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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
 SD0.072
 Sharpe ratio (Glass type estimate) -0.365
 Sharpe ratio (Hedges UMVUE)-0.361
 df66.000
 t-0.863
 p0.804
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.196
 Upperbound of 95% confidence interval for Sharpe Ratio0.468
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.193
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.471
Statistics related to Sortino ratio
 Sortino ratio-0.565
 Upside Potential Ratio0.851
 Upside part of mean0.040
 Downside part of mean-0.066
 Upside SD0.055
 Downside SD0.047
 N nonnegative terms5.000
 N negative terms62.000
Statistics related to linear regression on benchmark
 N of observations67.000
 Mean of predictor0.094
 Mean of criterion-0.026
 SD of predictor0.106
 SD of criterion0.072
 Covariance-0.000
 r-0.050
 b (slope, estimate of beta)-0.034
 a (intercept, estimate of alpha)-0.023
 Mean Square Error0.005
 DF error65.000
 t(b)-0.407
 p(b)0.657
 t(a)-0.729
 p(a)0.766
 Lowerbound of 95% confidence interval for beta-0.202
 Upperbound of 95% confidence interval for beta0.134
 Lowerbound of 95% confidence interval for alpha-0.086
 Upperbound of 95% confidence interval for alpha0.040
 Treynor index (mean / b)0.770
 Jensen alpha (a)-0.023
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.071
 Sharpe ratio (Glass type estimate) -0.404
 Sharpe ratio (Hedges UMVUE)-0.399
 df66.000
 t-0.954
 p0.828
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.234
 Upperbound of 95% confidence interval for Sharpe Ratio0.430
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.231
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.433
Statistics related to Sortino ratio
 Sortino ratio-0.596
 Upside Potential Ratio0.789
 Upside part of mean0.038
 Downside part of mean-0.067
 Upside SD0.052
 Downside SD0.048
 N nonnegative terms5.000
 N negative terms62.000
Statistics related to linear regression on benchmark
 N of observations67.000
 Mean of predictor0.088
 Mean of criterion-0.029
 SD of predictor0.107
 SD of criterion0.071
 Covariance-0.000
 r-0.047
 b (slope, estimate of beta)-0.032
 a (intercept, estimate of alpha)-0.026
 Mean Square Error0.005
 DF error65.000
 t(b)-0.381
 p(b)0.648
 t(a)-0.832
 p(a)0.796
 Lowerbound of 95% confidence interval for beta-0.197
 Upperbound of 95% confidence interval for beta0.134
 Lowerbound of 95% confidence interval for alpha-0.088
 Upperbound of 95% confidence interval for alpha0.036
 Treynor index (mean / b)0.910
 Jensen alpha (a)-0.026
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 VaR0.044
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 observations67.000
 Minimum0.914
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.104
 Mean of quarter 10.992
 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 low0.953
 Number of outliers high5.000
 Percentage of outliers high0.075
 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)-12274684087702622172370681513115648.000
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.729
 VaR(95%) (regression method)-0.029
 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)0.016
 Compounded annual return (geometric extrapolation)0.015
 Calmar ratio (compounded annual return / max draw down)0.179
 Compounded annual return / average of 25% largest draw downs0.179
 Compounded annual return / Expected Shortfall lognormal0.350
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.061
 Sharpe ratio (Glass type estimate) -0.441
 Sharpe ratio (Hedges UMVUE)-0.441
 df1471.000
 t-1.046
 p0.517
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.268
 Upperbound of 95% confidence interval for Sharpe Ratio0.386
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.268
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.386
Statistics related to Sortino ratio
 Sortino ratio-0.619
 Upside Potential Ratio2.677
 Upside part of mean0.117
 Downside part of mean-0.144
 Upside SD0.043
 Downside SD0.044
 N nonnegative terms93.000
 N negative terms1379.000
Statistics related to linear regression on benchmark
 N of observations1472.000
 Mean of predictor0.091
 Mean of criterion-0.027
 SD of predictor0.128
 SD of criterion0.061
 Covariance0.001
 r0.064
 b (slope, estimate of beta)0.031
 a (intercept, estimate of alpha)-0.030
 Mean Square Error0.004
 DF error1470.000
 t(b)2.475
 p(b)0.468
 t(a)-1.156
 p(a)0.515
 Lowerbound of 95% confidence interval for beta0.006
 Upperbound of 95% confidence interval for beta0.055
 Lowerbound of 95% confidence interval for alpha-0.080
 Upperbound of 95% confidence interval for alpha0.021
