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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) -0.372
 Sharpe ratio (Hedges UMVUE)-0.367
 df58.000
 t-0.825
 p0.794
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.257
 Upperbound of 95% confidence interval for Sharpe Ratio0.516
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.254
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.519
Statistics related to Sortino ratio
 Sortino ratio-0.549
 Upside Potential Ratio1.009
 Upside part of mean0.045
 Downside part of mean-0.070
 Upside SD0.048
 Downside SD0.045
 N nonnegative terms5.000
 N negative terms54.000
Statistics related to linear regression on benchmark
 N of observations59.000
 Mean of predictor0.085
 Mean of criterion-0.025
 SD of predictor0.108
 SD of criterion0.066
 Covariance0.001
 r0.114
 b (slope, estimate of beta)0.070
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error57.000
 t(b)0.868
 p(b)0.195
 t(a)-0.997
 p(a)0.838
 Lowerbound of 95% confidence interval for beta-0.092
 Upperbound of 95% confidence interval for beta0.232
 Lowerbound of 95% confidence interval for alpha-0.092
 Upperbound of 95% confidence interval for alpha0.031
 Treynor index (mean / b)-0.352
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.066
 Sharpe ratio (Glass type estimate) -0.405
 Sharpe ratio (Hedges UMVUE)-0.400
 df58.000
 t-0.899
 p0.814
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.291
 Upperbound of 95% confidence interval for Sharpe Ratio0.483
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.287
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.487
Statistics related to Sortino ratio
 Sortino ratio-0.579
 Upside Potential Ratio0.955
 Upside part of mean0.044
 Downside part of mean-0.071
 Upside SD0.047
 Downside SD0.046
 N nonnegative terms5.000
 N negative terms54.000
Statistics related to linear regression on benchmark
 N of observations59.000
 Mean of predictor0.079
 Mean of criterion-0.027
 SD of predictor0.107
 SD of criterion0.066
 Covariance0.001
 r0.118
 b (slope, estimate of beta)0.072
 a (intercept, estimate of alpha)-0.032
 Mean Square Error0.004
 DF error57.000
 t(b)0.894
 p(b)0.188
 t(a)-1.064
 p(a)0.854
 Lowerbound of 95% confidence interval for beta-0.090
 Upperbound of 95% confidence interval for beta0.234
 Lowerbound of 95% confidence interval for alpha-0.093
 Upperbound of 95% confidence interval for alpha0.029
 Treynor index (mean / b)-0.370
 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%)0.033
 Expected Shortfall on VaR0.041
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 observations59.000
 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 low0.051
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.102
 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)0.028
 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)0.251
 Compounded annual return / average of 25% largest draw downs0.251
 Compounded annual return / Expected Shortfall lognormal0.429
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.025
 SD0.066
 Sharpe ratio (Glass type estimate) -0.373
 Sharpe ratio (Hedges UMVUE)-0.373
 df1692.000
 t-0.828
 p0.510
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.257
 Upperbound of 95% confidence interval for Sharpe Ratio0.510
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.257
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.510
Statistics related to Sortino ratio
 Sortino ratio-0.521
 Upside Potential Ratio2.944
 Upside part of mean0.139
 Downside part of mean-0.164
 Upside SD0.046
 Downside SD0.047
 N nonnegative terms110.000
 N negative terms1583.000
Statistics related to linear regression on benchmark
 N of observations1693.000
 Mean of predictor0.087
 Mean of criterion-0.025
 SD of predictor0.132
 SD of criterion0.066
 Covariance0.001
 r0.068
 b (slope, estimate of beta)0.034
 a (intercept, estimate of alpha)-0.028
 Mean Square Error0.004
 DF error1691.000
 t(b)2.786
 p(b)0.457
 t(a)-0.929
 p(a)0.514
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.058
 Lowerbound of 95% confidence interval for alpha-0.086
 Upperbound of 95% confidence interval for alpha0.031
 Treynor index (mean / b)-0.726
