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Advanced Statistics: Bravo Tango

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
 Mean0.008
 SD0.187
 Sharpe ratio (Glass type estimate) 0.044
 Sharpe ratio (Hedges UMVUE)0.043
 df33.000
 t0.074
 p0.471
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.121
 Upperbound of 95% confidence interval for Sharpe Ratio1.208
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.122
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.207
Statistics related to Sortino ratio
 Sortino ratio0.084
 Upside Potential Ratio1.386
 Upside part of mean0.135
 Downside part of mean-0.127
 Upside SD0.157
 Downside SD0.097
 N nonnegative terms3.000
 N negative terms31.000
Statistics related to linear regression on benchmark
 N of observations34.000
 Mean of predictor0.457
 Mean of criterion0.008
 SD of predictor0.264
 SD of criterion0.187
 Covariance-0.004
 r-0.074
 b (slope, estimate of beta)-0.052
 a (intercept, estimate of alpha)0.032
 Mean Square Error0.036
 DF error32.000
 t(b)-0.420
 p(b)0.661
 t(a)0.255
 p(a)0.400
 Lowerbound of 95% confidence interval for beta-0.307
 Upperbound of 95% confidence interval for beta0.202
 Lowerbound of 95% confidence interval for alpha-0.225
 Upperbound of 95% confidence interval for alpha0.289
 Treynor index (mean / b)-0.156
 Jensen alpha (a)0.032
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.008
 SD0.177
 Sharpe ratio (Glass type estimate) -0.043
 Sharpe ratio (Hedges UMVUE)-0.042
 df33.000
 t-0.072
 p0.528
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.207
 Upperbound of 95% confidence interval for Sharpe Ratio1.122
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.206
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.123
Statistics related to Sortino ratio
 Sortino ratio-0.074
 Upside Potential Ratio1.204
 Upside part of mean0.124
 Downside part of mean-0.131
 Upside SD0.141
 Downside SD0.103
 N nonnegative terms3.000
 N negative terms31.000
Statistics related to linear regression on benchmark
 N of observations34.000
 Mean of predictor0.416
 Mean of criterion-0.008
 SD of predictor0.255
 SD of criterion0.177
 Covariance-0.003
 r-0.064
 b (slope, estimate of beta)-0.045
 a (intercept, estimate of alpha)0.011
 Mean Square Error0.032
 DF error32.000
 t(b)-0.363
 p(b)0.641
 t(a)0.093
 p(a)0.463
 Lowerbound of 95% confidence interval for beta-0.295
 Upperbound of 95% confidence interval for beta0.206
 Lowerbound of 95% confidence interval for alpha-0.230
 Upperbound of 95% confidence interval for alpha0.252
 Treynor index (mean / b)0.170
 Jensen alpha (a)0.011
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.081
 Expected Shortfall on VaR0.101
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.035
 Expected Shortfall on VaR0.070
ORDER STATISTICS
Quartiles of return rates
 Number of observations34.000
 Minimum0.878
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.247
 Mean of quarter 10.973
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.044
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.088
 Mean of outliers low0.918
 Number of outliers high3.000
 Percentage of outliers high0.088
 Mean of outliers high1.131
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)-1.174
 VaR(95%) (regression method)0.090
 Expected Shortfall (regression method)0.120
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.095
 Quartile 10.108
 Median0.121
 Quartile 30.134
 Maximum0.147
 Mean of quarter 10.095
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.147
 Inter Quartile Range0.026
 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)0.038
 Compounded annual return (geometric extrapolation)0.037
 Calmar ratio (compounded annual return / max draw down)0.253
 Compounded annual return / average of 25% largest draw downs0.253
 Compounded annual return / Expected Shortfall lognormal0.369
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.001
 SD0.131
 Sharpe ratio (Glass type estimate) 0.008
 Sharpe ratio (Hedges UMVUE)0.007
 df743.000
 t0.013
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.156
 Upperbound of 95% confidence interval for Sharpe Ratio1.171
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.156
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.171
Statistics related to Sortino ratio
 Sortino ratio0.010
 Upside Potential Ratio3.095
 Upside part of mean0.291
 Downside part of mean-0.290
 Upside SD0.092
 Downside SD0.094
 N nonnegative terms50.000
 N negative terms694.000
Statistics related to linear regression on benchmark
 N of observations744.000
 Mean of predictor0.479
 Mean of criterion0.001
 SD of predictor0.312
 SD of criterion0.131
 Covariance-0.000
 r-0.000
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)0.001
 Mean Square Error0.017
 DF error742.000
 t(b)-0.012
 p(b)0.505
 t(a)0.014
 p(a)0.495
 Lowerbound of 95% confidence interval for beta-0.031
 Upperbound of 95% confidence interval for beta0.030
 Lowerbound of 95% confidence interval for alpha-0.153
 Upperbound of 95% confidence interval for alpha0.155
 Treynor index (mean / b)-5.260
 Jensen alpha (a)0.001
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.008
 SD0.132
 Sharpe ratio (Glass type estimate) -0.058
 Sharpe ratio (Hedges UMVUE)-0.058
 df743.000
 t-0.098
 p0.539
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.221
 Upperbound of 95% confidence interval for Sharpe Ratio1.105
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.221