 Treynor index (mean / b)-0.876
 Jensen alpha (a)-0.030
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.061
 Sharpe ratio (Glass type estimate) -0.471
 Sharpe ratio (Hedges UMVUE)-0.471
 df1471.000
 t-1.117
 p0.519
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.298
 Upperbound of 95% confidence interval for Sharpe Ratio0.356
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.298
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.356
Statistics related to Sortino ratio
 Sortino ratio-0.653
 Upside Potential Ratio2.623
 Upside part of mean0.116
 Downside part of mean-0.145
 Upside SD0.042
 Downside SD0.044
 N nonnegative terms93.000
 N negative terms1379.000
Statistics related to linear regression on benchmark
 N of observations1472.000
 Mean of predictor0.083
 Mean of criterion-0.029
 SD of predictor0.128
 SD of criterion0.061
 Covariance0.001
 r0.064
 b (slope, estimate of beta)0.031
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error1470.000
 t(b)2.467
 p(b)0.468
 t(a)-1.217
 p(a)0.516
 Lowerbound of 95% confidence interval for beta0.006
 Upperbound of 95% confidence interval for beta0.055
 Lowerbound of 95% confidence interval for alpha-0.082
 Upperbound of 95% confidence interval for alpha0.019
 Treynor index (mean / b)-0.939
 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 observations1472.000
 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 low0.043
 Mean of outliers low0.991
 Number of outliers high93.000
 Percentage of outliers high0.063
 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)0.000
 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)0.016
 Compounded annual return (geometric extrapolation)0.015
 Calmar ratio (compounded annual return / max draw down)0.116
 Compounded annual return / average of 25% largest draw downs0.137
 Compounded annual return / Expected Shortfall lognormal1.932
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 predictor0.033
 Mean of criterion-0.044
 SD of predictor0.075
 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 predictor0.030
 Mean of criterion-0.044
 SD of predictor0.075
 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)-8797135594857333.000
 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)82328092962269096505453767032832.000
 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
 SD0.072
 Sharpe ratio (Glass type estimate) -0.365
 Sharpe ratio (Hedges UMVUE)-0.361
 df66.000
 t-0.863
 p0.804
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.196
 Upperbound of 95% confidence interval for Sharpe Ratio0.468
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.193
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.471
Statistics related to Sortino ratio
 Sortino ratio-0.565
 Upside Potential Ratio0.851
 Upside part of mean0.040
 Downside part of mean-0.066
 Upside SD0.055
 Downside SD0.047
 N nonnegative terms5.000
 N negative terms62.000
Statistics related to linear regression on benchmark
 N of observations67.000
 Mean of predictor0.094
 Mean of criterion-0.026
 SD of predictor0.106
 SD of criterion0.072
 Covariance-0.000
 r-0.050
 b (slope, estimate of beta)-0.034
 a (intercept, estimate of alpha)-0.023
 Mean Square Error0.005
 DF error65.000
 t(b)-0.407
 p(b)0.657
 t(a)-0.729
 p(a)0.766
 Lowerbound of 95% confidence interval for beta-0.202
 Upperbound of 95% confidence interval for beta0.134
 Lowerbound of 95% confidence interval for alpha-0.086
 Upperbound of 95% confidence interval for alpha0.040
 Treynor index (mean / b)0.770
 Jensen alpha (a)-0.023
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.071
 Sharpe ratio (Glass type estimate) -0.404
 Sharpe ratio (Hedges UMVUE)-0.399
 df66.000
 t-0.954
 p0.828
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.234
 Upperbound of 95% confidence interval for Sharpe Ratio0.430
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.231
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.433
Statistics related to Sortino ratio
 Sortino ratio-0.596
 Upside Potential Ratio0.789
 Upside part of mean0.038
 Downside part of mean-0.067
 Upside SD0.052
 Downside SD0.048
 N nonnegative terms5.000
 N negative terms62.000
Statistics related to linear regression on benchmark
 N of observations67.000
 Mean of predictor0.088
 Mean of criterion-0.029
 SD of predictor0.107
 SD of criterion0.071
 Covariance-0.000
 r-0.047
 b (slope, estimate of beta)-0.032
 a (intercept, estimate of alpha)-0.026
 Mean Square Error0.005
 DF error65.000
 t(b)-0.381
 p(b)0.648
 t(a)-0.832
 p(a)0.796
 Lowerbound of 95% confidence interval for beta-0.197
