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-0.020
 SD0.074
 Sharpe ratio (Glass type estimate) -0.265
 Sharpe ratio (Hedges UMVUE)-0.261
 df46.000
 t-0.524
 p0.699
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.255
 Upperbound of 95% confidence interval for Sharpe Ratio0.728
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.252
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.731
Statistics related to Sortino ratio
 Sortino ratio-0.394
 Upside Potential Ratio1.140
 Upside part of mean0.057
 Downside part of mean-0.077
 Upside SD0.054
 Downside SD0.050
 N nonnegative terms5.000
 N negative terms42.000
Statistics related to linear regression on benchmark
 N of observations47.000
 Mean of predictor0.093
 Mean of criterion-0.020
 SD of predictor0.099
 SD of criterion0.074
 Covariance0.001
 r0.138
 b (slope, estimate of beta)0.104
 a (intercept, estimate of alpha)-0.029
 Mean Square Error0.006
 DF error45.000
 t(b)0.935
 p(b)0.177
 t(a)-0.753
 p(a)0.772
 Lowerbound of 95% confidence interval for beta-0.120
 Upperbound of 95% confidence interval for beta0.328
 Lowerbound of 95% confidence interval for alpha-0.108
 Upperbound of 95% confidence interval for alpha0.049
 Treynor index (mean / b)-0.189
 Jensen alpha (a)-0.029
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.022
 SD0.074
 Sharpe ratio (Glass type estimate) -0.302
 Sharpe ratio (Hedges UMVUE)-0.297
 df46.000
 t-0.597
 p0.723
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.292
 Upperbound of 95% confidence interval for Sharpe Ratio0.692
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.289
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.695
Statistics related to Sortino ratio
 Sortino ratio-0.435
 Upside Potential Ratio1.078
 Upside part of mean0.055
 Downside part of mean-0.078
 Upside SD0.053
 Downside SD0.051
 N nonnegative terms5.000
 N negative terms42.000
Statistics related to linear regression on benchmark
 N of observations47.000
 Mean of predictor0.088
 Mean of criterion-0.022
 SD of predictor0.098
 SD of criterion0.074
 Covariance0.001
 r0.143
 b (slope, estimate of beta)0.108
 a (intercept, estimate of alpha)-0.032
 Mean Square Error0.005
 DF error45.000
 t(b)0.966
 p(b)0.170
 t(a)-0.821
 p(a)0.792
 Lowerbound of 95% confidence interval for beta-0.117
 Upperbound of 95% confidence interval for beta0.332
 Lowerbound of 95% confidence interval for alpha-0.110
 Upperbound of 95% confidence interval for alpha0.046
 Treynor index (mean / b)-0.207
 Jensen alpha (a)-0.032
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.036
 Expected Shortfall on VaR0.045
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.021
 Expected Shortfall on VaR0.040
ORDER STATISTICS
Quartiles of return rates
 Number of observations47.000
 Minimum0.930
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.074
 Mean of quarter 10.988
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.020
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.064
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.128
 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)0.044
 Expected Shortfall (regression method)0.070
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)0.023
 Compounded annual return (geometric extrapolation)0.022
 Calmar ratio (compounded annual return / max draw down)0.315
 Compounded annual return / average of 25% largest draw downs0.315
 Compounded annual return / Expected Shortfall lognormal0.489
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.020
 SD0.074
 Sharpe ratio (Glass type estimate) -0.266
 Sharpe ratio (Hedges UMVUE)-0.266
 df1347.000
 t-0.526
 p0.509
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.256
 Upperbound of 95% confidence interval for Sharpe Ratio0.724
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.256
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.725
Statistics related to Sortino ratio
 Sortino ratio-0.371
 Upside Potential Ratio3.300
 Upside part of mean0.175
 Downside part of mean-0.194
 Upside SD0.051
 Downside SD0.053
 N nonnegative terms110.000
 N negative terms1238.000
Statistics related to linear regression on benchmark
 N of observations1348.000
 Mean of predictor0.095
 Mean of criterion-0.020
 SD of predictor0.125
 SD of criterion0.074
 Covariance0.001
 r0.079
 b (slope, estimate of beta)0.047
 a (intercept, estimate of alpha)-0.024
 Mean Square Error0.005
 DF error1346.000
 t(b)2.921
 p(b)0.460
 t(a)-0.647
 p(a)0.509
 Lowerbound of 95% confidence interval for beta0.015
 Upperbound of 95% confidence interval for beta0.078
 Lowerbound of 95% confidence interval for alpha-0.097
 Upperbound of 95% confidence interval for alpha0.049
 Treynor index (mean / b)-0.420
 Jensen alpha (a)-0.024
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.022
 SD0.074
 Sharpe ratio (Glass type estimate) -0.302
 Sharpe ratio (Hedges UMVUE)-0.302
 df1347.000
 t-0.598
 p0.510
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.292
