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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-0.027
 SD0.071
 Sharpe ratio (Glass type estimate) -0.378
 Sharpe ratio (Hedges UMVUE)-0.374
 df68.000
 t-0.907
 p0.816
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.197
 Upperbound of 95% confidence interval for Sharpe Ratio0.443
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.194
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.446
Statistics related to Sortino ratio
 Sortino ratio-0.584
 Upside Potential Ratio0.837
 Upside part of mean0.038
 Downside part of mean-0.065
 Upside SD0.054
 Downside SD0.046
 N nonnegative terms5.000
 N negative terms64.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.095
 Mean of criterion-0.027
 SD of predictor0.105
 SD of criterion0.071
 Covariance-0.000
 r-0.050
 b (slope, estimate of beta)-0.034
 a (intercept, estimate of alpha)-0.024
 Mean Square Error0.005
 DF error67.000
 t(b)-0.412
 p(b)0.659
 t(a)-0.767
 p(a)0.777
 Lowerbound of 95% confidence interval for beta-0.198
 Upperbound of 95% confidence interval for beta0.130
 Lowerbound of 95% confidence interval for alpha-0.085
 Upperbound of 95% confidence interval for alpha0.038
 Treynor index (mean / b)0.793
 Jensen alpha (a)-0.024
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.070
 Sharpe ratio (Glass type estimate) -0.416
 Sharpe ratio (Hedges UMVUE)-0.411
 df68.000
 t-0.997
 p0.839
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.235
 Upperbound of 95% confidence interval for Sharpe Ratio0.406
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.232
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.409
Statistics related to Sortino ratio
 Sortino ratio-0.614
 Upside Potential Ratio0.777
 Upside part of mean0.037
 Downside part of mean-0.066
 Upside SD0.052
 Downside SD0.048
 N nonnegative terms5.000
 N negative terms64.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.089
 Mean of criterion-0.029
 SD of predictor0.106
 SD of criterion0.070
 Covariance-0.000
 r-0.047
 b (slope, estimate of beta)-0.031
 a (intercept, estimate of alpha)-0.026
 Mean Square Error0.005
 DF error67.000
 t(b)-0.386
 p(b)0.650
 t(a)-0.871
 p(a)0.807
 Lowerbound of 95% confidence interval for beta-0.193
 Upperbound of 95% confidence interval for beta0.131
 Lowerbound of 95% confidence interval for alpha-0.087
 Upperbound of 95% confidence interval for alpha0.034
 Treynor index (mean / b)0.932
 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%)0.035
 Expected Shortfall on VaR0.043
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.018
 Expected Shortfall on VaR0.036
ORDER STATISTICS
Quartiles of return rates
 Number of observations69.000
 Minimum0.914
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.104
 Mean of quarter 10.992
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.014
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.043
 Mean of outliers low0.953
 Number of outliers high5.000
 Percentage of outliers high0.072
 Mean of outliers high1.048
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-162.822
 VaR(95%) (moments method)-1475534067345187561360889773994016768.000
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.729
 VaR(95%) (regression method)-0.037
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.001
 Quartile 10.027
 Median0.054
 Quartile 30.070
 Maximum0.086
 Mean of quarter 10.001
 Mean of quarter 20.054
 Mean of quarter 3NA
 Mean of quarter 40.086
 Inter Quartile Range0.042
 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)0.015
 Compounded annual return (geometric extrapolation)0.015
 Calmar ratio (compounded annual return / max draw down)0.174
 Compounded annual return / average of 25% largest draw downs0.174
 Compounded annual return / Expected Shortfall lognormal0.344
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.060
 Sharpe ratio (Glass type estimate) -0.456
 Sharpe ratio (Hedges UMVUE)-0.456
 df1516.000
 t-1.098
 p0.514
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.271
 Upperbound of 95% confidence interval for Sharpe Ratio0.359
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.271
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.359
Statistics related to Sortino ratio
 Sortino ratio-0.640
 Upside Potential Ratio2.637
 Upside part of mean0.113
 Downside part of mean-0.141
 Upside SD0.042
 Downside SD0.043
 N nonnegative terms93.000
 N negative terms1424.000
Statistics related to linear regression on benchmark
 N of observations1517.000
 Mean of predictor0.098
 Mean of criterion-0.028
 SD of predictor0.126
 SD of criterion0.060
 Covariance0.000
 r0.064
 b (slope, estimate of beta)0.031
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error1515.000
 t(b)2.504
 p(b)0.459
 t(a)-1.218
 p(a)0.520
 Lowerbound of 95% confidence interval for beta0.007
 Upperbound of 95% confidence interval for beta0.055
 Lowerbound of 95% confidence interval for alpha-0.080
 Upperbound of 95% confidence interval for alpha0.019
 Treynor index (mean / b)-0.898
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.060
 Sharpe ratio (Glass type estimate) -0.486
 Sharpe ratio (Hedges UMVUE)-0.486
 df1516.000
 t-1.170
 p0.515
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.301
