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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-0.026
 SD0.074
 Sharpe ratio (Glass type estimate) -0.346
 Sharpe ratio (Hedges UMVUE)-0.342
 df63.000
 t-0.798
 p0.786
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.195
 Upperbound of 95% confidence interval for Sharpe Ratio0.506
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.192
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.509
Statistics related to Sortino ratio
 Sortino ratio-0.536
 Upside Potential Ratio0.872
 Upside part of mean0.042
 Downside part of mean-0.067
 Upside SD0.056
 Downside SD0.048
 N nonnegative terms5.000
 N negative terms59.000
Statistics related to linear regression on benchmark
 N of observations64.000
 Mean of predictor0.094
 Mean of criterion-0.026
 SD of predictor0.108
 SD of criterion0.074
 Covariance-0.000
 r-0.051
 b (slope, estimate of beta)-0.035
 a (intercept, estimate of alpha)-0.022
 Mean Square Error0.006
 DF error62.000
 t(b)-0.400
 p(b)0.655
 t(a)-0.670
 p(a)0.747
 Lowerbound of 95% confidence interval for beta-0.208
 Upperbound of 95% confidence interval for beta0.138
 Lowerbound of 95% confidence interval for alpha-0.089
 Upperbound of 95% confidence interval for alpha0.044
 Treynor index (mean / b)0.737
 Jensen alpha (a)-0.022
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.073
 Sharpe ratio (Glass type estimate) -0.385
 Sharpe ratio (Hedges UMVUE)-0.380
 df63.000
 t-0.888
 p0.811
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.234
 Upperbound of 95% confidence interval for Sharpe Ratio0.468
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.231
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.471
Statistics related to Sortino ratio
 Sortino ratio-0.569
 Upside Potential Ratio0.808
 Upside part of mean0.040
 Downside part of mean-0.068
 Upside SD0.054
 Downside SD0.049
 N nonnegative terms5.000
 N negative terms59.000
Statistics related to linear regression on benchmark
 N of observations64.000
 Mean of predictor0.088
 Mean of criterion-0.028
 SD of predictor0.108
 SD of criterion0.073
 Covariance-0.000
 r-0.048
 b (slope, estimate of beta)-0.032
 a (intercept, estimate of alpha)-0.025
 Mean Square Error0.005
 DF error62.000
 t(b)-0.375
 p(b)0.645
 t(a)-0.773
 p(a)0.779
 Lowerbound of 95% confidence interval for beta-0.203
 Upperbound of 95% confidence interval for beta0.139
 Lowerbound of 95% confidence interval for alpha-0.091
 Upperbound of 95% confidence interval for alpha0.040
 Treynor index (mean / b)0.878
 Jensen alpha (a)-0.025
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%)0.018
 Expected Shortfall on VaR0.036
ORDER STATISTICS
Quartiles of return rates
 Number of observations64.000
 Minimum0.914
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.104
 Mean of quarter 10.991
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.015
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.047
 Mean of outliers low0.953
 Number of outliers high5.000
 Percentage of outliers high0.078
 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)-7074383814270332308512657375232.000
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.729
 VaR(95%) (regression method)-0.017
 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)0.017
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.187
 Compounded annual return / average of 25% largest draw downs0.187
 Compounded annual return / Expected Shortfall lognormal0.359
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.026
 SD0.063
 Sharpe ratio (Glass type estimate) -0.419
 Sharpe ratio (Hedges UMVUE)-0.419
 df1407.000
 t-0.972
 p0.516
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.265
 Upperbound of 95% confidence interval for Sharpe Ratio0.427
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.265
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.427
Statistics related to Sortino ratio
 Sortino ratio-0.588
 Upside Potential Ratio2.738
 Upside part of mean0.122
 Downside part of mean-0.148
 Upside SD0.044
 Downside SD0.045
 N nonnegative terms93.000
 N negative terms1315.000
Statistics related to linear regression on benchmark
 N of observations1408.000
 Mean of predictor0.095
 Mean of criterion-0.026
 SD of predictor0.130
 SD of criterion0.063
 Covariance0.001
 r0.065
 b (slope, estimate of beta)0.031
 a (intercept, estimate of alpha)-0.029
 Mean Square Error0.004
 DF error1406.000
 t(b)2.438
 p(b)0.468
 t(a)-1.082
 p(a)0.514
 Lowerbound of 95% confidence interval for beta0.006
 Upperbound of 95% confidence interval for beta0.056
 Lowerbound of 95% confidence interval for alpha-0.082