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.105
Statistics related to Sortino ratio
 Sortino ratio-0.080
 Upside Potential Ratio2.983
 Upside part of mean0.287
 Downside part of mean-0.295
 Upside SD0.090
 Downside SD0.096
 N nonnegative terms50.000
 N negative terms694.000
Statistics related to linear regression on benchmark
 N of observations744.000
 Mean of predictor0.430
 Mean of criterion-0.008
 SD of predictor0.315
 SD of criterion0.132
 Covariance0.000
 r0.000
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.008
 Mean Square Error0.017
 DF error742.000
 t(b)0.008
 p(b)0.497
 t(a)-0.098
 p(a)0.539
 Lowerbound of 95% confidence interval for beta-0.030
 Upperbound of 95% confidence interval for beta0.030
 Lowerbound of 95% confidence interval for alpha-0.162
 Upperbound of 95% confidence interval for alpha0.146
 Treynor index (mean / b)-62.424
 Jensen alpha (a)-0.008
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.013
 Expected Shortfall on VaR0.017
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.004
 Expected Shortfall on VaR0.008
ORDER STATISTICS
Quartiles of return rates
 Number of observations744.000
 Minimum0.931
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.071
 Mean of quarter 10.996
 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 low0.051
 Mean of outliers low0.981
 Number of outliers high50.000
 Percentage of outliers high0.067
 Mean of outliers high1.017
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.246
 VaR(95%) (moments method)0.000
 Expected Shortfall (moments method)0.001
 Extreme Value Index (regression method)0.202
 VaR(95%) (regression method)0.000
 Expected Shortfall (regression method)0.011
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations5.000
 Minimum0.001
 Quartile 10.002
 Median0.014
 Quartile 30.143
 Maximum0.254
 Mean of quarter 10.002
 Mean of quarter 20.014
 Mean of quarter 30.143
 Mean of quarter 40.254
 Inter Quartile Range0.141
 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)0.038
 Compounded annual return (geometric extrapolation)0.037
 Calmar ratio (compounded annual return / max draw down)0.146
 Compounded annual return / average of 25% largest draw downs0.146
 Compounded annual return / Expected Shortfall lognormal2.221
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 predictor0.769
 Mean of criterion-0.044
 SD of predictor0.419
 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 predictor0.681
 Mean of criterion-0.044
 SD of predictor0.419
 SD of criterion0.000
 Covariance0.000
 r0.000
 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)-8755369067589107.000
 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)-636760922601885821230496450871296.000
 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: Bravo Tango

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
 Mean0.008
 SD0.187
 Sharpe ratio (Glass type estimate) 0.044
 Sharpe ratio (Hedges UMVUE)0.043
 df33.000
 t0.074
 p0.471
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.121
 Upperbound of 95% confidence interval for Sharpe Ratio1.208
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.122
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.207
Statistics related to Sortino ratio
 Sortino ratio0.084
 Upside Potential Ratio1.386
 Upside part of mean0.135
 Downside part of mean-0.127
 Upside SD0.157
 Downside SD0.097
 N nonnegative terms3.000
 N negative terms31.000
Statistics related to linear regression on benchmark
 N of observations34.000
 Mean of predictor0.457
 Mean of criterion0.008
 SD of predictor0.264
 SD of criterion0.187
 Covariance-0.004
 r-0.074
 b (slope, estimate of beta)-0.052
 a (intercept, estimate of alpha)0.032
 Mean Square Error0.036
 DF error32.000
 t(b)-0.420
 p(b)0.661
 t(a)0.255
 p(a)0.400
 Lowerbound of 95% confidence interval for beta-0.307
 Upperbound of 95% confidence interval for beta0.202
 Lowerbound of 95% confidence interval for alpha-0.225
 Upperbound of 95% confidence interval for alpha0.289
 Treynor index (mean / b)-0.156
 Jensen alpha (a)0.032
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.008
 SD0.177
 Sharpe ratio (Glass type estimate) -0.043
 Sharpe ratio (Hedges UMVUE)-0.042
 df33.000
 t-0.072
 p0.528
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.207
 Upperbound of 95% confidence interval for Sharpe Ratio1.122
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.206
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.123
Statistics related to Sortino ratio
 Sortino ratio-0.074
 Upside Potential Ratio1.204
 Upside part of mean0.124
 Downside part of mean-0.131
 Upside SD0.141
 Downside SD0.103
 N nonnegative terms3.000
 N negative terms31.000
Statistics related to linear regression on benchmark
 N of observations34.000
 Mean of predictor0.416
 Mean of criterion-0.008
 SD of predictor0.255
 SD of criterion0.177
 Covariance-0.003
 r-0.064
 b (slope, estimate of beta)-0.045
 a (intercept, estimate of alpha)0.011
 Mean Square Error0.032
 DF error32.000
 t(b)-0.363
 p(b)0.641
 t(a)0.093
 p(a)0.463
 Lowerbound of 95% confidence interval for beta-0.295
 Upperbound of 95% confidence interval for beta0.206
 Lowerbound of 95% confidence interval for alpha-0.230
 Upperbound of 95% confidence interval for alpha0.252
 Treynor index (mean / b)0.170
 Jensen alpha (a)0.011
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.081
 Expected Shortfall on VaR0.101
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.035
