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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-0.028
 SD0.068
 Sharpe ratio (Glass type estimate) -0.415
 Sharpe ratio (Hedges UMVUE)-0.410
 df74.000
 t-1.036
 p0.848
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.200
 Upperbound of 95% confidence interval for Sharpe Ratio0.374
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.197
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.376
Statistics related to Sortino ratio
 Sortino ratio-0.638
 Upside Potential Ratio0.800
 Upside part of mean0.035
 Downside part of mean-0.064
 Upside SD0.052
 Downside SD0.044
 N nonnegative terms5.000
 N negative terms70.000
Statistics related to linear regression on benchmark
 N of observations75.000
 Mean of predictor0.092
 Mean of criterion-0.028
 SD of predictor0.112
 SD of criterion0.068
 Covariance-0.000
 r-0.045
 b (slope, estimate of beta)-0.027
 a (intercept, estimate of alpha)-0.026
 Mean Square Error0.005
 DF error73.000
 t(b)-0.382
 p(b)0.648
 t(a)-0.914
 p(a)0.818
 Lowerbound of 95% confidence interval for beta-0.169
 Upperbound of 95% confidence interval for beta0.115
 Lowerbound of 95% confidence interval for alpha-0.082
 Upperbound of 95% confidence interval for alpha0.030
 Treynor index (mean / b)1.038
 Jensen alpha (a)-0.026
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.030
 SD0.067
 Sharpe ratio (Glass type estimate) -0.451
 Sharpe ratio (Hedges UMVUE)-0.447
 df74.000
 t-1.128
 p0.869
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.237
 Upperbound of 95% confidence interval for Sharpe Ratio0.337
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.234
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.341
Statistics related to Sortino ratio
 Sortino ratio-0.664
 Upside Potential Ratio0.743
 Upside part of mean0.034
 Downside part of mean-0.064
 Upside SD0.050
 Downside SD0.046
 N nonnegative terms5.000
 N negative terms70.000
Statistics related to linear regression on benchmark
 N of observations75.000
 Mean of predictor0.085
 Mean of criterion-0.030
 SD of predictor0.112
 SD of criterion0.067
 Covariance-0.000
 r-0.042
 b (slope, estimate of beta)-0.025
 a (intercept, estimate of alpha)-0.028
 Mean Square Error0.005
 DF error73.000
 t(b)-0.358
 p(b)0.639
 t(a)-1.019
 p(a)0.844
 Lowerbound of 95% confidence interval for beta-0.165
 Upperbound of 95% confidence interval for beta0.115
 Lowerbound of 95% confidence interval for alpha-0.084
 Upperbound of 95% confidence interval for alpha0.027
 Treynor index (mean / b)1.207
 Jensen alpha (a)-0.028
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.034
 Expected Shortfall on VaR0.042
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.018
 Expected Shortfall on VaR0.035
ORDER STATISTICS
Quartiles of return rates
 Number of observations75.000
 Minimum0.914
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.104
 Mean of quarter 10.993
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.013
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.040
 Mean of outliers low0.953
 Number of outliers high5.000
 Percentage of outliers high0.067
 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)-1161711699104777102987964573046399509200896.000
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.729
 VaR(95%) (regression method)-0.061
 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)0.014
 Compounded annual return (geometric extrapolation)0.014
 Calmar ratio (compounded annual return / max draw down)0.160
 Compounded annual return / average of 25% largest draw downs0.160
 Compounded annual return / Expected Shortfall lognormal0.328
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.058
 Sharpe ratio (Glass type estimate) -0.498
 Sharpe ratio (Hedges UMVUE)-0.497
 df1645.000
 t-1.247
 p0.520
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.280
 Upperbound of 95% confidence interval for Sharpe Ratio0.285
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.279
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.285
Statistics related to Sortino ratio
 Sortino ratio-0.698
 Upside Potential Ratio2.531
 Upside part of mean0.105
 Downside part of mean-0.133
 Upside SD0.041
 Downside SD0.041
 N nonnegative terms93.000
 N negative terms1553.000
Statistics related to linear regression on benchmark
 N of observations1646.000
 Mean of predictor0.093
 Mean of criterion-0.029
 SD of predictor0.130
 SD of criterion0.058
 Covariance0.000
 r0.060
 b (slope, estimate of beta)0.027
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.003
 DF error1644.000
 t(b)2.438
 p(b)0.470
 t(a)-1.356
 p(a)0.517
 Lowerbound of 95% confidence interval for beta0.005
 Upperbound of 95% confidence interval for beta0.048
 Lowerbound of 95% confidence interval for alpha-0.077
 Upperbound of 95% confidence interval for alpha0.014
 Treynor index (mean / b)-1.076
