Find System by Name

Wait

Quick Links

Watch List

Drag any system on page
to here.

Advanced Statistics: Piston

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
 Mean0.062
 SD0.158
 Sharpe ratio (Glass type estimate) 0.392
 Sharpe ratio (Hedges UMVUE)0.374
 df17.000
 t0.480
 p0.427
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.219
 Upperbound of 95% confidence interval for Sharpe Ratio1.992
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.231
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.980
Statistics related to Sortino ratio
 Sortino ratio0.654
 Upside Potential Ratio2.501
 Upside part of mean0.237
 Downside part of mean-0.175
 Upside SD0.122
 Downside SD0.095
 N nonnegative terms9.000
 N negative terms9.000
Statistics related to linear regression on benchmark
 N of observations18.000
 Mean of predictor0.118
 Mean of criterion0.062
 SD of predictor0.111
 SD of criterion0.158
 Covariance0.001
 r0.076
 b (slope, estimate of beta)0.108
 a (intercept, estimate of alpha)0.049
 Mean Square Error0.026
 DF error16.000
 t(b)0.303
 p(b)0.462
 t(a)0.354
 p(a)0.456
 Lowerbound of 95% confidence interval for beta-0.647
 Upperbound of 95% confidence interval for beta0.863
 Lowerbound of 95% confidence interval for alpha-0.246
 Upperbound of 95% confidence interval for alpha0.345
 Treynor index (mean / b)0.575
 Jensen alpha (a)0.049
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.050
 SD0.157
 Sharpe ratio (Glass type estimate) 0.319
 Sharpe ratio (Hedges UMVUE)0.305
 df17.000
 t0.391
 p0.440
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.290
 Upperbound of 95% confidence interval for Sharpe Ratio1.918
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.299
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.908
Statistics related to Sortino ratio
 Sortino ratio0.509
 Upside Potential Ratio2.334
 Upside part of mean0.229
 Downside part of mean-0.179
 Upside SD0.117
 Downside SD0.098
 N nonnegative terms9.000
 N negative terms9.000
Statistics related to linear regression on benchmark
 N of observations18.000
 Mean of predictor0.111
 Mean of criterion0.050
 SD of predictor0.111
 SD of criterion0.157
 Covariance0.001
 r0.066
 b (slope, estimate of beta)0.094
 a (intercept, estimate of alpha)0.040
 Mean Square Error0.026
 DF error16.000
 t(b)0.265
 p(b)0.467
 t(a)0.288
 p(a)0.464
 Lowerbound of 95% confidence interval for beta-0.655
 Upperbound of 95% confidence interval for beta0.842
 Lowerbound of 95% confidence interval for alpha-0.252
 Upperbound of 95% confidence interval for alpha0.331
 Treynor index (mean / b)0.534
 Jensen alpha (a)0.040
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.068
 Expected Shortfall on VaR0.085
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.034
 Expected Shortfall on VaR0.063
ORDER STATISTICS
Quartiles of return rates
 Number of observations18.000
 Minimum0.909
 Quartile 10.981
 Median1.005
 Quartile 31.029
 Maximum1.098
 Mean of quarter 10.962
 Mean of quarter 20.990
 Mean of quarter 31.019
 Mean of quarter 41.063
 Inter Quartile Range0.047
 Number outliers low1.000
 Percentage of outliers low0.056
 Mean of outliers low0.909
 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)0.609
 VaR(95%) (moments method)0.047
 Expected Shortfall (moments method)0.122
 Extreme Value Index (regression method)2.584
 VaR(95%) (regression method)0.057
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.002
 Quartile 10.012
 Median0.022
 Quartile 30.059
 Maximum0.096
 Mean of quarter 10.002
 Mean of quarter 20.022
 Mean of quarter 3NA
 Mean of quarter 40.096
 Inter Quartile Range0.047
 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)0.101
 Compounded annual return (geometric extrapolation)0.099
 Calmar ratio (compounded annual return / max draw down)1.024
 Compounded annual return / average of 25% largest draw downs1.024
 Compounded annual return / Expected Shortfall lognormal1.157
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.067