 Jensen alpha (a)-0.028
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.066
 Sharpe ratio (Glass type estimate) -0.406
 Sharpe ratio (Hedges UMVUE)-0.406
 df1692.000
 t-0.900
 p0.511
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.289
 Upperbound of 95% confidence interval for Sharpe Ratio0.478
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.289
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.478
Statistics related to Sortino ratio
 Sortino ratio-0.560
 Upside Potential Ratio2.886
 Upside part of mean0.138
 Downside part of mean-0.165
 Upside SD0.045
 Downside SD0.048
 N nonnegative terms110.000
 N negative terms1583.000
Statistics related to linear regression on benchmark
 N of observations1693.000
 Mean of predictor0.078
 Mean of criterion-0.027
 SD of predictor0.132
 SD of criterion0.066
 Covariance0.001
 r0.067
 b (slope, estimate of beta)0.034
 a (intercept, estimate of alpha)-0.029
 Mean Square Error0.004
 DF error1691.000
 t(b)2.779
 p(b)0.457
 t(a)-0.991
 p(a)0.515
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.058
 Lowerbound of 95% confidence interval for alpha-0.088
 Upperbound of 95% confidence interval for alpha0.029
 Treynor index (mean / b)-0.792
 Jensen alpha (a)-0.029
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 VaR0.004
ORDER STATISTICS
Quartiles of return rates
 Number of observations1693.000
 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 high0.066
 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)0.132
 Compounded annual return / average of 25% largest draw downs0.150
 Compounded annual return / Expected Shortfall lognormal2.360
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 predictor0.173
 Mean of criterion-0.044
 SD of predictor0.115
 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 predictor0.167
 Mean of criterion-0.044
 SD of predictor0.115
 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 error170.000
 t(b)-0.000
 p(b)0.500
 t(a)-5578557947439055.000
 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)20055803527798661695873208025088.000
 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) -0.372
 Sharpe ratio (Hedges UMVUE)-0.367
 df58.000
 t-0.825
 p0.794
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.257
 Upperbound of 95% confidence interval for Sharpe Ratio0.516
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.254
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.519
Statistics related to Sortino ratio
 Sortino ratio-0.549
 Upside Potential Ratio1.009
 Upside part of mean0.045
 Downside part of mean-0.070
 Upside SD0.048
 Downside SD0.045
 N nonnegative terms5.000
 N negative terms54.000
Statistics related to linear regression on benchmark
 N of observations59.000
 Mean of predictor0.085
 Mean of criterion-0.025
 SD of predictor0.108
 SD of criterion0.066
 Covariance0.001
 r0.114
 b (slope, estimate of beta)0.070
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error57.000
 t(b)0.868
 p(b)0.195
 t(a)-0.997
 p(a)0.838
 Lowerbound of 95% confidence interval for beta-0.092
 Upperbound of 95% confidence interval for beta0.232
 Lowerbound of 95% confidence interval for alpha-0.092
 Upperbound of 95% confidence interval for alpha0.031
 Treynor index (mean / b)-0.352
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.066
 Sharpe ratio (Glass type estimate) -0.405
 Sharpe ratio (Hedges UMVUE)-0.400
 df58.000
 t-0.899
 p0.814
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.291
 Upperbound of 95% confidence interval for Sharpe Ratio0.483
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.287
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.487
Statistics related to Sortino ratio
 Sortino ratio-0.579
 Upside Potential Ratio0.955
 Upside part of mean0.044
 Downside part of mean-0.071
 Upside SD0.047
 Downside SD0.046
 N nonnegative terms5.000
 N negative terms54.000
Statistics related to linear regression on benchmark
 N of observations59.000
 Mean of predictor0.079
 Mean of criterion-0.027
 SD of predictor0.107
 SD of criterion0.066
 Covariance0.001
 r0.118
 b (slope, estimate of beta)0.072
 a (intercept, estimate of alpha)-0.032
 Mean Square Error0.004
