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Advanced Statistics: ETF OPTION TIMER

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-0.025
 SD0.066
 Sharpe ratio (Glass type estimate) -0.380
 Sharpe ratio (Hedges UMVUE)-0.375
 df59.000
 t-0.850
 p0.801
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.258
 Upperbound of 95% confidence interval for Sharpe Ratio0.501
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.255
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.504
Statistics related to Sortino ratio
 Sortino ratio-0.560
 Upside Potential Ratio1.000
 Upside part of mean0.045
 Downside part of mean-0.070
 Upside SD0.048
 Downside SD0.045
 N nonnegative terms5.000
 N negative terms55.000
Statistics related to linear regression on benchmark
 N of observations60.000
 Mean of predictor0.082
 Mean of criterion-0.025
 SD of predictor0.107
 SD of criterion0.066
 Covariance0.001
 r0.115
 b (slope, estimate of beta)0.070
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error58.000
 t(b)0.879
 p(b)0.191
 t(a)-1.020
 p(a)0.844
 Lowerbound of 95% confidence interval for beta-0.090
 Upperbound of 95% confidence interval for beta0.230
 Lowerbound of 95% confidence interval for alpha-0.091
 Upperbound of 95% confidence interval for alpha0.030
 Treynor index (mean / b)-0.355
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.065
 Sharpe ratio (Glass type estimate) -0.413
 Sharpe ratio (Hedges UMVUE)-0.408
 df59.000
 t-0.924
 p0.820
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.291
 Upperbound of 95% confidence interval for Sharpe Ratio0.468
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.288
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.472
Statistics related to Sortino ratio
 Sortino ratio-0.590
 Upside Potential Ratio0.946
 Upside part of mean0.043
 Downside part of mean-0.070
 Upside SD0.047
 Downside SD0.046
 N nonnegative terms5.000
 N negative terms55.000
Statistics related to linear regression on benchmark
 N of observations60.000
 Mean of predictor0.076
 Mean of criterion-0.027
 SD of predictor0.107
 SD of criterion0.065
 Covariance0.001
 r0.118
 b (slope, estimate of beta)0.072
 a (intercept, estimate of alpha)-0.033
 Mean Square Error0.004
 DF error58.000
 t(b)0.904
 p(b)0.185
 t(a)-1.087
 p(a)0.859
 Lowerbound of 95% confidence interval for beta-0.088
 Upperbound of 95% confidence interval for beta0.232
 Lowerbound of 95% confidence interval for alpha-0.092
 Upperbound of 95% confidence interval for alpha0.027
 Treynor index (mean / b)-0.373
 Jensen alpha (a)-0.033
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.033
 Expected Shortfall on VaR0.040
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.019
 Expected Shortfall on VaR0.036
ORDER STATISTICS
Quartiles of return rates
 Number of observations60.000
 Minimum0.930
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.074
 Mean of quarter 10.990
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.016
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.050
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.100
 Mean of outliers high1.040
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)-1.319
 VaR(95%) (regression method)0.027
 Expected Shortfall (regression method)0.063
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.027
 Quartile 10.037
 Median0.048
 Quartile 30.059
 Maximum0.070
 Mean of quarter 10.027
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.070
 Inter Quartile Range0.021
 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)0.018
 Compounded annual return (geometric extrapolation)0.017
 Calmar ratio (compounded annual return / max draw down)0.246
 Compounded annual return / average of 25% largest draw downs0.246
 Compounded annual return / Expected Shortfall lognormal0.425
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.025
 SD0.065
 Sharpe ratio (Glass type estimate) -0.382
 Sharpe ratio (Hedges UMVUE)-0.382
 df1724.000
 t-0.856
 p0.510
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.258
 Upperbound of 95% confidence interval for Sharpe Ratio0.493
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.258
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.493
Statistics related to Sortino ratio
 Sortino ratio-0.533
 Upside Potential Ratio2.917
 Upside part of mean0.136
 Downside part of mean-0.161
 Upside SD0.045
 Downside SD0.047
 N nonnegative terms110.000
 N negative terms1615.000
Statistics related to linear regression on benchmark
 N of observations1725.000
 Mean of predictor0.083
 Mean of criterion-0.025
 SD of predictor0.132
 SD of criterion0.065
 Covariance0.001
 r0.067
 b (slope, estimate of beta)0.033
 a (intercept, estimate of alpha)-0.028
 Mean Square Error0.004
 DF error1723.000
 t(b)2.786
 p(b)0.457
 t(a)-0.952
 p(a)0.515
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.057
 Lowerbound of 95% confidence interval for alpha-0.085
 Upperbound of 95% confidence interval for alpha0.029
 Treynor index (mean / b)-0.751
 Jensen alpha (a)-0.028
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.065
 Sharpe ratio (Glass type estimate) -0.415
 Sharpe ratio (Hedges UMVUE)-0.414
 df1724.000
 t-0.928
 p0.511
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.290
 Upperbound of 95% confidence interval for Sharpe Ratio0.461
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.290
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.461
Statistics related to Sortino ratio
 Sortino ratio-0.572
 Upside Potential Ratio2.859
 Upside part of mean0.135
 Downside part of mean-0.162
 Upside SD0.045
