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-0.019
 SD0.076
 Sharpe ratio (Glass type estimate) -0.245
 Sharpe ratio (Hedges UMVUE)-0.241
 df44.000
 t-0.474
 p0.681
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.257
 Upperbound of 95% confidence interval for Sharpe Ratio0.770
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.254
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.773
Statistics related to Sortino ratio
 Sortino ratio-0.365
 Upside Potential Ratio1.167
 Upside part of mean0.059
 Downside part of mean-0.078
 Upside SD0.055
 Downside SD0.051
 N nonnegative terms5.000
 N negative terms40.000
Statistics related to linear regression on benchmark
 N of observations45.000
 Mean of predictor0.110
 Mean of criterion-0.019
 SD of predictor0.095
 SD of criterion0.076
 Covariance0.001
 r0.142
 b (slope, estimate of beta)0.114
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.006
 DF error43.000
 t(b)0.940
 p(b)0.176
 t(a)-0.751
 p(a)0.772
 Lowerbound of 95% confidence interval for beta-0.130
 Upperbound of 95% confidence interval for beta0.358
 Lowerbound of 95% confidence interval for alpha-0.115
 Upperbound of 95% confidence interval for alpha0.053
 Treynor index (mean / b)-0.163
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.021
 SD0.076
 Sharpe ratio (Glass type estimate) -0.282
 Sharpe ratio (Hedges UMVUE)-0.278
 df44.000
 t-0.547
 p0.706
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.295
 Upperbound of 95% confidence interval for Sharpe Ratio0.733
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.291
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.736
Statistics related to Sortino ratio
 Sortino ratio-0.408
 Upside Potential Ratio1.104
 Upside part of mean0.058
 Downside part of mean-0.079
 Upside SD0.054
 Downside SD0.052
 N nonnegative terms5.000
 N negative terms40.000
Statistics related to linear regression on benchmark
 N of observations45.000
 Mean of predictor0.105
 Mean of criterion-0.021
 SD of predictor0.094
 SD of criterion0.076
 Covariance0.001
 r0.148
 b (slope, estimate of beta)0.119
 a (intercept, estimate of alpha)-0.034
 Mean Square Error0.006
 DF error43.000
 t(b)0.980
 p(b)0.166
 t(a)-0.824
 p(a)0.793
 Lowerbound of 95% confidence interval for beta-0.126
 Upperbound of 95% confidence interval for beta0.365
 Lowerbound of 95% confidence interval for alpha-0.117
 Upperbound of 95% confidence interval for alpha0.049
 Treynor index (mean / b)-0.179
 Jensen alpha (a)-0.034
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.037
 Expected Shortfall on VaR0.046
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 observations45.000
 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 41.022
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.067
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.133
 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)0.046
 Expected Shortfall (regression method)0.071
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)0.024
 Compounded annual return (geometric extrapolation)0.023
 Calmar ratio (compounded annual return / max draw down)0.330
 Compounded annual return / average of 25% largest draw downs0.330
 Compounded annual return / Expected Shortfall lognormal0.502
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.019
 SD0.075
 Sharpe ratio (Glass type estimate) -0.246
 Sharpe ratio (Hedges UMVUE)-0.246
 df1291.000
 t-0.477
 p0.508
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.257
 Upperbound of 95% confidence interval for Sharpe Ratio0.765
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.257
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.765
Statistics related to Sortino ratio
 Sortino ratio-0.343
 Upside Potential Ratio3.371
 Upside part of mean0.182
 Downside part of mean-0.201
 Upside SD0.053
 Downside SD0.054
 N nonnegative terms110.000
 N negative terms1182.000
Statistics related to linear regression on benchmark
 N of observations1292.000
 Mean of predictor0.112
 Mean of criterion-0.019
 SD of predictor0.121
 SD of criterion0.075
 Covariance0.001
 r0.084
 b (slope, estimate of beta)0.053
 a (intercept, estimate of alpha)-0.024
 Mean Square Error0.006
 DF error1290.000
 t(b)3.032
 p(b)0.458
 t(a)-0.629
 p(a)0.509
 Lowerbound of 95% confidence interval for beta0.019
 Upperbound of 95% confidence interval for beta0.087
 Lowerbound of 95% confidence interval for alpha-0.101
 Upperbound of 95% confidence interval for alpha0.052
 Treynor index (mean / b)-0.353
 Jensen alpha (a)-0.024
