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
 SD0.063
 Sharpe ratio (Glass type estimate) -0.427
 Sharpe ratio (Hedges UMVUE)-0.422
 df65.000
 t-1.001
 p0.840
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.264
 Upperbound of 95% confidence interval for Sharpe Ratio0.414
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.261
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.417
Statistics related to Sortino ratio
 Sortino ratio-0.626
 Upside Potential Ratio0.950
 Upside part of mean0.041
 Downside part of mean-0.067
 Upside SD0.046
 Downside SD0.043
 N nonnegative terms5.000
 N negative terms61.000
Statistics related to linear regression on benchmark
 N of observations66.000
 Mean of predictor0.088
 Mean of criterion-0.027
 SD of predictor0.103
 SD of criterion0.063
 Covariance0.001
 r0.112
 b (slope, estimate of beta)0.068
 a (intercept, estimate of alpha)-0.033
 Mean Square Error0.004
 DF error64.000
 t(b)0.901
 p(b)0.186
 t(a)-1.186
 p(a)0.880
 Lowerbound of 95% confidence interval for beta-0.083
 Upperbound of 95% confidence interval for beta0.218
 Lowerbound of 95% confidence interval for alpha-0.088
 Upperbound of 95% confidence interval for alpha0.022
 Treynor index (mean / b)-0.394
 Jensen alpha (a)-0.033
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.062
 Sharpe ratio (Glass type estimate) -0.459
 Sharpe ratio (Hedges UMVUE)-0.453
 df65.000
 t-1.075
 p0.857
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.296
 Upperbound of 95% confidence interval for Sharpe Ratio0.383
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.293
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.386
Statistics related to Sortino ratio
 Sortino ratio-0.652
 Upside Potential Ratio0.899
 Upside part of mean0.039
 Downside part of mean-0.068
 Upside SD0.044
 Downside SD0.044
 N nonnegative terms5.000
 N negative terms61.000
Statistics related to linear regression on benchmark
 N of observations66.000
 Mean of predictor0.082
 Mean of criterion-0.029
 SD of predictor0.103
 SD of criterion0.062
 Covariance0.001
 r0.115
 b (slope, estimate of beta)0.070
 a (intercept, estimate of alpha)-0.034
 Mean Square Error0.004
 DF error64.000
 t(b)0.928
 p(b)0.179
 t(a)-1.256
 p(a)0.893
 Lowerbound of 95% confidence interval for beta-0.081
 Upperbound of 95% confidence interval for beta0.220
 Lowerbound of 95% confidence interval for alpha-0.089
 Upperbound of 95% confidence interval for alpha0.020
 Treynor index (mean / b)-0.409
 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%)0.031
 Expected Shortfall on VaR0.039
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.019
 Expected Shortfall on VaR0.035
ORDER STATISTICS
Quartiles of return rates
 Number of observations66.000
 Minimum0.930
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.074
 Mean of quarter 10.991
 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 low0.045
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.091
 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)0.019
 Expected Shortfall (regression method)0.059
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)0.016
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.224
 Compounded annual return / average of 25% largest draw downs0.224
 Compounded annual return / Expected Shortfall lognormal0.403
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.062
 Sharpe ratio (Glass type estimate) -0.430
 Sharpe ratio (Hedges UMVUE)-0.429
 df1899.000
 t-1.010
 p0.515
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.264
 Upperbound of 95% confidence interval for Sharpe Ratio0.405
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.263
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.405
Statistics related to Sortino ratio
 Sortino ratio-0.599
 Upside Potential Ratio2.779
 Upside part of mean0.124
 Downside part of mean-0.151
 Upside SD0.043
 Downside SD0.045
 N nonnegative terms110.000
 N negative terms1790.000
Statistics related to linear regression on benchmark
 N of observations1900.000
 Mean of predictor0.087
 Mean of criterion-0.027
 SD of predictor0.127
 SD of criterion0.062
 Covariance0.001
 r0.066
 b (slope, estimate of beta)0.032
 a (intercept, estimate of alpha)-0.029
 Mean Square Error0.004
 DF error1898.000
 t(b)2.874
 p(b)0.467
 t(a)-1.117
 p(a)0.513
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.054
 Lowerbound of 95% confidence interval for alpha-0.081
 Upperbound of 95% confidence interval for alpha0.022
 Treynor index (mean / b)-0.832
 Jensen alpha (a)-0.029
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.062