 Upperbound of 95% confidence interval for alpha0.024
 Treynor index (mean / b)-0.839
 Jensen alpha (a)-0.029
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.063
 Sharpe ratio (Glass type estimate) -0.450
 Sharpe ratio (Hedges UMVUE)-0.450
 df1407.000
 t-1.043
 p0.518
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.296
 Upperbound of 95% confidence interval for Sharpe Ratio0.396
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.295
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.396
Statistics related to Sortino ratio
 Sortino ratio-0.624
 Upside Potential Ratio2.682
 Upside part of mean0.121
 Downside part of mean-0.149
 Upside SD0.043
 Downside SD0.045
 N nonnegative terms93.000
 N negative terms1315.000
Statistics related to linear regression on benchmark
 N of observations1408.000
 Mean of predictor0.086
 Mean of criterion-0.028
 SD of predictor0.130
 SD of criterion0.063
 Covariance0.001
 r0.065
 b (slope, estimate of beta)0.031
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error1406.000
 t(b)2.429
 p(b)0.468
 t(a)-1.144
 p(a)0.515
 Lowerbound of 95% confidence interval for beta0.006
 Upperbound of 95% confidence interval for beta0.056
 Lowerbound of 95% confidence interval for alpha-0.084
 Upperbound of 95% confidence interval for alpha0.022
 Treynor index (mean / b)-0.904
 Jensen alpha (a)-0.031
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 observations1408.000
 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 low0.045
 Mean of outliers low0.991
 Number of outliers high93.000
 Percentage of outliers high0.066
 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)0.001
 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)0.017
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.121
 Compounded annual return / average of 25% largest draw downs0.144
 Compounded annual return / Expected Shortfall lognormal1.978
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 predictor0.149
 Mean of criterion-0.044
 SD of predictor0.072
 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 predictor0.146
 Mean of criterion-0.044
 SD of predictor0.072
 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)-8731068733109549.000
 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)12564731024217334391676979904512.000
 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-0.026
 SD0.074
 Sharpe ratio (Glass type estimate) -0.346
 Sharpe ratio (Hedges UMVUE)-0.342
 df63.000
 t-0.798
 p0.786
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.195
 Upperbound of 95% confidence interval for Sharpe Ratio0.506
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.192
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.509
Statistics related to Sortino ratio
 Sortino ratio-0.536
 Upside Potential Ratio0.872
 Upside part of mean0.042
 Downside part of mean-0.067
 Upside SD0.056
 Downside SD0.048
 N nonnegative terms5.000
 N negative terms59.000
Statistics related to linear regression on benchmark
 N of observations64.000
 Mean of predictor0.094
 Mean of criterion-0.026
 SD of predictor0.108
 SD of criterion0.074
 Covariance-0.000
 r-0.051
 b (slope, estimate of beta)-0.035
 a (intercept, estimate of alpha)-0.022
 Mean Square Error0.006
 DF error62.000
 t(b)-0.400
 p(b)0.655
 t(a)-0.670
 p(a)0.747
 Lowerbound of 95% confidence interval for beta-0.208
 Upperbound of 95% confidence interval for beta0.138
 Lowerbound of 95% confidence interval for alpha-0.089
 Upperbound of 95% confidence interval for alpha0.044
 Treynor index (mean / b)0.737
 Jensen alpha (a)-0.022
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.073
 Sharpe ratio (Glass type estimate) -0.385
 Sharpe ratio (Hedges UMVUE)-0.380
 df63.000
 t-0.888
 p0.811
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.234
 Upperbound of 95% confidence interval for Sharpe Ratio0.468
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.231
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.471
Statistics related to Sortino ratio
 Sortino ratio-0.569
 Upside Potential Ratio0.808
 Upside part of mean0.040
 Downside part of mean-0.068
 Upside SD0.054
 Downside SD0.049
 N nonnegative terms5.000
 N negative terms59.000
Statistics related to linear regression on benchmark
 N of observations64.000
 Mean of predictor0.088
 Mean of criterion-0.028
 SD of predictor0.108
 SD of criterion0.073
 Covariance-0.000
 r-0.048
 b (slope, estimate of beta)-0.032
 a (intercept, estimate of alpha)-0.025
 Mean Square Error0.005
 DF error62.000
 t(b)-0.375
 p(b)0.645
 t(a)-0.773
 p(a)0.779
 Lowerbound of 95% confidence interval for beta-0.203
