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
 SD0.065
 Sharpe ratio (Glass type estimate) -0.396
 Sharpe ratio (Hedges UMVUE)-0.391
 df61.000
 t-0.900
 p0.814
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.260
 Upperbound of 95% confidence interval for Sharpe Ratio0.471
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.256
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.474
Statistics related to Sortino ratio
 Sortino ratio-0.583
 Upside Potential Ratio0.983
 Upside part of mean0.043
 Downside part of mean-0.069
 Upside SD0.047
 Downside SD0.044
 N nonnegative terms5.000
 N negative terms57.000
Statistics related to linear regression on benchmark
 N of observations62.000
 Mean of predictor0.082
 Mean of criterion-0.026
 SD of predictor0.106
 SD of criterion0.065
 Covariance0.001
 r0.114
 b (slope, estimate of beta)0.070
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error60.000
 t(b)0.891
 p(b)0.188
 t(a)-1.072
 p(a)0.856
 Lowerbound of 95% confidence interval for beta-0.087
 Upperbound of 95% confidence interval for beta0.226
 Lowerbound of 95% confidence interval for alpha-0.090
 Upperbound of 95% confidence interval for alpha0.027
 Treynor index (mean / b)-0.367
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.064
 Sharpe ratio (Glass type estimate) -0.429
 Sharpe ratio (Hedges UMVUE)-0.423
 df61.000
 t-0.975
 p0.833
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.293
 Upperbound of 95% confidence interval for Sharpe Ratio0.439
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.289
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.442
Statistics related to Sortino ratio
 Sortino ratio-0.611
 Upside Potential Ratio0.930
 Upside part of mean0.042
 Downside part of mean-0.069
 Upside SD0.046
 Downside SD0.045
 N nonnegative terms5.000
 N negative terms57.000
Statistics related to linear regression on benchmark
 N of observations62.000
 Mean of predictor0.076
 Mean of criterion-0.028
 SD of predictor0.105
 SD of criterion0.064
 Covariance0.001
 r0.118
 b (slope, estimate of beta)0.072
 a (intercept, estimate of alpha)-0.033
 Mean Square Error0.004
 DF error60.000
 t(b)0.917
 p(b)0.181
 t(a)-1.140
 p(a)0.871
 Lowerbound of 95% confidence interval for beta-0.085
 Upperbound of 95% confidence interval for beta0.229
 Lowerbound of 95% confidence interval for alpha-0.091
 Upperbound of 95% confidence interval for alpha0.025
 Treynor index (mean / b)-0.384
 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%)0.032
 Expected Shortfall on VaR0.040
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.019
 Expected Shortfall on VaR0.036
ORDER STATISTICS
Quartiles of return rates
 Number of observations62.000
 Minimum0.930
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.074
 Mean of quarter 10.991
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.015
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.048
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.097
 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)0.024
 Expected Shortfall (regression method)0.061
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)0.017
 Compounded annual return (geometric extrapolation)0.017
 Calmar ratio (compounded annual return / max draw down)0.238
 Compounded annual return / average of 25% largest draw downs0.238
 Compounded annual return / Expected Shortfall lognormal0.417
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.026
 SD0.064
 Sharpe ratio (Glass type estimate) -0.401
 Sharpe ratio (Hedges UMVUE)-0.401
 df1793.000
 t-0.917
 p0.514
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.260
 Upperbound of 95% confidence interval for Sharpe Ratio0.457
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.260
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.457
Statistics related to Sortino ratio
 Sortino ratio-0.560
 Upside Potential Ratio2.860
 Upside part of mean0.131
 Downside part of mean-0.157
 Upside SD0.045
 Downside SD0.046
 N nonnegative terms110.000
 N negative terms1684.000
Statistics related to linear regression on benchmark
 N of observations1794.000
 Mean of predictor0.088
 Mean of criterion-0.026
 SD of predictor0.130
 SD of criterion0.064
 Covariance0.001
 r0.066
 b (slope, estimate of beta)0.033
 a (intercept, estimate of alpha)-0.029
 Mean Square Error0.004
 DF error1792.000
 t(b)2.813
 p(b)0.467
 t(a)-1.020
 p(a)0.512
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.055
 Lowerbound of 95% confidence interval for alpha-0.083
 Upperbound of 95% confidence interval for alpha0.026
 Treynor index (mean / b)-0.789
 Jensen alpha (a)-0.029
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.064
 Sharpe ratio (Glass type estimate) -0.433
 Sharpe ratio (Hedges UMVUE)-0.433
 df1793.000
 t-0.989
 p0.515
