Find System by Name

Wait

Quick Links

Watch List

Drag any system on page
to here.

Advanced Statistics: FFX Limited

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
 Mean0.275
 SD0.168
 Sharpe ratio (Glass type estimate) 1.640
 Sharpe ratio (Hedges UMVUE)1.425
 df6.000
 t1.253
 p0.128
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.140
 Upperbound of 95% confidence interval for Sharpe Ratio4.303
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.265
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.115
Statistics related to Sortino ratio
 Sortino ratio5.338
 Upside Potential Ratio7.456
 Upside part of mean0.384
 Downside part of mean-0.109
 Upside SD0.167
 Downside SD0.052
 N nonnegative terms4.000
 N negative terms3.000
Statistics related to linear regression on benchmark
 N of observations7.000
 Mean of predictor0.004
 Mean of criterion0.275
 SD of predictor0.133
 SD of criterion0.168
 Covariance-0.008
 r-0.364
 b (slope, estimate of beta)-0.459
 a (intercept, estimate of alpha)0.277
 Mean Square Error0.029
 DF error5.000
 t(b)-0.874
 p(b)0.789
 t(a)1.237
 p(a)0.136
 Lowerbound of 95% confidence interval for beta-1.809
 Upperbound of 95% confidence interval for beta0.891
 Lowerbound of 95% confidence interval for alpha-0.299
 Upperbound of 95% confidence interval for alpha0.853
 Treynor index (mean / b)-0.599
 Jensen alpha (a)0.277
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.260
 SD0.163
 Sharpe ratio (Glass type estimate) 1.596
 Sharpe ratio (Hedges UMVUE)1.386
 df6.000
 t1.219
 p0.134
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.176
 Upperbound of 95% confidence interval for Sharpe Ratio4.252
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.297
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.069
Statistics related to Sortino ratio
 Sortino ratio4.990
 Upside Potential Ratio7.106
 Upside part of mean0.370
 Downside part of mean-0.110
 Upside SD0.160
 Downside SD0.052
 N nonnegative terms4.000
 N negative terms3.000
Statistics related to linear regression on benchmark
 N of observations7.000
 Mean of predictor-0.003
 Mean of criterion0.260
 SD of predictor0.133
 SD of criterion0.163
 Covariance-0.008
 r-0.364
 b (slope, estimate of beta)-0.446
 a (intercept, estimate of alpha)0.258
 Mean Square Error0.028
 DF error5.000
 t(b)-0.873
 p(b)0.789
 t(a)1.188
 p(a)0.144
 Lowerbound of 95% confidence interval for beta-1.758
 Upperbound of 95% confidence interval for beta0.867
 Lowerbound of 95% confidence interval for alpha-0.301
 Upperbound of 95% confidence interval for alpha0.817
 Treynor index (mean / b)-0.583
 Jensen alpha (a)0.258
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.054
 Expected Shortfall on VaR0.072
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.020
 Expected Shortfall on VaR0.034
ORDER STATISTICS
Quartiles of return rates
 Number of observations7.000
 Minimum0.973
 Quartile 10.987
 Median1.011
 Quartile 31.068
 Maximum1.093
 Mean of quarter 10.977
 Mean of quarter 21.002
 Mean of quarter 31.066
 Mean of quarter 41.081
 Inter Quartile Range0.081
 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 observations3.000
 Minimum0.007
 Quartile 10.013
 Median0.019
 Quartile 30.023
 Maximum0.027
 Mean of quarter 10.007
 Mean of quarter 20.019
 Mean of quarter 3NA
 Mean of quarter 40.027
 Inter Quartile Range0.010
 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)0.332
 Compounded annual return (geometric extrapolation)0.355
 Calmar ratio (compounded annual return / max draw down)13.388
 Compounded annual return / average of 25% largest draw downs13.388
 Compounded annual return / Expected Shortfall lognormal4.904
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.237
 SD0.133
 Sharpe ratio (Glass type estimate) 1.781
 Sharpe ratio (Hedges UMVUE)1.775
 df223.000
 t1.437
 p0.076
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.656
 Upperbound of 95% confidence interval for Sharpe Ratio4.213