 SD0.138
 Sharpe ratio (Glass type estimate) 0.485
 Sharpe ratio (Hedges UMVUE)0.484
 df526.000
 t0.600
 p0.274
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.099
 Upperbound of 95% confidence interval for Sharpe Ratio2.068
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.100
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.068
Statistics related to Sortino ratio
 Sortino ratio0.757
 Upside Potential Ratio7.592
 Upside part of mean0.669
 Downside part of mean-0.602
 Upside SD0.106
 Downside SD0.088
 N nonnegative terms138.000
 N negative terms389.000
Statistics related to linear regression on benchmark
 N of observations527.000
 Mean of predictor0.147
 Mean of criterion0.067
 SD of predictor0.149
 SD of criterion0.138
 Covariance0.003
 r0.147
 b (slope, estimate of beta)0.136
 a (intercept, estimate of alpha)0.047
 Mean Square Error0.019
 DF error525.000
 t(b)3.411
 p(b)0.000
 t(a)0.424
 p(a)0.336
 Lowerbound of 95% confidence interval for beta0.058
 Upperbound of 95% confidence interval for beta0.214
 Lowerbound of 95% confidence interval for alpha-0.170
 Upperbound of 95% confidence interval for alpha0.263
 Treynor index (mean / b)0.491
 Jensen alpha (a)0.047
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.057
 SD0.137
 Sharpe ratio (Glass type estimate) 0.418
 Sharpe ratio (Hedges UMVUE)0.417
 df526.000
 t0.517
 p0.303
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.166
 Upperbound of 95% confidence interval for Sharpe Ratio2.002
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.166
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.001
Statistics related to Sortino ratio
 Sortino ratio0.643
 Upside Potential Ratio7.446
 Upside part of mean0.663
 Downside part of mean-0.606
 Upside SD0.104
 Downside SD0.089
 N nonnegative terms138.000
 N negative terms389.000
Statistics related to linear regression on benchmark
 N of observations527.000
 Mean of predictor0.136
 Mean of criterion0.057
 SD of predictor0.149
 SD of criterion0.137
 Covariance0.003
 r0.148
 b (slope, estimate of beta)0.136
 a (intercept, estimate of alpha)0.039
 Mean Square Error0.018
 DF error525.000
 t(b)3.431
 p(b)0.000
 t(a)0.354
 p(a)0.362
 Lowerbound of 95% confidence interval for beta0.058
 Upperbound of 95% confidence interval for beta0.214
 Lowerbound of 95% confidence interval for alpha-0.177
 Upperbound of 95% confidence interval for alpha0.254
 Treynor index (mean / b)0.421
 Jensen alpha (a)0.039
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.012
 Expected Shortfall on VaR0.015
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.005
 Expected Shortfall on VaR0.011
ORDER STATISTICS
Quartiles of return rates
 Number of observations527.000
 Minimum0.955
 Quartile 10.999
 Median1.000
 Quartile 31.000
 Maximum1.060
 Mean of quarter 10.993
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.008
 Inter Quartile Range0.001
 Number outliers low100.000
 Percentage of outliers low0.190
 Mean of outliers low0.992
 Number of outliers high113.000
 Percentage of outliers high0.214
 Mean of outliers high1.009
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.367
 VaR(95%) (moments method)0.004
 Expected Shortfall (moments method)0.009
 Extreme Value Index (regression method)0.052
 VaR(95%) (regression method)0.007
 Expected Shortfall (regression method)0.011
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations7.000
 Minimum0.011
 Quartile 10.018
 Median0.028
 Quartile 30.033
 Maximum0.124
 Mean of quarter 10.014
 Mean of quarter 20.024
 Mean of quarter 30.032
 Mean of quarter 40.079
 Inter Quartile Range0.015
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.143
 Mean of outliers high0.124
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)0.110
 Compounded annual return (geometric extrapolation)0.107
 Calmar ratio (compounded annual return / max draw down)0.860
 Compounded annual return / average of 25% largest draw downs1.351
 Compounded annual return / Expected Shortfall lognormal7.126