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.291
 Upperbound of 95% confidence interval for Sharpe Ratio0.425
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.291
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.426
Statistics related to Sortino ratio
 Sortino ratio-0.597
 Upside Potential Ratio2.803
 Upside part of mean0.130
 Downside part of mean-0.158
 Upside SD0.044
 Downside SD0.046
 N nonnegative terms110.000
 N negative terms1684.000
Statistics related to linear regression on benchmark
 N of observations1794.000
 Mean of predictor0.079
 Mean of criterion-0.028
 SD of predictor0.130
 SD of criterion0.064
 Covariance0.001
 r0.066
 b (slope, estimate of beta)0.033
 a (intercept, estimate of alpha)-0.030
 Mean Square Error0.004
 DF error1792.000
 t(b)2.806
 p(b)0.467
 t(a)-1.082
 p(a)0.513
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.055
 Lowerbound of 95% confidence interval for alpha-0.085
 Upperbound of 95% confidence interval for alpha0.025
 Treynor index (mean / b)-0.853
 Jensen alpha (a)-0.030
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 VaR0.003
ORDER STATISTICS
Quartiles of return rates
 Number of observations1794.000
 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 low0.039
 Mean of outliers low0.991
 Number of outliers high111.000
 Percentage of outliers high0.062
 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)0.017
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.125
 Compounded annual return / average of 25% largest draw downs0.141
 Compounded annual return / Expected Shortfall lognormal2.290
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) NA
 Sharpe ratio (Hedges UMVUE)NA
 dfNA
 tNA
 pNA
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
Statistics related to Sortino ratio
 Sortino ratio-18.547
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.002
 N nonnegative terms0.000
 N negative terms172.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.113
 Mean of criterion-0.044
 SD of predictor0.116
 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 predictor0.107
 Mean of criterion-0.044
 SD of predictor0.117
 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 error170.000
 t(b)0.000
 p(b)0.500
 t(a)-5588710103528793.000
 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)-20269268101919402705960271085568.000
 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-0.026
 SD0.065
 Sharpe ratio (Glass type estimate) -0.396
 Sharpe ratio (Hedges UMVUE)-0.391
 df61.000
 t-0.900
 p0.814
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.260
 Upperbound of 95% confidence interval for Sharpe Ratio0.471
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.256
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.474
Statistics related to Sortino ratio
 Sortino ratio-0.583
 Upside Potential Ratio0.983
 Upside part of mean0.043
 Downside part of mean-0.069
 Upside SD0.047
 Downside SD0.044
 N nonnegative terms5.000
 N negative terms57.000
Statistics related to linear regression on benchmark
 N of observations62.000
 Mean of predictor0.082
 Mean of criterion-0.026
 SD of predictor0.106
 SD of criterion0.065
 Covariance0.001
 r0.114
 b (slope, estimate of beta)0.070
 a (intercept, estimate of alpha)-0.031
 Mean Square Error0.004
 DF error60.000
 t(b)0.891
 p(b)0.188
 t(a)-1.072
 p(a)0.856
 Lowerbound of 95% confidence interval for beta-0.087
 Upperbound of 95% confidence interval for beta0.226
 Lowerbound of 95% confidence interval for alpha-0.090
 Upperbound of 95% confidence interval for alpha0.027
 Treynor index (mean / b)-0.367
 Jensen alpha (a)-0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.064
 Sharpe ratio (Glass type estimate) -0.429
 Sharpe ratio (Hedges UMVUE)-0.423
 df61.000
 t-0.975
 p0.833
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.293
 Upperbound of 95% confidence interval for Sharpe Ratio0.439
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.289
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.442
Statistics related to Sortino ratio
 Sortino ratio-0.611
 Upside Potential Ratio0.930
 Upside part of mean0.042
 Downside part of mean-0.069
 Upside SD0.046
 Downside SD0.045
 N nonnegative terms5.000
 N negative terms57.000
Statistics related to linear regression on benchmark
 N of observations62.000
 Mean of predictor0.076
 Mean of criterion-0.028
 SD of predictor0.105
 SD of criterion0.064
 Covariance0.001
 r0.118
 b (slope, estimate of beta)0.072
 a (intercept, estimate of alpha)-0.033
 Mean Square Error0.004
 DF error60.000
 t(b)0.917
 p(b)0.181
 t(a)-1.140
 p(a)0.871
 Lowerbound of 95% confidence interval for beta-0.085
 Upperbound of 95% confidence interval for beta0.229
 Lowerbound of 95% confidence interval for alpha-0.091
 Upperbound of 95% confidence interval for alpha0.025