 Sharpe ratio (Glass type estimate) -0.460
 Sharpe ratio (Hedges UMVUE)-0.460
 df1899.000
 t-1.082
 p0.516
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.294
 Upperbound of 95% confidence interval for Sharpe Ratio0.374
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.294
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.374
Statistics related to Sortino ratio
 Sortino ratio-0.635
 Upside Potential Ratio2.724
 Upside part of mean0.123
 Downside part of mean-0.152
 Upside SD0.043
 Downside SD0.045
 N nonnegative terms110.000
 N negative terms1790.000
Statistics related to linear regression on benchmark
 N of observations1900.000
 Mean of predictor0.079
 Mean of criterion-0.029
 SD of predictor0.127
 SD of criterion0.062
 Covariance0.001
 r0.066
 b (slope, estimate of beta)0.032
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error1898.000
 t(b)2.867
 p(b)0.467
 t(a)-1.179
 p(a)0.514
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.054
 Lowerbound of 95% confidence interval for alpha-0.083
 Upperbound of 95% confidence interval for alpha0.021
 Treynor index (mean / b)-0.893
 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 VaR0.007
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.001
 Expected Shortfall on VaR0.003
ORDER STATISTICS
Quartiles of return rates
 Number of observations1900.000
 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 41.001
 Inter Quartile Range0.000
 Number outliers low70.000
 Percentage of outliers low0.037
 Mean of outliers low0.991
 Number of outliers high111.000
 Percentage of outliers high0.058
 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)0.016
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.118
 Compounded annual return / average of 25% largest draw downs0.133
 Compounded annual return / Expected Shortfall lognormal2.223
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 predictor0.113
 Mean of criterion-0.044
 SD of predictor0.077
 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 predictor0.110
 Mean of criterion-0.044
 SD of predictor0.077
 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)-5578732135367514.000
 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)17605751636926797525234130878464.000
 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-0.027
 SD0.063
 Sharpe ratio (Glass type estimate) -0.427
 Sharpe ratio (Hedges UMVUE)-0.422
 df65.000
 t-1.001
 p0.840
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.264
 Upperbound of 95% confidence interval for Sharpe Ratio0.414
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.261
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.417
Statistics related to Sortino ratio
 Sortino ratio-0.626
 Upside Potential Ratio0.950
 Upside part of mean0.041
 Downside part of mean-0.067
 Upside SD0.046
 Downside SD0.043
 N nonnegative terms5.000
 N negative terms61.000
Statistics related to linear regression on benchmark
 N of observations66.000
 Mean of predictor0.088
 Mean of criterion-0.027
 SD of predictor0.103
 SD of criterion0.063
 Covariance0.001
 r0.112
 b (slope, estimate of beta)0.068
 a (intercept, estimate of alpha)-0.033
 Mean Square Error0.004
 DF error64.000
 t(b)0.901
 p(b)0.186
 t(a)-1.186
 p(a)0.880
 Lowerbound of 95% confidence interval for beta-0.083
 Upperbound of 95% confidence interval for beta0.218
 Lowerbound of 95% confidence interval for alpha-0.088
 Upperbound of 95% confidence interval for alpha0.022
 Treynor index (mean / b)-0.394
 Jensen alpha (a)-0.033
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.062
 Sharpe ratio (Glass type estimate) -0.459
 Sharpe ratio (Hedges UMVUE)-0.453
 df65.000
 t-1.075
 p0.857
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.296
 Upperbound of 95% confidence interval for Sharpe Ratio0.383
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.293
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.386
Statistics related to Sortino ratio
 Sortino ratio-0.652
 Upside Potential Ratio0.899
 Upside part of mean0.039
 Downside part of mean-0.068
 Upside SD0.044
 Downside SD0.044
 N nonnegative terms5.000
 N negative terms61.000
Statistics related to linear regression on benchmark
 N of observations66.000
 Mean of predictor0.082
 Mean of criterion-0.029
 SD of predictor0.103
 SD of criterion0.062
 Covariance0.001
 r0.115
 b (slope, estimate of beta)0.070
 a (intercept, estimate of alpha)-0.034
 Mean Square Error0.004
 DF error64.000
 t(b)0.928
 p(b)0.179
 t(a)-1.256
 p(a)0.893
 Lowerbound of 95% confidence interval for beta-0.081