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.021
 SD0.075
 Sharpe ratio (Glass type estimate) -0.284
 Sharpe ratio (Hedges UMVUE)-0.283
 df1291.000
 t-0.549
 p0.510
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.295
 Upperbound of 95% confidence interval for Sharpe Ratio0.728
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.295
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.728
Statistics related to Sortino ratio
 Sortino ratio-0.391
 Upside Potential Ratio3.305
 Upside part of mean0.181
 Downside part of mean-0.202
 Upside SD0.052
 Downside SD0.055
 N nonnegative terms110.000
 N negative terms1182.000
Statistics related to linear regression on benchmark
 N of observations1292.000
 Mean of predictor0.105
 Mean of criterion-0.021
 SD of predictor0.121
 SD of criterion0.075
 Covariance0.001
 r0.084
 b (slope, estimate of beta)0.053
 a (intercept, estimate of alpha)-0.027
 Mean Square Error0.006
 DF error1290.000
 t(b)3.028
 p(b)0.458
 t(a)-0.692
 p(a)0.510
 Lowerbound of 95% confidence interval for beta0.019
 Upperbound of 95% confidence interval for beta0.087
 Lowerbound of 95% confidence interval for alpha-0.103
 Upperbound of 95% confidence interval for alpha0.049
 Treynor index (mean / b)-0.407
 Jensen alpha (a)-0.027
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 observations1292.000
 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 low0.054
 Mean of outliers low0.991
 Number of outliers high111.000
 Percentage of outliers high0.086
 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)0.001
 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)0.024
 Compounded annual return (geometric extrapolation)0.023
 Calmar ratio (compounded annual return / max draw down)0.174
 Compounded annual return / average of 25% largest draw downs0.197
 Compounded annual return / Expected Shortfall lognormal2.719
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-0.007
 Mean of criterion-0.044
 SD of predictor0.113
 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-0.013
 Mean of criterion-0.044
 SD of predictor0.113
 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)-5595436919503241.000
 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)-68692246940463822112892733358080.000
 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-0.019
 SD0.076
 Sharpe ratio (Glass type estimate) -0.245
 Sharpe ratio (Hedges UMVUE)-0.241
 df44.000
 t-0.474
 p0.681
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.257
 Upperbound of 95% confidence interval for Sharpe Ratio0.770
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.254
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.773
Statistics related to Sortino ratio
 Sortino ratio-0.365
 Upside Potential Ratio1.167
 Upside part of mean0.059
 Downside part of mean-0.078
 Upside SD0.055
 Downside SD0.051
 N nonnegative terms5.000
 N negative terms40.000
Statistics related to linear regression on benchmark
 N of observations45.000
 Mean of predictor0.110
 Mean of criterion-0.019
 SD of predictor0.095
 SD of criterion0.076
 Covariance0.001
 r0.142
 b (slope, estimate of beta)0.114
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.006
 DF error43.000
 t(b)0.940
 p(b)0.176
 t(a)-0.751
 p(a)0.772
 Lowerbound of 95% confidence interval for beta-0.130
 Upperbound of 95% confidence interval for beta0.358
 Lowerbound of 95% confidence interval for alpha-0.115
 Upperbound of 95% confidence interval for alpha0.053
 Treynor index (mean / b)-0.163
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.021
 SD0.076
 Sharpe ratio (Glass type estimate) -0.282
 Sharpe ratio (Hedges UMVUE)-0.278
 df44.000
 t-0.547
 p0.706
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.295
 Upperbound of 95% confidence interval for Sharpe Ratio0.733
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.291
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.736
Statistics related to Sortino ratio
 Sortino ratio-0.408
 Upside Potential Ratio1.104
 Upside part of mean0.058
 Downside part of mean-0.079
 Upside SD0.054
 Downside SD0.052
 N nonnegative terms5.000
 N negative terms40.000
Statistics related to linear regression on benchmark
 N of observations45.000
 Mean of predictor0.105
 Mean of criterion-0.021
 SD of predictor0.094
 SD of criterion0.076
 Covariance0.001
 r0.148
 b (slope, estimate of beta)0.119
 a (intercept, estimate of alpha)-0.034
 Mean Square Error0.006
 DF error43.000
 t(b)0.980
 p(b)0.166
 t(a)-0.824
 p(a)0.793
 Lowerbound of 95% confidence interval for beta-0.126
