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-0.024
 SD0.067
 Sharpe ratio (Glass type estimate) -0.364
 Sharpe ratio (Hedges UMVUE)-0.359
 df57.000
 t-0.800
 p0.787
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.256
 Upperbound of 95% confidence interval for Sharpe Ratio0.532
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.253
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.535
Statistics related to Sortino ratio
 Sortino ratio-0.537
 Upside Potential Ratio1.019
 Upside part of mean0.046
 Downside part of mean-0.070
 Upside SD0.049
 Downside SD0.045
 N nonnegative terms5.000
 N negative terms53.000
Statistics related to linear regression on benchmark
 N of observations58.000
 Mean of predictor0.087
 Mean of criterion-0.024
 SD of predictor0.109
 SD of criterion0.067
 Covariance0.001
 r0.114
 b (slope, estimate of beta)0.070
 a (intercept, estimate of alpha)-0.030
 Mean Square Error0.004
 DF error56.000
 t(b)0.857
 p(b)0.197
 t(a)-0.973
 p(a)0.833
 Lowerbound of 95% confidence interval for beta-0.094
 Upperbound of 95% confidence interval for beta0.233
 Lowerbound of 95% confidence interval for alpha-0.093
 Upperbound of 95% confidence interval for alpha0.032
 Treynor index (mean / b)-0.348
 Jensen alpha (a)-0.030
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.026
 SD0.067
 Sharpe ratio (Glass type estimate) -0.397
 Sharpe ratio (Hedges UMVUE)-0.392
 df57.000
 t-0.874
 p0.807
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.290
 Upperbound of 95% confidence interval for Sharpe Ratio0.499
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.287
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.502
Statistics related to Sortino ratio
 Sortino ratio-0.568
 Upside Potential Ratio0.964
 Upside part of mean0.045
 Downside part of mean-0.071
 Upside SD0.047
 Downside SD0.047
 N nonnegative terms5.000
 N negative terms53.000
Statistics related to linear regression on benchmark
 N of observations58.000
 Mean of predictor0.081
 Mean of criterion-0.026
 SD of predictor0.108
 SD of criterion0.067
 Covariance0.001
 r0.117
 b (slope, estimate of beta)0.072
 a (intercept, estimate of alpha)-0.032
 Mean Square Error0.004
 DF error56.000
 t(b)0.883
 p(b)0.190
 t(a)-1.041
 p(a)0.849
 Lowerbound of 95% confidence interval for beta-0.091
 Upperbound of 95% confidence interval for beta0.236
 Lowerbound of 95% confidence interval for alpha-0.094
 Upperbound of 95% confidence interval for alpha0.030
 Treynor index (mean / b)-0.367
 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 VaR0.037
ORDER STATISTICS
Quartiles of return rates
 Number of observations58.000
 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 low0.052
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.103
 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)0.030
 Expected Shortfall (regression method)0.064
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)0.018
 Calmar ratio (compounded annual return / max draw down)0.255
 Compounded annual return / average of 25% largest draw downs0.255
 Compounded annual return / Expected Shortfall lognormal0.434
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.024
 SD0.066
 Sharpe ratio (Glass type estimate) -0.367
 Sharpe ratio (Hedges UMVUE)-0.367
 df1669.000
 t-0.808
 p0.513
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.256
 Upperbound of 95% confidence interval for Sharpe Ratio0.523
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.256
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.523
Statistics related to Sortino ratio
 Sortino ratio-0.512
 Upside Potential Ratio2.965
 Upside part of mean0.141
 Downside part of mean-0.165
 Upside SD0.046
 Downside SD0.048
 N nonnegative terms110.000
 N negative terms1560.000
Statistics related to linear regression on benchmark
 N of observations1670.000
 Mean of predictor0.089
 Mean of criterion-0.024
 SD of predictor0.132
 SD of criterion0.066
 Covariance0.001
 r0.068
 b (slope, estimate of beta)0.034
 a (intercept, estimate of alpha)-0.027
 Mean Square Error0.004
 DF error1668.000
 t(b)2.770
 p(b)0.466