 Treynor index (mean / b)-0.384
 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%)0.032
 Expected Shortfall on VaR0.040
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.019
 Expected Shortfall on VaR0.036
ORDER STATISTICS
Quartiles of return rates
 Number of observations62.000
 Minimum0.930
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.074
 Mean of quarter 10.991
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.015
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.048
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.097
 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)0.024
 Expected Shortfall (regression method)0.061
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)0.017
 Compounded annual return (geometric extrapolation)0.017
 Calmar ratio (compounded annual return / max draw down)0.238
 Compounded annual return / average of 25% largest draw downs0.238
 Compounded annual return / Expected Shortfall lognormal0.417
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.026
 SD0.064
 Sharpe ratio (Glass type estimate) -0.401
 Sharpe ratio (Hedges UMVUE)-0.401
 df1793.000
 t-0.917
 p0.514
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.260
 Upperbound of 95% confidence interval for Sharpe Ratio0.457
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.260
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.457
Statistics related to Sortino ratio
 Sortino ratio-0.560
 Upside Potential Ratio2.860
 Upside part of mean0.131
 Downside part of mean-0.157
 Upside SD0.045
 Downside SD0.046
 N nonnegative terms110.000
 N negative terms1684.000
Statistics related to linear regression on benchmark
 N of observations1794.000
 Mean of predictor0.088
 Mean of criterion-0.026
 SD of predictor0.130
 SD of criterion0.064
 Covariance0.001
 r0.066
 b (slope, estimate of beta)0.033
 a (intercept, estimate of alpha)-0.029
 Mean Square Error0.004
 DF error1792.000
 t(b)2.813
 p(b)0.467
 t(a)-1.020
 p(a)0.512
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.055
 Lowerbound of 95% confidence interval for alpha-0.083
 Upperbound of 95% confidence interval for alpha0.026
 Treynor index (mean / b)-0.789
 Jensen alpha (a)-0.029
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.064
 Sharpe ratio (Glass type estimate) -0.433
 Sharpe ratio (Hedges UMVUE)-0.433
 df1793.000
 t-0.989
 p0.515
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.291
 Upperbound of 95% confidence interval for Sharpe Ratio0.425
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.291
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.426
Statistics related to Sortino ratio
 Sortino ratio-0.597
 Upside Potential Ratio2.803
 Upside part of mean0.130
 Downside part of mean-0.158
 Upside SD0.044
 Downside SD0.046
 N nonnegative terms110.000
 N negative terms1684.000
Statistics related to linear regression on benchmark
 N of observations1794.000
 Mean of predictor0.079
 Mean of criterion-0.028
 SD of predictor0.130
 SD of criterion0.064
 Covariance0.001
 r0.066
 b (slope, estimate of beta)0.033
 a (intercept, estimate of alpha)-0.030
 Mean Square Error0.004
 DF error1792.000
 t(b)2.806
 p(b)0.467
 t(a)-1.082
 p(a)0.513
 Lowerbound of 95% confidence interval for beta0.010
 Upperbound of 95% confidence interval for beta0.055
 Lowerbound of 95% confidence interval for alpha-0.085
 Upperbound of 95% confidence interval for alpha0.025
 Treynor index (mean / b)-0.853
 Jensen alpha (a)-0.030
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 VaR0.003
ORDER STATISTICS
Quartiles of return rates
 Number of observations1794.000
 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 low0.039
 Mean of outliers low0.991
 Number of outliers high111.000
 Percentage of outliers high0.062
 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)0.017
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.125
 Compounded annual return / average of 25% largest draw downs0.141
 Compounded annual return / Expected Shortfall lognormal2.290
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) NA
 Sharpe ratio (Hedges UMVUE)NA
 dfNA
 tNA
 pNA
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
Statistics related to Sortino ratio
 Sortino ratio-18.547
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.002
 N nonnegative terms0.000
 N negative terms172.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.113
 Mean of criterion-0.044
 SD of predictor0.116
 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 predictor0.107
 Mean of criterion-0.044
 SD of predictor0.117
 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 error170.000
 t(b)0.000
 p(b)0.500
 t(a)-5588710103528793.000
 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)-20269268101919402705960271085568.000
 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