 Upperbound of 95% confidence interval for beta0.134
 Lowerbound of 95% confidence interval for alpha-0.088
 Upperbound of 95% confidence interval for alpha0.036
 Treynor index (mean / b)0.910
 Jensen alpha (a)-0.026
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 VaR0.044
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 observations67.000
 Minimum0.914
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.104
 Mean of quarter 10.992
 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 low0.953
 Number of outliers high5.000
 Percentage of outliers high0.075
 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)-12274684087702622172370681513115648.000
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.729
 VaR(95%) (regression method)-0.029
 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)0.016
 Compounded annual return (geometric extrapolation)0.015
 Calmar ratio (compounded annual return / max draw down)0.179
 Compounded annual return / average of 25% largest draw downs0.179
 Compounded annual return / Expected Shortfall lognormal0.350
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.027
 SD0.061
 Sharpe ratio (Glass type estimate) -0.441
 Sharpe ratio (Hedges UMVUE)-0.441
 df1471.000
 t-1.046
 p0.517
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.268
 Upperbound of 95% confidence interval for Sharpe Ratio0.386
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.268
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.386
Statistics related to Sortino ratio
 Sortino ratio-0.619
 Upside Potential Ratio2.677
 Upside part of mean0.117
 Downside part of mean-0.144
 Upside SD0.043
 Downside SD0.044
 N nonnegative terms93.000
 N negative terms1379.000
Statistics related to linear regression on benchmark
 N of observations1472.000
 Mean of predictor0.091
 Mean of criterion-0.027
 SD of predictor0.128
 SD of criterion0.061
 Covariance0.001
 r0.064
 b (slope, estimate of beta)0.031
 a (intercept, estimate of alpha)-0.030
 Mean Square Error0.004
 DF error1470.000
 t(b)2.475
 p(b)0.468
 t(a)-1.156
 p(a)0.515
 Lowerbound of 95% confidence interval for beta0.006
 Upperbound of 95% confidence interval for beta0.055
 Lowerbound of 95% confidence interval for alpha-0.080
 Upperbound of 95% confidence interval for alpha0.021
 Treynor index (mean / b)-0.876
 Jensen alpha (a)-0.030
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.061
 Sharpe ratio (Glass type estimate) -0.471
 Sharpe ratio (Hedges UMVUE)-0.471
 df1471.000
 t-1.117
 p0.519
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.298
 Upperbound of 95% confidence interval for Sharpe Ratio0.356
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.298
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.356
Statistics related to Sortino ratio
 Sortino ratio-0.653
 Upside Potential Ratio2.623
 Upside part of mean0.116
 Downside part of mean-0.145
 Upside SD0.042
 Downside SD0.044
 N nonnegative terms93.000
 N negative terms1379.000
Statistics related to linear regression on benchmark
 N of observations1472.000
 Mean of predictor0.083
 Mean of criterion-0.029
 SD of predictor0.128
 SD of criterion0.061
 Covariance0.001
 r0.064
 b (slope, estimate of beta)0.031
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error1470.000
 t(b)2.467
 p(b)0.468
 t(a)-1.217
 p(a)0.516
 Lowerbound of 95% confidence interval for beta0.006
 Upperbound of 95% confidence interval for beta0.055
 Lowerbound of 95% confidence interval for alpha-0.082
 Upperbound of 95% confidence interval for alpha0.019
 Treynor index (mean / b)-0.939
 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 observations1472.000
 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 low0.043
 Mean of outliers low0.991
 Number of outliers high93.000
 Percentage of outliers high0.063
 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)0.000
 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)0.016
 Compounded annual return (geometric extrapolation)0.015
 Calmar ratio (compounded annual return / max draw down)0.116
 Compounded annual return / average of 25% largest draw downs0.137
 Compounded annual return / Expected Shortfall lognormal1.932
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 predictor0.033
 Mean of criterion-0.044
 SD of predictor0.075
 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 predictor0.030
 Mean of criterion-0.044
 SD of predictor0.075
 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)-8797135594857333.000
 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)82328092962269096505453767032832.000
 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