 Downside SD0.047
 N nonnegative terms110.000
 N negative terms1615.000
Statistics related to linear regression on benchmark
 N of observations1725.000
 Mean of predictor0.074
 Mean of criterion-0.027
 SD of predictor0.132
 SD of criterion0.065
 Covariance0.001
 r0.067
 b (slope, estimate of beta)0.033
 a (intercept, estimate of alpha)-0.030
 Mean Square Error0.004
 DF error1723.000
 t(b)2.779
 p(b)0.458
 t(a)-1.014
 p(a)0.516
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.057
 Lowerbound of 95% confidence interval for alpha-0.087
 Upperbound of 95% confidence interval for alpha0.028
 Treynor index (mean / b)-0.817
 Jensen alpha (a)-0.030
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.006
 Expected Shortfall on VaR0.007
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.002
 Expected Shortfall on VaR0.003
ORDER STATISTICS
Quartiles of return rates
 Number of observations1725.000
 Minimum0.963
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.037
 Mean of quarter 10.999
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.002
 Inter Quartile Range0.000
 Number outliers low70.000
 Percentage of outliers low0.041
 Mean of outliers low0.991
 Number of outliers high111.000
 Percentage of outliers high0.064
 Mean of outliers high1.006
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.169
 VaR(95%) (moments method)0.000
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.070
 VaR(95%) (regression method)-0.001
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations9.000
 Minimum0.000
 Quartile 10.002
 Median0.004
 Quartile 30.083
 Maximum0.132
 Mean of quarter 10.001
 Mean of quarter 20.004
 Mean of quarter 30.046
 Mean of quarter 40.116
 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 based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-2.125
 VaR(95%) (moments method)0.121
 Expected Shortfall (moments method)0.122
 Extreme Value Index (regression method)-0.179
 VaR(95%) (regression method)0.141
 Expected Shortfall (regression method)0.165
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.018
 Compounded annual return (geometric extrapolation)0.017
 Calmar ratio (compounded annual return / max draw down)0.130
 Compounded annual return / average of 25% largest draw downs0.147
 Compounded annual return / Expected Shortfall lognormal2.338
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 predictor0.067
 Mean of criterion-0.044
 SD of predictor0.119
 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 predictor0.060
 Mean of criterion-0.044
 SD of predictor0.120
 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 error170.000
 t(b)0.000
 p(b)0.500
 t(a)-5593476985371493.000
 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)-15456651501311587572432037216256.000
 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

Advanced Statistics: ETF OPTION TIMER

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-0.025
 SD0.066
 Sharpe ratio (Glass type estimate) -0.380
 Sharpe ratio (Hedges UMVUE)-0.375
 df59.000
 t-0.850
 p0.801
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.258
 Upperbound of 95% confidence interval for Sharpe Ratio0.501
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.255
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.504
Statistics related to Sortino ratio
 Sortino ratio-0.560
 Upside Potential Ratio1.000
 Upside part of mean0.045
 Downside part of mean-0.070
 Upside SD0.048
 Downside SD0.045
 N nonnegative terms5.000
 N negative terms55.000
Statistics related to linear regression on benchmark
 N of observations60.000
 Mean of predictor0.082
 Mean of criterion-0.025
 SD of predictor0.107
 SD of criterion0.066
 Covariance0.001
 r0.115
 b (slope, estimate of beta)0.070
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error58.000
 t(b)0.879
 p(b)0.191
 t(a)-1.020
 p(a)0.844
 Lowerbound of 95% confidence interval for beta-0.090
 Upperbound of 95% confidence interval for beta0.230
 Lowerbound of 95% confidence interval for alpha-0.091
 Upperbound of 95% confidence interval for alpha0.030
 Treynor index (mean / b)-0.355
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.065
 Sharpe ratio (Glass type estimate) -0.413
 Sharpe ratio (Hedges UMVUE)-0.408
 df59.000
 t-0.924
 p0.820
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.291
 Upperbound of 95% confidence interval for Sharpe Ratio0.468
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.288
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.472
Statistics related to Sortino ratio
 Sortino ratio-0.590
 Upside Potential Ratio0.946
 Upside part of mean0.043
 Downside part of mean-0.070
 Upside SD0.047
 Downside SD0.046
 N nonnegative terms5.000
 N negative terms55.000
Statistics related to linear regression on benchmark
 N of observations60.000
 Mean of predictor0.076
 Mean of criterion-0.027
 SD of predictor0.107
 SD of criterion0.065
 Covariance0.001
 r0.118
 b (slope, estimate of beta)0.072
 a (intercept, estimate of alpha)-0.033
 Mean Square Error0.004
 DF error58.000
 t(b)0.904
 p(b)0.185
 t(a)-1.087
 p(a)0.859
 Lowerbound of 95% confidence interval for beta-0.088
 Upperbound of 95% confidence interval for beta0.232
 Lowerbound of 95% confidence interval for alpha-0.092
 Upperbound of 95% confidence interval for alpha0.027
 Treynor index (mean / b)-0.373
 Jensen alpha (a)-0.033
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.033
 Expected Shortfall on VaR0.040
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.019
 Expected Shortfall on VaR0.036
ORDER STATISTICS
Quartiles of return rates
 Number of observations60.000