 Upperbound of 95% confidence interval for Sharpe Ratio0.329
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.300
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.329
Statistics related to Sortino ratio
 Sortino ratio-0.674
 Upside Potential Ratio2.584
 Upside part of mean0.113
 Downside part of mean-0.142
 Upside SD0.042
 Downside SD0.044
 N nonnegative terms93.000
 N negative terms1424.000
Statistics related to linear regression on benchmark
 N of observations1517.000
 Mean of predictor0.090
 Mean of criterion-0.029
 SD of predictor0.126
 SD of criterion0.060
 Covariance0.000
 r0.064
 b (slope, estimate of beta)0.031
 a (intercept, estimate of alpha)-0.032
 Mean Square Error0.004
 DF error1515.000
 t(b)2.496
 p(b)0.459
 t(a)-1.280
 p(a)0.521
 Lowerbound of 95% confidence interval for beta0.007
 Upperbound of 95% confidence interval for beta0.055
 Lowerbound of 95% confidence interval for alpha-0.081
 Upperbound of 95% confidence interval for alpha0.017
 Treynor index (mean / b)-0.960
 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%)0.006
 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 observations1517.000
 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 low63.000
 Percentage of outliers low0.042
 Mean of outliers low0.991
 Number of outliers high93.000
 Percentage of outliers high0.061
 Mean of outliers high1.007
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.154
 VaR(95%) (moments method)0.000
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.018
 VaR(95%) (regression method)-0.000
 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 40.111
 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)-0.276
 VaR(95%) (moments method)0.118
 Expected Shortfall (moments method)0.133
 Extreme Value Index (regression method)1.495
 VaR(95%) (regression method)0.156
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.015
 Compounded annual return (geometric extrapolation)0.015
 Calmar ratio (compounded annual return / max draw down)0.112
 Compounded annual return / average of 25% largest draw downs0.133
 Compounded annual return / Expected Shortfall lognormal1.902
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 predictor0.137
 Mean of criterion-0.044
 SD of predictor0.070
 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 predictor0.134
 Mean of criterion-0.044
 SD of predictor0.070
 SD of criterion0.000
 Covariance-0.000
 r-0.000
 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)-8738460066074125.000
 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)31650518250241477164739489431552.000
 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: 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-0.027
 SD0.071
 Sharpe ratio (Glass type estimate) -0.378
 Sharpe ratio (Hedges UMVUE)-0.374
 df68.000
 t-0.907
 p0.816
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.197
 Upperbound of 95% confidence interval for Sharpe Ratio0.443
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.194
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.446
Statistics related to Sortino ratio
 Sortino ratio-0.584
 Upside Potential Ratio0.837
 Upside part of mean0.038
 Downside part of mean-0.065
 Upside SD0.054
 Downside SD0.046
 N nonnegative terms5.000
 N negative terms64.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.095
 Mean of criterion-0.027
 SD of predictor0.105
 SD of criterion0.071
 Covariance-0.000
 r-0.050
 b (slope, estimate of beta)-0.034
 a (intercept, estimate of alpha)-0.024
 Mean Square Error0.005
 DF error67.000
 t(b)-0.412
 p(b)0.659
 t(a)-0.767
 p(a)0.777
 Lowerbound of 95% confidence interval for beta-0.198
 Upperbound of 95% confidence interval for beta0.130
 Lowerbound of 95% confidence interval for alpha-0.085
 Upperbound of 95% confidence interval for alpha0.038
 Treynor index (mean / b)0.793
 Jensen alpha (a)-0.024
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.070
 Sharpe ratio (Glass type estimate) -0.416
 Sharpe ratio (Hedges UMVUE)-0.411
 df68.000
 t-0.997
 p0.839
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.235
 Upperbound of 95% confidence interval for Sharpe Ratio0.406
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.232
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.409
Statistics related to Sortino ratio
 Sortino ratio-0.614
 Upside Potential Ratio0.777
 Upside part of mean0.037
 Downside part of mean-0.066
 Upside SD0.052
 Downside SD0.048
 N nonnegative terms5.000
 N negative terms64.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.089
 Mean of criterion-0.029
 SD of predictor0.106
 SD of criterion0.070
 Covariance-0.000
 r-0.047
 b (slope, estimate of beta)-0.031
 a (intercept, estimate of alpha)-0.026
 Mean Square Error0.005
 DF error67.000
 t(b)-0.386
 p(b)0.650
 t(a)-0.871
 p(a)0.807
 Lowerbound of 95% confidence interval for beta-0.193
 Upperbound of 95% confidence interval for beta0.131
 Lowerbound of 95% confidence interval for alpha-0.087
 Upperbound of 95% confidence interval for alpha0.034
 Treynor index (mean / b)0.932
 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%)0.035
 Expected Shortfall on VaR0.043
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.018
 Expected Shortfall on VaR0.036
ORDER STATISTICS
