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-0.022
 SD0.071
 Sharpe ratio (Glass type estimate) -0.312
 Sharpe ratio (Hedges UMVUE)-0.307
 df51.000
 t-0.650
 p0.741
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.254
 Upperbound of 95% confidence interval for Sharpe Ratio0.633
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.251
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.636
Statistics related to Sortino ratio
 Sortino ratio-0.463
 Upside Potential Ratio1.080
 Upside part of mean0.051
 Downside part of mean-0.073
 Upside SD0.052
 Downside SD0.048
 N nonnegative terms5.000
 N negative terms47.000
Statistics related to linear regression on benchmark
 N of observations52.000
 Mean of predictor0.071
 Mean of criterion-0.022
 SD of predictor0.110
 SD of criterion0.071
 Covariance0.001
 r0.123
 b (slope, estimate of beta)0.079
 a (intercept, estimate of alpha)-0.028
 Mean Square Error0.005
 DF error50.000
 t(b)0.878
 p(b)0.192
 t(a)-0.800
 p(a)0.786
 Lowerbound of 95% confidence interval for beta-0.102
 Upperbound of 95% confidence interval for beta0.261
 Lowerbound of 95% confidence interval for alpha-0.097
 Upperbound of 95% confidence interval for alpha0.042
 Treynor index (mean / b)-0.278
 Jensen alpha (a)-0.028
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.024
 SD0.070
 Sharpe ratio (Glass type estimate) -0.347
 Sharpe ratio (Hedges UMVUE)-0.342
 df51.000
 t-0.723
 p0.763
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.289
 Upperbound of 95% confidence interval for Sharpe Ratio0.598
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.286
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.602
Statistics related to Sortino ratio
 Sortino ratio-0.499
 Upside Potential Ratio1.022
 Upside part of mean0.050
 Downside part of mean-0.074
 Upside SD0.050
 Downside SD0.049
 N nonnegative terms5.000
 N negative terms47.000
Statistics related to linear regression on benchmark
 N of observations52.000
 Mean of predictor0.065
 Mean of criterion-0.024
 SD of predictor0.109
 SD of criterion0.070
 Covariance0.001
 r0.126
 b (slope, estimate of beta)0.081
 a (intercept, estimate of alpha)-0.030
 Mean Square Error0.005
 DF error50.000
 t(b)0.900
 p(b)0.186
 t(a)-0.864
 p(a)0.804
 Lowerbound of 95% confidence interval for beta-0.100
 Upperbound of 95% confidence interval for beta0.263
 Lowerbound of 95% confidence interval for alpha-0.099
 Upperbound of 95% confidence interval for alpha0.039
 Treynor index (mean / b)-0.300
 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%)0.035
 Expected Shortfall on VaR0.043
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.020
 Expected Shortfall on VaR0.038
ORDER STATISTICS
Quartiles of return rates
 Number of observations52.000
 Minimum0.930
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.074
 Mean of quarter 10.989
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.019
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.058
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.115
 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)0.038
 Expected Shortfall (regression method)0.067
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)0.020
 Compounded annual return (geometric extrapolation)0.020
 Calmar ratio (compounded annual return / max draw down)0.285
 Compounded annual return / average of 25% largest draw downs0.285
 Compounded annual return / Expected Shortfall lognormal0.462
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.022
 SD0.070
 Sharpe ratio (Glass type estimate) -0.318
 Sharpe ratio (Hedges UMVUE)-0.318
 df1507.000
 t-0.666
 p0.511
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.254
 Upperbound of 95% confidence interval for Sharpe Ratio0.618
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.254
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.618
Statistics related to Sortino ratio
 Sortino ratio-0.444
 Upside Potential Ratio3.120
 Upside part of mean0.156
 Downside part of mean-0.178
 Upside SD0.049
 Downside SD0.050
 N nonnegative terms110.000
 N negative terms1398.000
Statistics related to linear regression on benchmark
 N of observations1508.000
 Mean of predictor0.068
 Mean of criterion-0.022
 SD of predictor0.133
 SD of criterion0.070
 Covariance0.001
 r0.071
 b (slope, estimate of beta)0.037
 a (intercept, estimate of alpha)-0.025
 Mean Square Error0.005
 DF error1506.000
 t(b)2.762
 p(b)0.465
 t(a)-0.743
 p(a)0.510
 Lowerbound of 95% confidence interval for beta0.011
 Upperbound of 95% confidence interval for beta0.064
 Lowerbound of 95% confidence interval for alpha-0.090
 Upperbound of 95% confidence interval for alpha0.041