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.660
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.209
Statistics related to Sortino ratio
 Sortino ratio2.850
 Upside Potential Ratio9.685
 Upside part of mean0.805
 Downside part of mean-0.568
 Upside SD0.104
 Downside SD0.083
 N nonnegative terms68.000
 N negative terms156.000
Statistics related to linear regression on benchmark
 N of observations224.000
 Mean of predictor0.251
 Mean of criterion0.237
 SD of predictor0.176
 SD of criterion0.133
 Covariance-0.001
 r-0.037
 b (slope, estimate of beta)-0.028
 a (intercept, estimate of alpha)0.244
 Mean Square Error0.018
 DF error222.000
 t(b)-0.551
 p(b)0.709
 t(a)1.473
 p(a)0.071
 Lowerbound of 95% confidence interval for beta-0.128
 Upperbound of 95% confidence interval for beta0.072
 Lowerbound of 95% confidence interval for alpha-0.082
 Upperbound of 95% confidence interval for alpha0.570
 Treynor index (mean / b)-8.494
 Jensen alpha (a)0.244
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.228
 SD0.133
 Sharpe ratio (Glass type estimate) 1.716
 Sharpe ratio (Hedges UMVUE)1.710
 df223.000
 t1.385
 p0.084
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.720
 Upperbound of 95% confidence interval for Sharpe Ratio4.148
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.724
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.145
Statistics related to Sortino ratio
 Sortino ratio2.716
 Upside Potential Ratio9.526
 Upside part of mean0.800
 Downside part of mean-0.572
 Upside SD0.103
 Downside SD0.084
 N nonnegative terms68.000
 N negative terms156.000
Statistics related to linear regression on benchmark
 N of observations224.000
 Mean of predictor0.236
 Mean of criterion0.228
 SD of predictor0.176
 SD of criterion0.133
 Covariance-0.001
 r-0.037
 b (slope, estimate of beta)-0.028
 a (intercept, estimate of alpha)0.235
 Mean Square Error0.018
 DF error222.000
 t(b)-0.558
 p(b)0.711
 t(a)1.420
 p(a)0.079
 Lowerbound of 95% confidence interval for beta-0.128
 Upperbound of 95% confidence interval for beta0.072
 Lowerbound of 95% confidence interval for alpha-0.091
 Upperbound of 95% confidence interval for alpha0.561
 Treynor index (mean / b)-8.050
 Jensen alpha (a)0.235
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 VaR0.010
ORDER STATISTICS
Quartiles of return rates
 Number of observations224.000
 Minimum0.965
 Quartile 11.000
 Median1.000
 Quartile 31.002
 Maximum1.027
 Mean of quarter 10.994
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.009
 Inter Quartile Range0.002
 Number outliers low29.000
 Percentage of outliers low0.129
 Mean of outliers low0.990
 Number of outliers high35.000
 Percentage of outliers high0.156
 Mean of outliers high1.012
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.077
 VaR(95%) (moments method)0.003
 Expected Shortfall (moments method)0.005
 Extreme Value Index (regression method)0.181
 VaR(95%) (regression method)0.005
 Expected Shortfall (regression method)0.010
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations11.000
 Minimum0.002
 Quartile 10.005
 Median0.015
 Quartile 30.029
 Maximum0.063
 Mean of quarter 10.003
 Mean of quarter 20.010
 Mean of quarter 30.018
 Mean of quarter 40.051
 Inter Quartile Range0.024
 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)-7.042
 VaR(95%) (moments method)0.056
 Expected Shortfall (moments method)0.056
 Extreme Value Index (regression method)-1.225
 VaR(95%) (regression method)0.069
 Expected Shortfall (regression method)0.071
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.298
 Compounded annual return (geometric extrapolation)0.313
 Calmar ratio (compounded annual return / max draw down)4.986
 Compounded annual return / average of 25% largest draw downs6.150
 Compounded annual return / Expected Shortfall lognormal22.314
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.214
 SD0.134