 DF error57.000
 t(b)0.894
 p(b)0.188
 t(a)-1.064
 p(a)0.854
 Lowerbound of 95% confidence interval for beta-0.090
 Upperbound of 95% confidence interval for beta0.234
 Lowerbound of 95% confidence interval for alpha-0.093
 Upperbound of 95% confidence interval for alpha0.029
 Treynor index (mean / b)-0.370
 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%)0.033
 Expected Shortfall on VaR0.041
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 observations59.000
 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 low0.051
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.102
 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)0.028
 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)0.251
 Compounded annual return / average of 25% largest draw downs0.251
 Compounded annual return / Expected Shortfall lognormal0.429
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.025
 SD0.066
 Sharpe ratio (Glass type estimate) -0.373
 Sharpe ratio (Hedges UMVUE)-0.373
 df1692.000
 t-0.828
 p0.510
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.257
 Upperbound of 95% confidence interval for Sharpe Ratio0.510
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.257
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.510
Statistics related to Sortino ratio
 Sortino ratio-0.521
 Upside Potential Ratio2.944
 Upside part of mean0.139
 Downside part of mean-0.164
 Upside SD0.046
 Downside SD0.047
 N nonnegative terms110.000
 N negative terms1583.000
Statistics related to linear regression on benchmark
 N of observations1693.000
 Mean of predictor0.087
 Mean of criterion-0.025
 SD of predictor0.132
 SD of criterion0.066
 Covariance0.001
 r0.068
 b (slope, estimate of beta)0.034
 a (intercept, estimate of alpha)-0.028
 Mean Square Error0.004
 DF error1691.000
 t(b)2.786
 p(b)0.457
 t(a)-0.929
 p(a)0.514
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.058
 Lowerbound of 95% confidence interval for alpha-0.086
 Upperbound of 95% confidence interval for alpha0.031
 Treynor index (mean / b)-0.726
 Jensen alpha (a)-0.028
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.066
 Sharpe ratio (Glass type estimate) -0.406
 Sharpe ratio (Hedges UMVUE)-0.406
 df1692.000
 t-0.900
 p0.511
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.289
 Upperbound of 95% confidence interval for Sharpe Ratio0.478
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.289
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.478
Statistics related to Sortino ratio
 Sortino ratio-0.560
 Upside Potential Ratio2.886
 Upside part of mean0.138
 Downside part of mean-0.165
 Upside SD0.045
 Downside SD0.048
 N nonnegative terms110.000
 N negative terms1583.000
Statistics related to linear regression on benchmark
 N of observations1693.000
 Mean of predictor0.078
 Mean of criterion-0.027
 SD of predictor0.132
 SD of criterion0.066
 Covariance0.001
 r0.067
 b (slope, estimate of beta)0.034
 a (intercept, estimate of alpha)-0.029
 Mean Square Error0.004
 DF error1691.000
 t(b)2.779
 p(b)0.457
 t(a)-0.991
 p(a)0.515
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.058
 Lowerbound of 95% confidence interval for alpha-0.088
 Upperbound of 95% confidence interval for alpha0.029
 Treynor index (mean / b)-0.792
 Jensen alpha (a)-0.029
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 VaR0.004
ORDER STATISTICS
Quartiles of return rates
 Number of observations1693.000
 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 high0.066
 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)0.132
 Compounded annual return / average of 25% largest draw downs0.150
 Compounded annual return / Expected Shortfall lognormal2.360
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 predictor0.173
 Mean of criterion-0.044
 SD of predictor0.115
 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 predictor0.167
 Mean of criterion-0.044
 SD of predictor0.115
 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 error170.000
 t(b)-0.000
 p(b)0.500
 t(a)-5578557947439055.000
 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)20055803527798661695873208025088.000
 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