Quartiles of return rates
 Number of observations69.000
 Minimum0.914
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.104
 Mean of quarter 10.992
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.014
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.043
 Mean of outliers low0.953
 Number of outliers high5.000
 Percentage of outliers high0.072
 Mean of outliers high1.048
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-162.822
 VaR(95%) (moments method)-1475534067345187561360889773994016768.000
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.729
 VaR(95%) (regression method)-0.037
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.001
 Quartile 10.027
 Median0.054
 Quartile 30.070
 Maximum0.086
 Mean of quarter 10.001
 Mean of quarter 20.054
 Mean of quarter 3NA
 Mean of quarter 40.086
 Inter Quartile Range0.042
 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)0.015
 Compounded annual return (geometric extrapolation)0.015
 Calmar ratio (compounded annual return / max draw down)0.174
 Compounded annual return / average of 25% largest draw downs0.174
 Compounded annual return / Expected Shortfall lognormal0.344
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.060
 Sharpe ratio (Glass type estimate) -0.456
 Sharpe ratio (Hedges UMVUE)-0.456
 df1516.000
 t-1.098
 p0.514
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.271
 Upperbound of 95% confidence interval for Sharpe Ratio0.359
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.271
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.359
Statistics related to Sortino ratio
 Sortino ratio-0.640
 Upside Potential Ratio2.637
 Upside part of mean0.113
 Downside part of mean-0.141
 Upside SD0.042
 Downside SD0.043
 N nonnegative terms93.000
 N negative terms1424.000
Statistics related to linear regression on benchmark
 N of observations1517.000
 Mean of predictor0.098
 Mean of criterion-0.028
 SD of predictor0.126
 SD of criterion0.060
 Covariance0.000
 r0.064
 b (slope, estimate of beta)0.031
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error1515.000
 t(b)2.504
 p(b)0.459
 t(a)-1.218
 p(a)0.520
 Lowerbound of 95% confidence interval for beta0.007
 Upperbound of 95% confidence interval for beta0.055
 Lowerbound of 95% confidence interval for alpha-0.080
 Upperbound of 95% confidence interval for alpha0.019
 Treynor index (mean / b)-0.898
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.060
 Sharpe ratio (Glass type estimate) -0.486
 Sharpe ratio (Hedges UMVUE)-0.486
 df1516.000
 t-1.170
 p0.515
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.301
 Upperbound of 95% confidence interval for Sharpe Ratio0.329
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.300
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.329
Statistics related to Sortino ratio
 Sortino ratio-0.674
 Upside Potential Ratio2.584
 Upside part of mean0.113
 Downside part of mean-0.142
 Upside SD0.042
 Downside SD0.044
 N nonnegative terms93.000
 N negative terms1424.000
Statistics related to linear regression on benchmark
 N of observations1517.000
 Mean of predictor0.090
 Mean of criterion-0.029
 SD of predictor0.126
 SD of criterion0.060
 Covariance0.000
 r0.064
 b (slope, estimate of beta)0.031
 a (intercept, estimate of alpha)-0.032
 Mean Square Error0.004
 DF error1515.000
 t(b)2.496
 p(b)0.459
 t(a)-1.280
 p(a)0.521
 Lowerbound of 95% confidence interval for beta0.007
 Upperbound of 95% confidence interval for beta0.055
 Lowerbound of 95% confidence interval for alpha-0.081
 Upperbound of 95% confidence interval for alpha0.017
 Treynor index (mean / b)-0.960
 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%)0.006
 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 observations1517.000
 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 low63.000
 Percentage of outliers low0.042
 Mean of outliers low0.991
 Number of outliers high93.000
 Percentage of outliers high0.061
 Mean of outliers high1.007
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.154
 VaR(95%) (moments method)0.000
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.018
 VaR(95%) (regression method)-0.000
 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 40.111
 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)-0.276
 VaR(95%) (moments method)0.118
 Expected Shortfall (moments method)0.133
 Extreme Value Index (regression method)1.495
 VaR(95%) (regression method)0.156
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.015
 Compounded annual return (geometric extrapolation)0.015
 Calmar ratio (compounded annual return / max draw down)0.112
 Compounded annual return / average of 25% largest draw downs0.133
 Compounded annual return / Expected Shortfall lognormal1.902
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 predictor0.137
 Mean of criterion-0.044
 SD of predictor0.070
 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 predictor0.134
 Mean of criterion-0.044
 SD of predictor0.070
 SD of criterion0.000
 Covariance-0.000
 r-0.000
 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)-8738460066074125.000
 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)31650518250241477164739489431552.000
 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