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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
 SD0.069
 Sharpe ratio (Glass type estimate) -0.403
 Sharpe ratio (Hedges UMVUE)-0.398
 df72.000
 t-0.993
 p0.838
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.199
 Upperbound of 95% confidence interval for Sharpe Ratio0.396
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.196
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.399
Statistics related to Sortino ratio
 Sortino ratio-0.621
 Upside Potential Ratio0.812
 Upside part of mean0.036
 Downside part of mean-0.064
 Upside SD0.053
 Downside SD0.045
 N nonnegative terms5.000
 N negative terms68.000
Statistics related to linear regression on benchmark
 N of observations73.000
 Mean of predictor0.090
 Mean of criterion-0.028
 SD of predictor0.108
 SD of criterion0.069
 Covariance-0.000
 r-0.047
 b (slope, estimate of beta)-0.030
 a (intercept, estimate of alpha)-0.025
 Mean Square Error0.005
 DF error71.000
 t(b)-0.395
 p(b)0.653
 t(a)-0.866
 p(a)0.805
 Lowerbound of 95% confidence interval for beta-0.182
 Upperbound of 95% confidence interval for beta0.122
 Lowerbound of 95% confidence interval for alpha-0.083
 Upperbound of 95% confidence interval for alpha0.033
 Treynor index (mean / b)0.926
 Jensen alpha (a)-0.025
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.030
 SD0.068
 Sharpe ratio (Glass type estimate) -0.440
 Sharpe ratio (Hedges UMVUE)-0.435
 df72.000
 t-1.085
 p0.859
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.236
 Upperbound of 95% confidence interval for Sharpe Ratio0.360
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.233
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.363
Statistics related to Sortino ratio
 Sortino ratio-0.648
 Upside Potential Ratio0.753
 Upside part of mean0.035
 Downside part of mean-0.065
 Upside SD0.050
 Downside SD0.046
 N nonnegative terms5.000
 N negative terms68.000
Statistics related to linear regression on benchmark
 N of observations73.000
 Mean of predictor0.084
 Mean of criterion-0.030
 SD of predictor0.108
 SD of criterion0.068
 Covariance-0.000
 r-0.044
 b (slope, estimate of beta)-0.028
 a (intercept, estimate of alpha)-0.028
 Mean Square Error0.005
 DF error71.000
 t(b)-0.370
 p(b)0.644
 t(a)-0.971
 p(a)0.833
 Lowerbound of 95% confidence interval for beta-0.177
 Upperbound of 95% confidence interval for beta0.122
 Lowerbound of 95% confidence interval for alpha-0.085
 Upperbound of 95% confidence interval for alpha0.029
 Treynor index (mean / b)1.083
 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 observations73.000
 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 low0.041
 Mean of outliers low0.953
 Number of outliers high5.000
 Percentage of outliers high0.068
 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)-14250318862682365786874359340469808267264.000
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.729
 VaR(95%) (regression method)-0.053
 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)0.015
 Compounded annual return (geometric extrapolation)0.014
 Calmar ratio (compounded annual return / max draw down)0.164
 Compounded annual return / average of 25% largest draw downs0.164
 Compounded annual return / Expected Shortfall lognormal0.333
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.059
 Sharpe ratio (Glass type estimate) -0.485
 Sharpe ratio (Hedges UMVUE)-0.484
 df1604.000
 t-1.200
 p0.515
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.277
 Upperbound of 95% confidence interval for Sharpe Ratio0.307
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.277
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.308
Statistics related to Sortino ratio
 Sortino ratio-0.680
 Upside Potential Ratio2.563
 Upside part of mean0.107
 Downside part of mean-0.136
 Upside SD0.041
 Downside SD0.042
 N nonnegative terms93.000
 N negative terms1512.000
Statistics related to linear regression on benchmark
 N of observations1605.000
 Mean of predictor0.101
 Mean of criterion-0.028
 SD of predictor0.127
 SD of criterion0.059
 Covariance0.000
 r0.062
 b (slope, estimate of beta)0.029
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.003
 DF error1603.000
 t(b)2.490
 p(b)0.461
 t(a)-1.322
 p(a)0.521
 Lowerbound of 95% confidence interval for beta0.006
 Upperbound of 95% confidence interval for beta0.051
 Lowerbound of 95% confidence interval for alpha-0.078