 Upperbound of 95% confidence interval for beta0.365
 Lowerbound of 95% confidence interval for alpha-0.117
 Upperbound of 95% confidence interval for alpha0.049
 Treynor index (mean / b)-0.179
 Jensen alpha (a)-0.034
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.037
 Expected Shortfall on VaR0.046
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 observations45.000
 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 41.022
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.067
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.133
 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)0.046
 Expected Shortfall (regression method)0.071
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)0.024
 Compounded annual return (geometric extrapolation)0.023
 Calmar ratio (compounded annual return / max draw down)0.330
 Compounded annual return / average of 25% largest draw downs0.330
 Compounded annual return / Expected Shortfall lognormal0.502
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.019
 SD0.075
 Sharpe ratio (Glass type estimate) -0.246
 Sharpe ratio (Hedges UMVUE)-0.246
 df1291.000
 t-0.477
 p0.508
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.257
 Upperbound of 95% confidence interval for Sharpe Ratio0.765
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.257
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.765
Statistics related to Sortino ratio
 Sortino ratio-0.343
 Upside Potential Ratio3.371
 Upside part of mean0.182
 Downside part of mean-0.201
 Upside SD0.053
 Downside SD0.054
 N nonnegative terms110.000
 N negative terms1182.000
Statistics related to linear regression on benchmark
 N of observations1292.000
 Mean of predictor0.112
 Mean of criterion-0.019
 SD of predictor0.121
 SD of criterion0.075
 Covariance0.001
 r0.084
 b (slope, estimate of beta)0.053
 a (intercept, estimate of alpha)-0.024
 Mean Square Error0.006
 DF error1290.000
 t(b)3.032
 p(b)0.458
 t(a)-0.629
 p(a)0.509
 Lowerbound of 95% confidence interval for beta0.019
 Upperbound of 95% confidence interval for beta0.087
 Lowerbound of 95% confidence interval for alpha-0.101
 Upperbound of 95% confidence interval for alpha0.052
 Treynor index (mean / b)-0.353
 Jensen alpha (a)-0.024
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.021
 SD0.075
 Sharpe ratio (Glass type estimate) -0.284
 Sharpe ratio (Hedges UMVUE)-0.283
 df1291.000
 t-0.549
 p0.510
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.295
 Upperbound of 95% confidence interval for Sharpe Ratio0.728
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.295
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.728
Statistics related to Sortino ratio
 Sortino ratio-0.391
 Upside Potential Ratio3.305
 Upside part of mean0.181
 Downside part of mean-0.202
 Upside SD0.052
 Downside SD0.055
 N nonnegative terms110.000
 N negative terms1182.000
Statistics related to linear regression on benchmark
 N of observations1292.000
 Mean of predictor0.105
 Mean of criterion-0.021
 SD of predictor0.121
 SD of criterion0.075
 Covariance0.001
 r0.084
 b (slope, estimate of beta)0.053
 a (intercept, estimate of alpha)-0.027
 Mean Square Error0.006
 DF error1290.000
 t(b)3.028
 p(b)0.458
 t(a)-0.692
 p(a)0.510
 Lowerbound of 95% confidence interval for beta0.019
 Upperbound of 95% confidence interval for beta0.087
 Lowerbound of 95% confidence interval for alpha-0.103
 Upperbound of 95% confidence interval for alpha0.049
 Treynor index (mean / b)-0.407
 Jensen alpha (a)-0.027
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 observations1292.000
 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 low0.054
 Mean of outliers low0.991
 Number of outliers high111.000
 Percentage of outliers high0.086
 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)0.001
 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)0.024
 Compounded annual return (geometric extrapolation)0.023
 Calmar ratio (compounded annual return / max draw down)0.174
 Compounded annual return / average of 25% largest draw downs0.197
 Compounded annual return / Expected Shortfall lognormal2.719
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-0.007
 Mean of criterion-0.044
 SD of predictor0.113
 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-0.013
 Mean of criterion-0.044
 SD of predictor0.113
 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)-5595436919503241.000
 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)-68692246940463822112892733358080.000
 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