 Expected Shortfall on VaR0.070
ORDER STATISTICS
Quartiles of return rates
 Number of observations34.000
 Minimum0.878
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.247
 Mean of quarter 10.973
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.044
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.088
 Mean of outliers low0.918
 Number of outliers high3.000
 Percentage of outliers high0.088
 Mean of outliers high1.131
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)-1.174
 VaR(95%) (regression method)0.090
 Expected Shortfall (regression method)0.120
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.095
 Quartile 10.108
 Median0.121
 Quartile 30.134
 Maximum0.147
 Mean of quarter 10.095
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.147
 Inter Quartile Range0.026
 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)0.038
 Compounded annual return (geometric extrapolation)0.037
 Calmar ratio (compounded annual return / max draw down)0.253
 Compounded annual return / average of 25% largest draw downs0.253
 Compounded annual return / Expected Shortfall lognormal0.369
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.001
 SD0.131
 Sharpe ratio (Glass type estimate) 0.008
 Sharpe ratio (Hedges UMVUE)0.007
 df743.000
 t0.013
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.156
 Upperbound of 95% confidence interval for Sharpe Ratio1.171
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.156
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.171
Statistics related to Sortino ratio
 Sortino ratio0.010
 Upside Potential Ratio3.095
 Upside part of mean0.291
 Downside part of mean-0.290
 Upside SD0.092
 Downside SD0.094
 N nonnegative terms50.000
 N negative terms694.000
Statistics related to linear regression on benchmark
 N of observations744.000
 Mean of predictor0.479
 Mean of criterion0.001
 SD of predictor0.312
 SD of criterion0.131
 Covariance-0.000
 r-0.000
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)0.001
 Mean Square Error0.017
 DF error742.000
 t(b)-0.012
 p(b)0.505
 t(a)0.014
 p(a)0.495
 Lowerbound of 95% confidence interval for beta-0.031
 Upperbound of 95% confidence interval for beta0.030
 Lowerbound of 95% confidence interval for alpha-0.153
 Upperbound of 95% confidence interval for alpha0.155
 Treynor index (mean / b)-5.260
 Jensen alpha (a)0.001
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.008
 SD0.132
 Sharpe ratio (Glass type estimate) -0.058
 Sharpe ratio (Hedges UMVUE)-0.058
 df743.000
 t-0.098
 p0.539
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.221
 Upperbound of 95% confidence interval for Sharpe Ratio1.105
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.221
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.105
Statistics related to Sortino ratio
 Sortino ratio-0.080
 Upside Potential Ratio2.983
 Upside part of mean0.287
 Downside part of mean-0.295
 Upside SD0.090
 Downside SD0.096
 N nonnegative terms50.000
 N negative terms694.000
Statistics related to linear regression on benchmark
 N of observations744.000
 Mean of predictor0.430
 Mean of criterion-0.008
 SD of predictor0.315
 SD of criterion0.132
 Covariance0.000
 r0.000
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.008
 Mean Square Error0.017
 DF error742.000
 t(b)0.008
 p(b)0.497
 t(a)-0.098
 p(a)0.539
 Lowerbound of 95% confidence interval for beta-0.030
 Upperbound of 95% confidence interval for beta0.030
 Lowerbound of 95% confidence interval for alpha-0.162
 Upperbound of 95% confidence interval for alpha0.146
 Treynor index (mean / b)-62.424
 Jensen alpha (a)-0.008
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.013
 Expected Shortfall on VaR0.017
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.004
 Expected Shortfall on VaR0.008
ORDER STATISTICS
Quartiles of return rates
 Number of observations744.000
 Minimum0.931
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.071
 Mean of quarter 10.996
 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 low0.051
 Mean of outliers low0.981
 Number of outliers high50.000
 Percentage of outliers high0.067
 Mean of outliers high1.017
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.246
 VaR(95%) (moments method)0.000
 Expected Shortfall (moments method)0.001
 Extreme Value Index (regression method)0.202
 VaR(95%) (regression method)0.000
 Expected Shortfall (regression method)0.011
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations5.000
 Minimum0.001
 Quartile 10.002
 Median0.014
 Quartile 30.143
 Maximum0.254
 Mean of quarter 10.002
 Mean of quarter 20.014
 Mean of quarter 30.143
 Mean of quarter 40.254
 Inter Quartile Range0.141
 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)0.038
 Compounded annual return (geometric extrapolation)0.037
 Calmar ratio (compounded annual return / max draw down)0.146
 Compounded annual return / average of 25% largest draw downs0.146
 Compounded annual return / Expected Shortfall lognormal2.221
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 predictor0.769
 Mean of criterion-0.044
 SD of predictor0.419
 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 predictor0.681
 Mean of criterion-0.044
 SD of predictor0.419
 SD of criterion0.000
 Covariance0.000
 r0.000
 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)-8755369067589107.000
 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)-636760922601885821230496450871296.000
 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