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.030
 SD0.058
 Sharpe ratio (Glass type estimate) -0.526
 Sharpe ratio (Hedges UMVUE)-0.526
 df1645.000
 t-1.319
 p0.521
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.308
 Upperbound of 95% confidence interval for Sharpe Ratio0.256
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.308
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.256
Statistics related to Sortino ratio
 Sortino ratio-0.729
 Upside Potential Ratio2.480
 Upside part of mean0.104
 Downside part of mean-0.134
 Upside SD0.040
 Downside SD0.042
 N nonnegative terms93.000
 N negative terms1553.000
Statistics related to linear regression on benchmark
 N of observations1646.000
 Mean of predictor0.085
 Mean of criterion-0.030
 SD of predictor0.130
 SD of criterion0.058
 Covariance0.000
 r0.060
 b (slope, estimate of beta)0.027
 a (intercept, estimate of alpha)-0.033
 Mean Square Error0.003
 DF error1644.000
 t(b)2.428
 p(b)0.470
 t(a)-1.417
 p(a)0.517
 Lowerbound of 95% confidence interval for beta0.005
 Upperbound of 95% confidence interval for beta0.048
 Lowerbound of 95% confidence interval for alpha-0.078
 Upperbound of 95% confidence interval for alpha0.013
 Treynor index (mean / b)-1.144
 Jensen alpha (a)-0.033
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 observations1646.000
 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 low63.000
 Percentage of outliers low0.038
 Mean of outliers low0.991
 Number of outliers high93.000
 Percentage of outliers high0.057
 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)-0.001
 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 40.111
 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)0.014
 Compounded annual return (geometric extrapolation)0.014
 Calmar ratio (compounded annual return / max draw down)0.103
 Compounded annual return / average of 25% largest draw downs0.123
 Compounded annual return / Expected Shortfall lognormal1.823
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 predictor0.050
 Mean of criterion-0.044
 SD of predictor0.165
 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 predictor0.037
 Mean of criterion-0.044
 SD of predictor0.166
 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 error129.000
 t(b)0.000
 p(b)0.500
 t(a)-8798960932630715.000
 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)-76065219366834785272895708856320.000
 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-0.028
 SD0.068
 Sharpe ratio (Glass type estimate) -0.415
 Sharpe ratio (Hedges UMVUE)-0.410
 df74.000
 t-1.036
 p0.848
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.200
 Upperbound of 95% confidence interval for Sharpe Ratio0.374
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.197
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.376
Statistics related to Sortino ratio
 Sortino ratio-0.638
 Upside Potential Ratio0.800
 Upside part of mean0.035
 Downside part of mean-0.064
 Upside SD0.052
 Downside SD0.044
 N nonnegative terms5.000
 N negative terms70.000
Statistics related to linear regression on benchmark
 N of observations75.000
 Mean of predictor0.092
 Mean of criterion-0.028
 SD of predictor0.112
 SD of criterion0.068
 Covariance-0.000
 r-0.045
 b (slope, estimate of beta)-0.027
 a (intercept, estimate of alpha)-0.026
 Mean Square Error0.005
 DF error73.000
 t(b)-0.382
 p(b)0.648
 t(a)-0.914
 p(a)0.818
 Lowerbound of 95% confidence interval for beta-0.169
 Upperbound of 95% confidence interval for beta0.115
 Lowerbound of 95% confidence interval for alpha-0.082
 Upperbound of 95% confidence interval for alpha0.030
 Treynor index (mean / b)1.038
 Jensen alpha (a)-0.026
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.030
 SD0.067
 Sharpe ratio (Glass type estimate) -0.451
 Sharpe ratio (Hedges UMVUE)-0.447
 df74.000
 t-1.128
 p0.869
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.237
 Upperbound of 95% confidence interval for Sharpe Ratio0.337
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.234
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.341
Statistics related to Sortino ratio
 Sortino ratio-0.664
 Upside Potential Ratio0.743
 Upside part of mean0.034
 Downside part of mean-0.064
 Upside SD0.050
 Downside SD0.046
 N nonnegative terms5.000
 N negative terms70.000
Statistics related to linear regression on benchmark
 N of observations75.000
 Mean of predictor0.085
 Mean of criterion-0.030
 SD of predictor0.112
 SD of criterion0.067
 Covariance-0.000
 r-0.042
 b (slope, estimate of beta)-0.025
 a (intercept, estimate of alpha)-0.028
 Mean Square Error0.005
 DF error73.000
 t(b)-0.358
 p(b)0.639
 t(a)-1.019
 p(a)0.844
 Lowerbound of 95% confidence interval for beta-0.165
 Upperbound of 95% confidence interval for beta0.115
 Lowerbound of 95% confidence interval for alpha-0.084