 t(a)-0.910
 p(a)0.511
 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 alpha0.032
 Treynor index (mean / b)-0.717
 Jensen alpha (a)-0.027
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.066
 Sharpe ratio (Glass type estimate) -0.400
 Sharpe ratio (Hedges UMVUE)-0.399
 df1669.000
 t-0.880
 p0.514
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.289
 Upperbound of 95% confidence interval for Sharpe Ratio0.490
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.289
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.490
Statistics related to Sortino ratio
 Sortino ratio-0.551
 Upside Potential Ratio2.906
 Upside part of mean0.140
 Downside part of mean-0.166
 Upside SD0.046
 Downside SD0.048
 N nonnegative terms110.000
 N negative terms1560.000
Statistics related to linear regression on benchmark
 N of observations1670.000
 Mean of predictor0.080
 Mean of criterion-0.027
 SD of predictor0.132
 SD of criterion0.066
 Covariance0.001
 r0.068
 b (slope, estimate of beta)0.034
 a (intercept, estimate of alpha)-0.029
 Mean Square Error0.004
 DF error1668.000
 t(b)2.763
 p(b)0.466
 t(a)-0.972
 p(a)0.512
 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 alpha0.030
 Treynor index (mean / b)-0.783
 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 observations1670.000
 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 low0.042
 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)0.018
 Calmar ratio (compounded annual return / max draw down)0.134
 Compounded annual return / average of 25% largest draw downs0.152
 Compounded annual return / Expected Shortfall lognormal2.377
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 predictor0.230
 Mean of criterion-0.044
 SD of predictor0.131
 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 predictor0.221
 Mean of criterion-0.044
 SD of predictor0.131
 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)-5572460954452273.000
 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)6948709512355117399229232840704.000
 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-0.024
 SD0.067
 Sharpe ratio (Glass type estimate) -0.364
 Sharpe ratio (Hedges UMVUE)-0.359
 df57.000
 t-0.800
 p0.787
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.256
 Upperbound of 95% confidence interval for Sharpe Ratio0.532
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.253
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.535
Statistics related to Sortino ratio
 Sortino ratio-0.537
 Upside Potential Ratio1.019
 Upside part of mean0.046
 Downside part of mean-0.070
 Upside SD0.049
 Downside SD0.045
 N nonnegative terms5.000
 N negative terms53.000
Statistics related to linear regression on benchmark
 N of observations58.000
 Mean of predictor0.087
 Mean of criterion-0.024
 SD of predictor0.109
 SD of criterion0.067
 Covariance0.001
 r0.114
 b (slope, estimate of beta)0.070
 a (intercept, estimate of alpha)-0.030
 Mean Square Error0.004
 DF error56.000
 t(b)0.857
 p(b)0.197
 t(a)-0.973
 p(a)0.833
 Lowerbound of 95% confidence interval for beta-0.094
 Upperbound of 95% confidence interval for beta0.233
 Lowerbound of 95% confidence interval for alpha-0.093
 Upperbound of 95% confidence interval for alpha0.032
 Treynor index (mean / b)-0.348
 Jensen alpha (a)-0.030
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.026
 SD0.067
 Sharpe ratio (Glass type estimate) -0.397
 Sharpe ratio (Hedges UMVUE)-0.392
 df57.000
 t-0.874
 p0.807
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.290
 Upperbound of 95% confidence interval for Sharpe Ratio0.499
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.287
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.502
Statistics related to Sortino ratio
 Sortino ratio-0.568
 Upside Potential Ratio0.964
 Upside part of mean0.045
 Downside part of mean-0.071
 Upside SD0.047
 Downside SD0.047
 N nonnegative terms5.000
 N negative terms53.000
Statistics related to linear regression on benchmark
 N of observations58.000
 Mean of predictor0.081
 Mean of criterion-0.026
 SD of predictor0.108
 SD of criterion0.067