 Upperbound of 95% confidence interval for Sharpe Ratio0.688
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.292
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.688
Statistics related to Sortino ratio
 Sortino ratio-0.417
 Upside Potential Ratio3.235
 Upside part of mean0.173
 Downside part of mean-0.196
 Upside SD0.051
 Downside SD0.054
 N nonnegative terms110.000
 N negative terms1238.000
Statistics related to linear regression on benchmark
 N of observations1348.000
 Mean of predictor0.087
 Mean of criterion-0.022
 SD of predictor0.125
 SD of criterion0.074
 Covariance0.001
 r0.079
 b (slope, estimate of beta)0.047
 a (intercept, estimate of alpha)-0.026
 Mean Square Error0.005
 DF error1346.000
 t(b)2.916
 p(b)0.460
 t(a)-0.709
 p(a)0.510
 Lowerbound of 95% confidence interval for beta0.015
 Upperbound of 95% confidence interval for beta0.078
 Lowerbound of 95% confidence interval for alpha-0.099
 Upperbound of 95% confidence interval for alpha0.047
 Treynor index (mean / b)-0.478
 Jensen alpha (a)-0.026
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.007
 Expected Shortfall on VaR0.008
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.002
 Expected Shortfall on VaR0.004
ORDER STATISTICS
Quartiles of return rates
 Number of observations1348.000
 Minimum0.963
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.037
 Mean of quarter 10.998
 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 low0.052
 Mean of outliers low0.991
 Number of outliers high111.000
 Percentage of outliers high0.082
 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)0.001
 Expected Shortfall (moments method)0.003
 Extreme Value Index (regression method)0.070
 VaR(95%) (regression method)0.000
 Expected Shortfall (regression method)0.006
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)0.023
 Compounded annual return (geometric extrapolation)0.022
 Calmar ratio (compounded annual return / max draw down)0.166
 Compounded annual return / average of 25% largest draw downs0.189
 Compounded annual return / Expected Shortfall lognormal2.659
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 predictor-0.114
 Mean of criterion-0.044
 SD of predictor0.148
 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 predictor-0.125
 Mean of criterion-0.044
 SD of predictor0.148
 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)-5589740196101681.000
 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)-116924555741353558203784224571392.000
 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-0.020
 SD0.074
 Sharpe ratio (Glass type estimate) -0.265
 Sharpe ratio (Hedges UMVUE)-0.261
 df46.000
 t-0.524
 p0.699
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.255
 Upperbound of 95% confidence interval for Sharpe Ratio0.728
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.252
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.731
Statistics related to Sortino ratio
 Sortino ratio-0.394
 Upside Potential Ratio1.140
 Upside part of mean0.057
 Downside part of mean-0.077
 Upside SD0.054
 Downside SD0.050
 N nonnegative terms5.000
 N negative terms42.000
Statistics related to linear regression on benchmark
 N of observations47.000
 Mean of predictor0.093
 Mean of criterion-0.020
 SD of predictor0.099
 SD of criterion0.074
 Covariance0.001
 r0.138
 b (slope, estimate of beta)0.104
 a (intercept, estimate of alpha)-0.029
 Mean Square Error0.006
 DF error45.000
 t(b)0.935
 p(b)0.177
 t(a)-0.753
 p(a)0.772
 Lowerbound of 95% confidence interval for beta-0.120
 Upperbound of 95% confidence interval for beta0.328
 Lowerbound of 95% confidence interval for alpha-0.108
 Upperbound of 95% confidence interval for alpha0.049
 Treynor index (mean / b)-0.189
 Jensen alpha (a)-0.029
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.022
 SD0.074
 Sharpe ratio (Glass type estimate) -0.302
 Sharpe ratio (Hedges UMVUE)-0.297
 df46.000
 t-0.597
 p0.723
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.292
 Upperbound of 95% confidence interval for Sharpe Ratio0.692
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.289
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.695
Statistics related to Sortino ratio
 Sortino ratio-0.435
 Upside Potential Ratio1.078
 Upside part of mean0.055
 Downside part of mean-0.078
 Upside SD0.053
 Downside SD0.051
 N nonnegative terms5.000
 N negative terms42.000
Statistics related to linear regression on benchmark
 N of observations47.000
 Mean of predictor0.088
 Mean of criterion-0.022
 SD of predictor0.098
 SD of criterion0.074
 Covariance0.001
 r0.143
 b (slope, estimate of beta)0.108
 a (intercept, estimate of alpha)-0.032
 Mean Square Error0.005
 DF error45.000
 t(b)0.966
 p(b)0.170
 t(a)-0.821
 p(a)0.792
 Lowerbound of 95% confidence interval for beta-0.117
 Upperbound of 95% confidence interval for beta0.332
 Lowerbound of 95% confidence interval for alpha-0.110
 Upperbound of 95% confidence interval for alpha0.046
 Treynor index (mean / b)-0.207
 Jensen alpha (a)-0.032