 Upperbound of 95% confidence interval for beta0.139
 Lowerbound of 95% confidence interval for alpha-0.091
 Upperbound of 95% confidence interval for alpha0.040
 Treynor index (mean / b)0.878
 Jensen alpha (a)-0.025
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%)0.018
 Expected Shortfall on VaR0.036
ORDER STATISTICS
Quartiles of return rates
 Number of observations64.000
 Minimum0.914
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.104
 Mean of quarter 10.991
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.015
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.047
 Mean of outliers low0.953
 Number of outliers high5.000
 Percentage of outliers high0.078
 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)-7074383814270332308512657375232.000
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.729
 VaR(95%) (regression method)-0.017
 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)0.017
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.187
 Compounded annual return / average of 25% largest draw downs0.187
 Compounded annual return / Expected Shortfall lognormal0.359
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.026
 SD0.063
 Sharpe ratio (Glass type estimate) -0.419
 Sharpe ratio (Hedges UMVUE)-0.419
 df1407.000
 t-0.972
 p0.516
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.265
 Upperbound of 95% confidence interval for Sharpe Ratio0.427
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.265
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.427
Statistics related to Sortino ratio
 Sortino ratio-0.588
 Upside Potential Ratio2.738
 Upside part of mean0.122
 Downside part of mean-0.148
 Upside SD0.044
 Downside SD0.045
 N nonnegative terms93.000
 N negative terms1315.000
Statistics related to linear regression on benchmark
 N of observations1408.000
 Mean of predictor0.095
 Mean of criterion-0.026
 SD of predictor0.130
 SD of criterion0.063
 Covariance0.001
 r0.065
 b (slope, estimate of beta)0.031
 a (intercept, estimate of alpha)-0.029
 Mean Square Error0.004
 DF error1406.000
 t(b)2.438
 p(b)0.468
 t(a)-1.082
 p(a)0.514
 Lowerbound of 95% confidence interval for beta0.006
 Upperbound of 95% confidence interval for beta0.056
 Lowerbound of 95% confidence interval for alpha-0.082
 Upperbound of 95% confidence interval for alpha0.024
 Treynor index (mean / b)-0.839
 Jensen alpha (a)-0.029
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.063
 Sharpe ratio (Glass type estimate) -0.450
 Sharpe ratio (Hedges UMVUE)-0.450
 df1407.000
 t-1.043
 p0.518
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.296
 Upperbound of 95% confidence interval for Sharpe Ratio0.396
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.295
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.396
Statistics related to Sortino ratio
 Sortino ratio-0.624
 Upside Potential Ratio2.682
 Upside part of mean0.121
 Downside part of mean-0.149
 Upside SD0.043
 Downside SD0.045
 N nonnegative terms93.000
 N negative terms1315.000
Statistics related to linear regression on benchmark
 N of observations1408.000
 Mean of predictor0.086
 Mean of criterion-0.028
 SD of predictor0.130
 SD of criterion0.063
 Covariance0.001
 r0.065
 b (slope, estimate of beta)0.031
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error1406.000
 t(b)2.429
 p(b)0.468
 t(a)-1.144
 p(a)0.515
 Lowerbound of 95% confidence interval for beta0.006
 Upperbound of 95% confidence interval for beta0.056
 Lowerbound of 95% confidence interval for alpha-0.084
 Upperbound of 95% confidence interval for alpha0.022
 Treynor index (mean / b)-0.904
 Jensen alpha (a)-0.031
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 observations1408.000
 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 low0.045
 Mean of outliers low0.991
 Number of outliers high93.000
 Percentage of outliers high0.066
 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)0.001
 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)0.017
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.121
 Compounded annual return / average of 25% largest draw downs0.144
 Compounded annual return / Expected Shortfall lognormal1.978
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 predictor0.149
 Mean of criterion-0.044
 SD of predictor0.072
 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 predictor0.146
 Mean of criterion-0.044
 SD of predictor0.072
 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)-8731068733109549.000
 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)12564731024217334391676979904512.000
 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