 Covariance0.001
 r0.117
 b (slope, estimate of beta)0.072
 a (intercept, estimate of alpha)-0.032
 Mean Square Error0.004
 DF error56.000
 t(b)0.883
 p(b)0.190
 t(a)-1.041
 p(a)0.849
 Lowerbound of 95% confidence interval for beta-0.091
 Upperbound of 95% confidence interval for beta0.236
 Lowerbound of 95% confidence interval for alpha-0.094
 Upperbound of 95% confidence interval for alpha0.030
 Treynor index (mean / b)-0.367
 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 VaR0.037
ORDER STATISTICS
Quartiles of return rates
 Number of observations58.000
 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 low0.052
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.103
 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)0.030
 Expected Shortfall (regression method)0.064
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)0.018
 Calmar ratio (compounded annual return / max draw down)0.255
 Compounded annual return / average of 25% largest draw downs0.255
 Compounded annual return / Expected Shortfall lognormal0.434
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.024
 SD0.066
 Sharpe ratio (Glass type estimate) -0.367
 Sharpe ratio (Hedges UMVUE)-0.367
 df1669.000
 t-0.808
 p0.513
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.256
 Upperbound of 95% confidence interval for Sharpe Ratio0.523
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.256
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.523
Statistics related to Sortino ratio
 Sortino ratio-0.512
 Upside Potential Ratio2.965
 Upside part of mean0.141
 Downside part of mean-0.165
 Upside SD0.046
 Downside SD0.048
 N nonnegative terms110.000
 N negative terms1560.000
Statistics related to linear regression on benchmark
 N of observations1670.000
 Mean of predictor0.089
 Mean of criterion-0.024
 SD of predictor0.132
 SD of criterion0.066
 Covariance0.001
 r0.068
 b (slope, estimate of beta)0.034
 a (intercept, estimate of alpha)-0.027
 Mean Square Error0.004
 DF error1668.000
 t(b)2.770
 p(b)0.466
 t(a)-0.910
 p(a)0.511
 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 alpha0.032
 Treynor index (mean / b)-0.717
 Jensen alpha (a)-0.027
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.066
 Sharpe ratio (Glass type estimate) -0.400
 Sharpe ratio (Hedges UMVUE)-0.399
 df1669.000
 t-0.880
 p0.514
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.289
 Upperbound of 95% confidence interval for Sharpe Ratio0.490
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.289
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.490
Statistics related to Sortino ratio
 Sortino ratio-0.551
 Upside Potential Ratio2.906
 Upside part of mean0.140
 Downside part of mean-0.166
 Upside SD0.046
 Downside SD0.048
 N nonnegative terms110.000
 N negative terms1560.000
Statistics related to linear regression on benchmark
 N of observations1670.000
 Mean of predictor0.080
 Mean of criterion-0.027
 SD of predictor0.132
 SD of criterion0.066
 Covariance0.001
 r0.068
 b (slope, estimate of beta)0.034
 a (intercept, estimate of alpha)-0.029
 Mean Square Error0.004
 DF error1668.000
 t(b)2.763
 p(b)0.466
 t(a)-0.972
 p(a)0.512
 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 alpha0.030
 Treynor index (mean / b)-0.783
 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 observations1670.000
 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 low0.042
 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)0.018
 Calmar ratio (compounded annual return / max draw down)0.134
 Compounded annual return / average of 25% largest draw downs0.152
 Compounded annual return / Expected Shortfall lognormal2.377
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 predictor0.230
 Mean of criterion-0.044
 SD of predictor0.131
 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 predictor0.221
 Mean of criterion-0.044
 SD of predictor0.131
 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)-5572460954452273.000
 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)6948709512355117399229232840704.000
 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