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.041
 SD0.123
 Sharpe ratio (Glass type estimate) -0.333
 Sharpe ratio (Hedges UMVUE)-0.331
 df171.000
 t-0.235
 p0.511
 Lowerbound of 95% confidence interval for Sharpe Ratio-3.104
 Upperbound of 95% confidence interval for Sharpe Ratio2.440
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-3.103
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.441
Statistics related to Sortino ratio
 Sortino ratio-0.450
 Upside Potential Ratio6.357
 Upside part of mean0.579
 Downside part of mean-0.620
 Upside SD0.082
 Downside SD0.091
 N nonnegative terms46.000
 N negative terms126.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.281
 Mean of criterion-0.041
 SD of predictor0.123
 SD of criterion0.123
 Covariance0.003
 r0.197
 b (slope, estimate of beta)0.197
 a (intercept, estimate of alpha)-0.096
 Mean Square Error0.015
 DF error170.000
 t(b)2.619
 p(b)0.402
 t(a)-0.558
 p(a)0.521
 Lowerbound of 95% confidence interval for beta0.048
 Upperbound of 95% confidence interval for beta0.345
 Lowerbound of 95% confidence interval for alpha-0.436
 Upperbound of 95% confidence interval for alpha0.244
 Treynor index (mean / b)-0.208
 Jensen alpha (a)-0.096
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.048
 SD0.123
 Sharpe ratio (Glass type estimate) -0.393
 Sharpe ratio (Hedges UMVUE)-0.392
 df171.000
 t-0.278
 p0.514
 Lowerbound of 95% confidence interval for Sharpe Ratio-3.165
 Upperbound of 95% confidence interval for Sharpe Ratio2.379
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-3.164
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.380
Statistics related to Sortino ratio
 Sortino ratio-0.527
 Upside Potential Ratio6.253
 Upside part of mean0.575
 Downside part of mean-0.624
 Upside SD0.081
 Downside SD0.092
 N nonnegative terms46.000
 N negative terms126.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.273
 Mean of criterion-0.048
 SD of predictor0.123
 SD of criterion0.123
 Covariance0.003
 r0.198
 b (slope, estimate of beta)0.198
 a (intercept, estimate of alpha)-0.103
 Mean Square Error0.015
 DF error170.000
 t(b)2.632
 p(b)0.401
 t(a)-0.595
 p(a)0.523
 Lowerbound of 95% confidence interval for beta0.050
 Upperbound of 95% confidence interval for beta0.347
 Lowerbound of 95% confidence interval for alpha-0.443
 Upperbound of 95% confidence interval for alpha0.238
 Treynor index (mean / b)-0.244
 Jensen alpha (a)-0.103
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.011
 Expected Shortfall on VaR0.014
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.005
 Expected Shortfall on VaR0.011
ORDER STATISTICS
Quartiles of return rates
 Number of observations172.000
 Minimum0.964
 Quartile 10.999
 Median1.000
 Quartile 31.001
 Maximum1.035
 Mean of quarter 10.993
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.007
 Inter Quartile Range0.002
 Number outliers low24.000
 Percentage of outliers low0.140
 Mean of outliers low0.989
 Number of outliers high30.000
 Percentage of outliers high0.174
 Mean of outliers high1.009
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.752
 VaR(95%) (moments method)0.006
 Expected Shortfall (moments method)0.025
 Extreme Value Index (regression method)0.504
 VaR(95%) (regression method)0.006
 Expected Shortfall (regression method)0.016
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations4.000
 Minimum0.002
 Quartile 10.009
 Median0.018
 Quartile 30.050
 Maximum0.120
 Mean of quarter 10.002
 Mean of quarter 20.011
 Mean of quarter 30.026
 Mean of quarter 40.120
 Inter Quartile Range0.041
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.250
 Mean of outliers high0.120
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)-0.004
 Compounded annual return (geometric extrapolation)-0.004
 Calmar ratio (compounded annual return / max draw down)-0.037
 Compounded annual return / average of 25% largest draw downs-0.037
 Compounded annual return / Expected Shortfall lognormal-0.323