
 N nonnegative terms60.000
 N negative terms112.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.324
 Mean of criterion-1.542
 SD of predictor0.137
 SD of criterion0.909
 Covariance-0.026
 r-0.210
 b (slope, estimate of beta)-1.388
 a (intercept, estimate of alpha)-1.092
 Mean Square Error0.795
 DF error170.000
 t(b)-2.795
 p(b)0.605
 t(a)-0.859
 p(a)0.533
 Lowerbound of 95% confidence interval for beta-2.369
 Upperbound of 95% confidence interval for beta-0.408
 Lowerbound of 95% confidence interval for alpha-3.602
 Upperbound of 95% confidence interval for alpha1.418
 Treynor index (mean / b)1.111
 Jensen alpha (a)-1.092
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.082
 Expected Shortfall on VaR0.100
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.035
 Expected Shortfall on VaR0.075
ORDER STATISTICS
Quartiles of return rates
 Number of observations172.000
 Minimum0.670
 Quartile 10.991
 Median1.000
 Quartile 31.008
 Maximum1.118
 Mean of quarter 10.950
 Mean of quarter 20.998
 Mean of quarter 31.002
 Mean of quarter 41.037
 Inter Quartile Range0.017
 Number outliers low19.000
 Percentage of outliers low0.110
 Mean of outliers low0.910
 Number of outliers high17.000
 Percentage of outliers high0.099
 Mean of outliers high1.065
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.664
 VaR(95%) (moments method)0.042
 Expected Shortfall (moments method)0.143
 Extreme Value Index (regression method)0.476
 VaR(95%) (regression method)0.044
 Expected Shortfall (regression method)0.103
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations1.000
 Minimum0.542
 Quartile 10.542
 Median0.542
 Quartile 30.542
 Maximum0.542
 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)-1.054
 Compounded annual return (geometric extrapolation)-0.776
 Calmar ratio (compounded annual return / max draw down)-1.431
 Compounded annual return / average of 25% largest draw downsNA
 Compounded annual return / Expected Shortfall lognormal-7.758