 Upperbound of 95% confidence interval for alpha0.015
 Treynor index (mean / b)-0.992
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.030
 SD0.059
 Sharpe ratio (Glass type estimate) -0.514
 Sharpe ratio (Hedges UMVUE)-0.513
 df1604.000
 t-1.271
 p0.516
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.306
 Upperbound of 95% confidence interval for Sharpe Ratio0.279
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.305
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.279
Statistics related to Sortino ratio
 Sortino ratio-0.712
 Upside Potential Ratio2.512
 Upside part of mean0.106
 Downside part of mean-0.137
 Upside SD0.041
 Downside SD0.042
 N nonnegative terms93.000
 N negative terms1512.000
Statistics related to linear regression on benchmark
 N of observations1605.000
 Mean of predictor0.093
 Mean of criterion-0.030
 SD of predictor0.127
 SD of criterion0.059
 Covariance0.000
 r0.062
 b (slope, estimate of beta)0.029
 a (intercept, estimate of alpha)-0.033
 Mean Square Error0.003
 DF error1603.000
 t(b)2.480
 p(b)0.461
 t(a)-1.384
 p(a)0.522
 Lowerbound of 95% confidence interval for beta0.006
 Upperbound of 95% confidence interval for beta0.051
 Lowerbound of 95% confidence interval for alpha-0.079
 Upperbound of 95% confidence interval for alpha0.014
 Treynor index (mean / b)-1.056
 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 VaR0.008
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 observations1605.000
 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 low0.039
 Mean of outliers low0.991
 Number of outliers high93.000
 Percentage of outliers high0.058
 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)0.106
 Compounded annual return / average of 25% largest draw downs0.126
 Compounded annual return / Expected Shortfall lognormal1.847
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 predictor0.190
 Mean of criterion-0.044
 SD of predictor0.117
 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 predictor0.183
 Mean of criterion-0.044
 SD of predictor0.118
 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)-8759164445910832.000
 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)-160840547785885946089273078841344.000
 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
 SD0.069
 Sharpe ratio (Glass type estimate) -0.403
 Sharpe ratio (Hedges UMVUE)-0.398
 df72.000
 t-0.993
 p0.838
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.199
 Upperbound of 95% confidence interval for Sharpe Ratio0.396
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.196
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.399
Statistics related to Sortino ratio
 Sortino ratio-0.621
 Upside Potential Ratio0.812
 Upside part of mean0.036
 Downside part of mean-0.064
 Upside SD0.053
 Downside SD0.045
 N nonnegative terms5.000
 N negative terms68.000
Statistics related to linear regression on benchmark
 N of observations73.000
 Mean of predictor0.090
 Mean of criterion-0.028
 SD of predictor0.108
 SD of criterion0.069
 Covariance-0.000
 r-0.047
 b (slope, estimate of beta)-0.030
 a (intercept, estimate of alpha)-0.025
 Mean Square Error0.005
 DF error71.000
 t(b)-0.395
 p(b)0.653
 t(a)-0.866
 p(a)0.805
 Lowerbound of 95% confidence interval for beta-0.182
 Upperbound of 95% confidence interval for beta0.122
 Lowerbound of 95% confidence interval for alpha-0.083
 Upperbound of 95% confidence interval for alpha0.033
 Treynor index (mean / b)0.926
 Jensen alpha (a)-0.025
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.030
 SD0.068
 Sharpe ratio (Glass type estimate) -0.440
 Sharpe ratio (Hedges UMVUE)-0.435
 df72.000
 t-1.085
 p0.859
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.236
 Upperbound of 95% confidence interval for Sharpe Ratio0.360
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.233
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.363
Statistics related to Sortino ratio
 Sortino ratio-0.648
 Upside Potential Ratio0.753
 Upside part of mean0.035
 Downside part of mean-0.065
 Upside SD0.050
 Downside SD0.046
 N nonnegative terms5.000
 N negative terms68.000
Statistics related to linear regression on benchmark
 N of observations73.000
 Mean of predictor0.084
 Mean of criterion-0.030
 SD of predictor0.108
 SD of criterion0.068
 Covariance-0.000
 r-0.044
 b (slope, estimate of beta)-0.028
 a (intercept, estimate of alpha)-0.028
 Mean Square Error0.005
 DF error71.000
 t(b)-0.370