 Upperbound of 95% confidence interval for alpha0.027
 Treynor index (mean / b)1.207
 Jensen alpha (a)-0.028
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.034
 Expected Shortfall on VaR0.042
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.018
 Expected Shortfall on VaR0.035
ORDER STATISTICS
Quartiles of return rates
 Number of observations75.000
 Minimum0.914
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.104
 Mean of quarter 10.993
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.013
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.040
 Mean of outliers low0.953
 Number of outliers high5.000
 Percentage of outliers high0.067
 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)-1161711699104777102987964573046399509200896.000
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.729
 VaR(95%) (regression method)-0.061
 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)0.014
 Compounded annual return (geometric extrapolation)0.014
 Calmar ratio (compounded annual return / max draw down)0.160
 Compounded annual return / average of 25% largest draw downs0.160
 Compounded annual return / Expected Shortfall lognormal0.328
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.029
 SD0.058
 Sharpe ratio (Glass type estimate) -0.498
 Sharpe ratio (Hedges UMVUE)-0.497
 df1645.000
 t-1.247
 p0.520
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.280
 Upperbound of 95% confidence interval for Sharpe Ratio0.285
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.279
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.285
Statistics related to Sortino ratio
 Sortino ratio-0.698
 Upside Potential Ratio2.531
 Upside part of mean0.105
 Downside part of mean-0.133
 Upside SD0.041
 Downside SD0.041
 N nonnegative terms93.000
 N negative terms1553.000
Statistics related to linear regression on benchmark
 N of observations1646.000
 Mean of predictor0.093
 Mean of criterion-0.029
 SD of predictor0.130
 SD of criterion0.058
 Covariance0.000
 r0.060
 b (slope, estimate of beta)0.027
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.003
 DF error1644.000
 t(b)2.438
 p(b)0.470
 t(a)-1.356
 p(a)0.517
 Lowerbound of 95% confidence interval for beta0.005
 Upperbound of 95% confidence interval for beta0.048
 Lowerbound of 95% confidence interval for alpha-0.077
 Upperbound of 95% confidence interval for alpha0.014
 Treynor index (mean / b)-1.076
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.030
 SD0.058
 Sharpe ratio (Glass type estimate) -0.526
 Sharpe ratio (Hedges UMVUE)-0.526
 df1645.000
 t-1.319
 p0.521
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.308
 Upperbound of 95% confidence interval for Sharpe Ratio0.256
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.308
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.256
Statistics related to Sortino ratio
 Sortino ratio-0.729
 Upside Potential Ratio2.480
 Upside part of mean0.104
 Downside part of mean-0.134
 Upside SD0.040
 Downside SD0.042
 N nonnegative terms93.000
 N negative terms1553.000
Statistics related to linear regression on benchmark
 N of observations1646.000
 Mean of predictor0.085
 Mean of criterion-0.030
 SD of predictor0.130
 SD of criterion0.058
 Covariance0.000
 r0.060
 b (slope, estimate of beta)0.027
 a (intercept, estimate of alpha)-0.033
 Mean Square Error0.003
 DF error1644.000
 t(b)2.428
 p(b)0.470
 t(a)-1.417
 p(a)0.517
 Lowerbound of 95% confidence interval for beta0.005
 Upperbound of 95% confidence interval for beta0.048
 Lowerbound of 95% confidence interval for alpha-0.078
 Upperbound of 95% confidence interval for alpha0.013
 Treynor index (mean / b)-1.144
 Jensen alpha (a)-0.033
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 observations1646.000
 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 low63.000
 Percentage of outliers low0.038
 Mean of outliers low0.991
 Number of outliers high93.000
 Percentage of outliers high0.057
 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)-0.001
 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 40.111
 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)0.014
 Compounded annual return (geometric extrapolation)0.014
 Calmar ratio (compounded annual return / max draw down)0.103
 Compounded annual return / average of 25% largest draw downs0.123
 Compounded annual return / Expected Shortfall lognormal1.823
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 predictor0.050
 Mean of criterion-0.044
 SD of predictor0.165
 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 predictor0.037
 Mean of criterion-0.044
 SD of predictor0.166
 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 error129.000
 t(b)0.000
 p(b)0.500
 t(a)-8798960932630715.000
 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)-76065219366834785272895708856320.000
 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