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.036
 Expected Shortfall on VaR0.045
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.021
 Expected Shortfall on VaR0.040
ORDER STATISTICS
Quartiles of return rates
 Number of observations47.000
 Minimum0.930
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.074
 Mean of quarter 10.988
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.020
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.064
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.128
 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)0.044
 Expected Shortfall (regression method)0.070
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)0.023
 Compounded annual return (geometric extrapolation)0.022
 Calmar ratio (compounded annual return / max draw down)0.315
 Compounded annual return / average of 25% largest draw downs0.315
 Compounded annual return / Expected Shortfall lognormal0.489
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.020
 SD0.074
 Sharpe ratio (Glass type estimate) -0.266
 Sharpe ratio (Hedges UMVUE)-0.266
 df1347.000
 t-0.526
 p0.509
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.256
 Upperbound of 95% confidence interval for Sharpe Ratio0.724
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.256
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.725
Statistics related to Sortino ratio
 Sortino ratio-0.371
 Upside Potential Ratio3.300
 Upside part of mean0.175
 Downside part of mean-0.194
 Upside SD0.051
 Downside SD0.053
 N nonnegative terms110.000
 N negative terms1238.000
Statistics related to linear regression on benchmark
 N of observations1348.000
 Mean of predictor0.095
 Mean of criterion-0.020
 SD of predictor0.125
 SD of criterion0.074
 Covariance0.001
 r0.079
 b (slope, estimate of beta)0.047
 a (intercept, estimate of alpha)-0.024
 Mean Square Error0.005
 DF error1346.000
 t(b)2.921
 p(b)0.460
 t(a)-0.647
 p(a)0.509
 Lowerbound of 95% confidence interval for beta0.015
 Upperbound of 95% confidence interval for beta0.078
 Lowerbound of 95% confidence interval for alpha-0.097
 Upperbound of 95% confidence interval for alpha0.049
 Treynor index (mean / b)-0.420
 Jensen alpha (a)-0.024
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.022
 SD0.074
 Sharpe ratio (Glass type estimate) -0.302
 Sharpe ratio (Hedges UMVUE)-0.302
 df1347.000
 t-0.598
 p0.510
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.292
 Upperbound of 95% confidence interval for Sharpe Ratio0.688
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.292
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.688
Statistics related to Sortino ratio
 Sortino ratio-0.417
 Upside Potential Ratio3.235
 Upside part of mean0.173
 Downside part of mean-0.196
 Upside SD0.051
 Downside SD0.054
 N nonnegative terms110.000
 N negative terms1238.000
Statistics related to linear regression on benchmark
 N of observations1348.000
 Mean of predictor0.087
 Mean of criterion-0.022
 SD of predictor0.125
 SD of criterion0.074
 Covariance0.001
 r0.079
 b (slope, estimate of beta)0.047
 a (intercept, estimate of alpha)-0.026
 Mean Square Error0.005
 DF error1346.000
 t(b)2.916
 p(b)0.460
 t(a)-0.709
 p(a)0.510
 Lowerbound of 95% confidence interval for beta0.015
 Upperbound of 95% confidence interval for beta0.078
 Lowerbound of 95% confidence interval for alpha-0.099
 Upperbound of 95% confidence interval for alpha0.047
 Treynor index (mean / b)-0.478
 Jensen alpha (a)-0.026
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.007
 Expected Shortfall on VaR0.008
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.002
 Expected Shortfall on VaR0.004
ORDER STATISTICS
Quartiles of return rates
 Number of observations1348.000
 Minimum0.963
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.037
 Mean of quarter 10.998
 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 low0.052
 Mean of outliers low0.991
 Number of outliers high111.000
 Percentage of outliers high0.082
 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)0.001
 Expected Shortfall (moments method)0.003
 Extreme Value Index (regression method)0.070
 VaR(95%) (regression method)0.000
 Expected Shortfall (regression method)0.006
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)0.023
 Compounded annual return (geometric extrapolation)0.022
 Calmar ratio (compounded annual return / max draw down)0.166
 Compounded annual return / average of 25% largest draw downs0.189
 Compounded annual return / Expected Shortfall lognormal2.659
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 predictor-0.114
 Mean of criterion-0.044
 SD of predictor0.148
 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 predictor-0.125
 Mean of criterion-0.044
 SD of predictor0.148
 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)-5589740196101681.000
 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)-116924555741353558203784224571392.000
 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