 Sharpe ratio (Glass type estimate) 1.602
 Sharpe ratio (Hedges UMVUE)1.595
 df171.000
 t1.133
 p0.445
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.177
 Upperbound of 95% confidence interval for Sharpe Ratio4.377
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.182
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.372
Statistics related to Sortino ratio
 Sortino ratio2.510
 Upside Potential Ratio8.886
 Upside part of mean0.759
 Downside part of mean-0.545
 Upside SD0.103
 Downside SD0.085
 N nonnegative terms45.000
 N negative terms127.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.286
 Mean of criterion0.214
 SD of predictor0.190
 SD of criterion0.134
 Covariance-0.001
 r-0.034
 b (slope, estimate of beta)-0.024
 a (intercept, estimate of alpha)0.221
 Mean Square Error0.018
 DF error170.000
 t(b)-0.440
 p(b)0.517
 t(a)1.162
 p(a)0.456
 Lowerbound of 95% confidence interval for beta-0.130
 Upperbound of 95% confidence interval for beta0.083
 Lowerbound of 95% confidence interval for alpha-0.154
 Upperbound of 95% confidence interval for alpha0.597
 Treynor index (mean / b)-9.023
 Jensen alpha (a)0.221
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.205
 SD0.134
 Sharpe ratio (Glass type estimate) 1.536
 Sharpe ratio (Hedges UMVUE)1.529
 df171.000
 t1.086
 p0.447
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.243
 Upperbound of 95% confidence interval for Sharpe Ratio4.310
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.247
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.306
Statistics related to Sortino ratio
 Sortino ratio2.379
 Upside Potential Ratio8.730
 Upside part of mean0.754
 Downside part of mean-0.548
 Upside SD0.102
 Downside SD0.086
 N nonnegative terms45.000
 N negative terms127.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.268
 Mean of criterion0.205
 SD of predictor0.189
 SD of criterion0.134
 Covariance-0.001
 r-0.034
 b (slope, estimate of beta)-0.024
 a (intercept, estimate of alpha)0.212
 Mean Square Error0.018
 DF error170.000
 t(b)-0.448
 p(b)0.517
 t(a)1.115
 p(a)0.457
 Lowerbound of 95% confidence interval for beta-0.131
 Upperbound of 95% confidence interval for beta0.083
 Lowerbound of 95% confidence interval for alpha-0.163
 Upperbound of 95% confidence interval for alpha0.587
 Treynor index (mean / b)-8.469
 Jensen alpha (a)0.212
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 VaR0.010
ORDER STATISTICS
Quartiles of return rates
 Number of observations172.000
 Minimum0.965
 Quartile 11.000
 Median1.000
 Quartile 31.001
 Maximum1.027
 Mean of quarter 10.994
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.009
 Inter Quartile Range0.001
 Number outliers low35.000
 Percentage of outliers low0.203
 Mean of outliers low0.993
 Number of outliers high38.000
 Percentage of outliers high0.221
 Mean of outliers high1.010
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.006
 VaR(95%) (moments method)0.003
 Expected Shortfall (moments method)0.005
 Extreme Value Index (regression method)0.394
 VaR(95%) (regression method)0.005
 Expected Shortfall (regression method)0.010
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations10.000
 Minimum0.002
 Quartile 10.007
 Median0.016
 Quartile 30.034
 Maximum0.063
 Mean of quarter 10.005
 Mean of quarter 20.012
 Mean of quarter 30.018
 Mean of quarter 40.049
 Inter Quartile Range0.027
 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)-1.238
 VaR(95%) (moments method)0.057
 Expected Shortfall (moments method)0.059
 Extreme Value Index (regression method)0.312
 VaR(95%) (regression method)0.066
 Expected Shortfall (regression method)0.096
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.266
 Compounded annual return (geometric extrapolation)0.283
 Calmar ratio (compounded annual return / max draw down)4.518
 Compounded annual return / average of 25% largest draw downs5.806
 Compounded annual return / Expected Shortfall lognormal19.991