 Upperbound of 95% confidence interval for beta0.220
 Lowerbound of 95% confidence interval for alpha-0.089
 Upperbound of 95% confidence interval for alpha0.020
 Treynor index (mean / b)-0.409
 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%)0.031
 Expected Shortfall on VaR0.039
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.019
 Expected Shortfall on VaR0.035
ORDER STATISTICS
Quartiles of return rates
 Number of observations66.000
 Minimum0.930
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.074
 Mean of quarter 10.991
 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 low0.045
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.091
 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)0.019
 Expected Shortfall (regression method)0.059
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)0.016
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.224
 Compounded annual return / average of 25% largest draw downs0.224
 Compounded annual return / Expected Shortfall lognormal0.403
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.062
 Sharpe ratio (Glass type estimate) -0.430
 Sharpe ratio (Hedges UMVUE)-0.429
 df1899.000
 t-1.010
 p0.515
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.264
 Upperbound of 95% confidence interval for Sharpe Ratio0.405
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.263
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.405
Statistics related to Sortino ratio
 Sortino ratio-0.599
 Upside Potential Ratio2.779
 Upside part of mean0.124
 Downside part of mean-0.151
 Upside SD0.043
 Downside SD0.045
 N nonnegative terms110.000
 N negative terms1790.000
Statistics related to linear regression on benchmark
 N of observations1900.000
 Mean of predictor0.087
 Mean of criterion-0.027
 SD of predictor0.127
 SD of criterion0.062
 Covariance0.001
 r0.066
 b (slope, estimate of beta)0.032
 a (intercept, estimate of alpha)-0.029
 Mean Square Error0.004
 DF error1898.000
 t(b)2.874
 p(b)0.467
 t(a)-1.117
 p(a)0.513
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.054
 Lowerbound of 95% confidence interval for alpha-0.081
 Upperbound of 95% confidence interval for alpha0.022
 Treynor index (mean / b)-0.832
 Jensen alpha (a)-0.029
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.062
 Sharpe ratio (Glass type estimate) -0.460
 Sharpe ratio (Hedges UMVUE)-0.460
 df1899.000
 t-1.082
 p0.516
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.294
 Upperbound of 95% confidence interval for Sharpe Ratio0.374
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.294
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.374
Statistics related to Sortino ratio
 Sortino ratio-0.635
 Upside Potential Ratio2.724
 Upside part of mean0.123
 Downside part of mean-0.152
 Upside SD0.043
 Downside SD0.045
 N nonnegative terms110.000
 N negative terms1790.000
Statistics related to linear regression on benchmark
 N of observations1900.000
 Mean of predictor0.079
 Mean of criterion-0.029
 SD of predictor0.127
 SD of criterion0.062
 Covariance0.001
 r0.066
 b (slope, estimate of beta)0.032
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error1898.000
 t(b)2.867
 p(b)0.467
 t(a)-1.179
 p(a)0.514
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.054
 Lowerbound of 95% confidence interval for alpha-0.083
 Upperbound of 95% confidence interval for alpha0.021
 Treynor index (mean / b)-0.893
 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 VaR0.007
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.001
 Expected Shortfall on VaR0.003
ORDER STATISTICS
Quartiles of return rates
 Number of observations1900.000
 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 41.001
 Inter Quartile Range0.000
 Number outliers low70.000
 Percentage of outliers low0.037
 Mean of outliers low0.991
 Number of outliers high111.000
 Percentage of outliers high0.058
 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)0.016
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.118
 Compounded annual return / average of 25% largest draw downs0.133
 Compounded annual return / Expected Shortfall lognormal2.223
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 predictor0.113
 Mean of criterion-0.044
 SD of predictor0.077
 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 predictor0.110
 Mean of criterion-0.044
 SD of predictor0.077
 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)-5578732135367514.000
 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)17605751636926797525234130878464.000
 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