 Minimum0.930
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.074
 Mean of quarter 10.990
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.016
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.050
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.100
 Mean of outliers high1.040
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)-1.319
 VaR(95%) (regression method)0.027
 Expected Shortfall (regression method)0.063
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.027
 Quartile 10.037
 Median0.048
 Quartile 30.059
 Maximum0.070
 Mean of quarter 10.027
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.070
 Inter Quartile Range0.021
 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)0.018
 Compounded annual return (geometric extrapolation)0.017
 Calmar ratio (compounded annual return / max draw down)0.246
 Compounded annual return / average of 25% largest draw downs0.246
 Compounded annual return / Expected Shortfall lognormal0.425
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.025
 SD0.065
 Sharpe ratio (Glass type estimate) -0.382
 Sharpe ratio (Hedges UMVUE)-0.382
 df1724.000
 t-0.856
 p0.510
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.258
 Upperbound of 95% confidence interval for Sharpe Ratio0.493
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.258
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.493
Statistics related to Sortino ratio
 Sortino ratio-0.533
 Upside Potential Ratio2.917
 Upside part of mean0.136
 Downside part of mean-0.161
 Upside SD0.045
 Downside SD0.047
 N nonnegative terms110.000
 N negative terms1615.000
Statistics related to linear regression on benchmark
 N of observations1725.000
 Mean of predictor0.083
 Mean of criterion-0.025
 SD of predictor0.132
 SD of criterion0.065
 Covariance0.001
 r0.067
 b (slope, estimate of beta)0.033
 a (intercept, estimate of alpha)-0.028
 Mean Square Error0.004
 DF error1723.000
 t(b)2.786
 p(b)0.457
 t(a)-0.952
 p(a)0.515
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.057
 Lowerbound of 95% confidence interval for alpha-0.085
 Upperbound of 95% confidence interval for alpha0.029
 Treynor index (mean / b)-0.751
 Jensen alpha (a)-0.028
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.065
 Sharpe ratio (Glass type estimate) -0.415
 Sharpe ratio (Hedges UMVUE)-0.414
 df1724.000
 t-0.928
 p0.511
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.290
 Upperbound of 95% confidence interval for Sharpe Ratio0.461
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.290
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.461
Statistics related to Sortino ratio
 Sortino ratio-0.572
 Upside Potential Ratio2.859
 Upside part of mean0.135
 Downside part of mean-0.162
 Upside SD0.045
 Downside SD0.047
 N nonnegative terms110.000
 N negative terms1615.000
Statistics related to linear regression on benchmark
 N of observations1725.000
 Mean of predictor0.074
 Mean of criterion-0.027
 SD of predictor0.132
 SD of criterion0.065
 Covariance0.001
 r0.067
 b (slope, estimate of beta)0.033
 a (intercept, estimate of alpha)-0.030
 Mean Square Error0.004
 DF error1723.000
 t(b)2.779
 p(b)0.458
 t(a)-1.014
 p(a)0.516
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.057
 Lowerbound of 95% confidence interval for alpha-0.087
 Upperbound of 95% confidence interval for alpha0.028
 Treynor index (mean / b)-0.817
 Jensen alpha (a)-0.030
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.006
 Expected Shortfall on VaR0.007
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.002
 Expected Shortfall on VaR0.003
ORDER STATISTICS
Quartiles of return rates
 Number of observations1725.000
 Minimum0.963
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.037
 Mean of quarter 10.999
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.002
 Inter Quartile Range0.000
 Number outliers low70.000
 Percentage of outliers low0.041
 Mean of outliers low0.991
 Number of outliers high111.000
 Percentage of outliers high0.064
 Mean of outliers high1.006
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.169
 VaR(95%) (moments method)0.000
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.070
 VaR(95%) (regression method)-0.001
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations9.000
 Minimum0.000
 Quartile 10.002
 Median0.004
 Quartile 30.083
 Maximum0.132
 Mean of quarter 10.001
 Mean of quarter 20.004
 Mean of quarter 30.046
 Mean of quarter 40.116
 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 based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)-2.125
 VaR(95%) (moments method)0.121
 Expected Shortfall (moments method)0.122
 Extreme Value Index (regression method)-0.179
 VaR(95%) (regression method)0.141
 Expected Shortfall (regression method)0.165
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.018
 Compounded annual return (geometric extrapolation)0.017
 Calmar ratio (compounded annual return / max draw down)0.130
 Compounded annual return / average of 25% largest draw downs0.147
 Compounded annual return / Expected Shortfall lognormal2.338
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 predictor0.067
 Mean of criterion-0.044
 SD of predictor0.119
 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 predictor0.060
 Mean of criterion-0.044
 SD of predictor0.120
 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 error170.000
 t(b)0.000
 p(b)0.500
 t(a)-5593476985371493.000
 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)-15456651501311587572432037216256.000
 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