 p(b)0.644
 t(a)-0.971
 p(a)0.833
 Lowerbound of 95% confidence interval for beta-0.177
 Upperbound of 95% confidence interval for beta0.122
 Lowerbound of 95% confidence interval for alpha-0.085
 Upperbound of 95% confidence interval for alpha0.029
 Treynor index (mean / b)1.083
 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 observations73.000
 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 low0.041
 Mean of outliers low0.953
 Number of outliers high5.000
 Percentage of outliers high0.068
 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)-14250318862682365786874359340469808267264.000
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.729
 VaR(95%) (regression method)-0.053
 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)0.015
 Compounded annual return (geometric extrapolation)0.014
 Calmar ratio (compounded annual return / max draw down)0.164
 Compounded annual return / average of 25% largest draw downs0.164
 Compounded annual return / Expected Shortfall lognormal0.333
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.059
 Sharpe ratio (Glass type estimate) -0.485
 Sharpe ratio (Hedges UMVUE)-0.484
 df1604.000
 t-1.200
 p0.515
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.277
 Upperbound of 95% confidence interval for Sharpe Ratio0.307
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.277
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.308
Statistics related to Sortino ratio
 Sortino ratio-0.680
 Upside Potential Ratio2.563
 Upside part of mean0.107
 Downside part of mean-0.136
 Upside SD0.041
 Downside SD0.042
 N nonnegative terms93.000
 N negative terms1512.000
Statistics related to linear regression on benchmark
 N of observations1605.000
 Mean of predictor0.101
 Mean of criterion-0.028
 SD of predictor0.127
 SD of criterion0.059
 Covariance0.000
 r0.062
 b (slope, estimate of beta)0.029
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.003
 DF error1603.000
 t(b)2.490
 p(b)0.461
 t(a)-1.322
 p(a)0.521
 Lowerbound of 95% confidence interval for beta0.006
 Upperbound of 95% confidence interval for beta0.051
 Lowerbound of 95% confidence interval for alpha-0.078
 Upperbound of 95% confidence interval for alpha0.015
 Treynor index (mean / b)-0.992
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.030
 SD0.059
 Sharpe ratio (Glass type estimate) -0.514
 Sharpe ratio (Hedges UMVUE)-0.513
 df1604.000
 t-1.271
 p0.516
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.306
 Upperbound of 95% confidence interval for Sharpe Ratio0.279
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.305
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.279
Statistics related to Sortino ratio
 Sortino ratio-0.712
 Upside Potential Ratio2.512
 Upside part of mean0.106
 Downside part of mean-0.137
 Upside SD0.041
 Downside SD0.042
 N nonnegative terms93.000
 N negative terms1512.000
Statistics related to linear regression on benchmark
 N of observations1605.000
 Mean of predictor0.093
 Mean of criterion-0.030
 SD of predictor0.127
 SD of criterion0.059
 Covariance0.000
 r0.062
 b (slope, estimate of beta)0.029
 a (intercept, estimate of alpha)-0.033
 Mean Square Error0.003
 DF error1603.000
 t(b)2.480
 p(b)0.461
 t(a)-1.384
 p(a)0.522
 Lowerbound of 95% confidence interval for beta0.006
 Upperbound of 95% confidence interval for beta0.051
 Lowerbound of 95% confidence interval for alpha-0.079
 Upperbound of 95% confidence interval for alpha0.014
 Treynor index (mean / b)-1.056
 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 VaR0.008
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 observations1605.000
 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 low0.039
 Mean of outliers low0.991
 Number of outliers high93.000
 Percentage of outliers high0.058
 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)0.106
 Compounded annual return / average of 25% largest draw downs0.126
 Compounded annual return / Expected Shortfall lognormal1.847
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 predictor0.190
 Mean of criterion-0.044
 SD of predictor0.117
 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 predictor0.183
 Mean of criterion-0.044
 SD of predictor0.118
 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)-8759164445910832.000
 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)-160840547785885946089273078841344.000
 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