 Treynor index (mean / b)-0.595
 Jensen alpha (a)-0.025
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.025
 SD0.070
 Sharpe ratio (Glass type estimate) -0.353
 Sharpe ratio (Hedges UMVUE)-0.353
 df1507.000
 t-0.738
 p0.512
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.289
 Upperbound of 95% confidence interval for Sharpe Ratio0.584
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.289
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.584
Statistics related to Sortino ratio
 Sortino ratio-0.487
 Upside Potential Ratio3.058
 Upside part of mean0.155
 Downside part of mean-0.179
 Upside SD0.048
 Downside SD0.051
 N nonnegative terms110.000
 N negative terms1398.000
Statistics related to linear regression on benchmark
 N of observations1508.000
 Mean of predictor0.059
 Mean of criterion-0.025
 SD of predictor0.133
 SD of criterion0.070
 Covariance0.001
 r0.071
 b (slope, estimate of beta)0.037
 a (intercept, estimate of alpha)-0.027
 Mean Square Error0.005
 DF error1506.000
 t(b)2.755
 p(b)0.465
 t(a)-0.806
 p(a)0.510
 Lowerbound of 95% confidence interval for beta0.011
 Upperbound of 95% confidence interval for beta0.064
 Lowerbound of 95% confidence interval for alpha-0.092
 Upperbound of 95% confidence interval for alpha0.038
 Treynor index (mean / b)-0.662
 Jensen alpha (a)-0.027
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 observations1508.000
 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 low70.000
 Percentage of outliers low0.046
 Mean of outliers low0.991
 Number of outliers high111.000
 Percentage of outliers high0.074
 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)-0.000
 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 40.116
 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)0.020
 Compounded annual return (geometric extrapolation)0.020
 Calmar ratio (compounded annual return / max draw down)0.148
 Compounded annual return / average of 25% largest draw downs0.169
 Compounded annual return / Expected Shortfall lognormal2.508
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 predictor-0.262
 Mean of criterion-0.044
 SD of predictor0.206
 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 predictor-0.283
 Mean of criterion-0.044
 SD of predictor0.206
 SD of criterion0.000
 Covariance-0.000
 r-0.000
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)-0.000
 p(b)0.500
 t(a)-5580171982495944.000
 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)42649721651902030417688463933440.000
 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-0.022
 SD0.071
 Sharpe ratio (Glass type estimate) -0.312
 Sharpe ratio (Hedges UMVUE)-0.307
 df51.000
 t-0.650
 p0.741
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.254
 Upperbound of 95% confidence interval for Sharpe Ratio0.633
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.251
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.636
Statistics related to Sortino ratio
 Sortino ratio-0.463
 Upside Potential Ratio1.080
 Upside part of mean0.051
 Downside part of mean-0.073
 Upside SD0.052
 Downside SD0.048
 N nonnegative terms5.000
 N negative terms47.000
Statistics related to linear regression on benchmark
 N of observations52.000
 Mean of predictor0.071
 Mean of criterion-0.022
 SD of predictor0.110
 SD of criterion0.071
 Covariance0.001
 r0.123
 b (slope, estimate of beta)0.079
 a (intercept, estimate of alpha)-0.028
 Mean Square Error0.005
 DF error50.000
 t(b)0.878
 p(b)0.192
 t(a)-0.800
 p(a)0.786
 Lowerbound of 95% confidence interval for beta-0.102
 Upperbound of 95% confidence interval for beta0.261
 Lowerbound of 95% confidence interval for alpha-0.097
 Upperbound of 95% confidence interval for alpha0.042
 Treynor index (mean / b)-0.278
 Jensen alpha (a)-0.028
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.024
 SD0.070
 Sharpe ratio (Glass type estimate) -0.347
 Sharpe ratio (Hedges UMVUE)-0.342
 df51.000
 t-0.723
 p0.763
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.289
 Upperbound of 95% confidence interval for Sharpe Ratio0.598
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.286
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.602
Statistics related to Sortino ratio
 Sortino ratio-0.499
 Upside Potential Ratio1.022
 Upside part of mean0.050
 Downside part of mean-0.074
 Upside SD0.050
 Downside SD0.049
 N nonnegative terms5.000
 N negative terms47.000
Statistics related to linear regression on benchmark
 N of observations52.000
 Mean of predictor0.065
 Mean of criterion-0.024
 SD of predictor0.109
 SD of criterion0.070
 Covariance0.001
 r0.126
 b (slope, estimate of beta)0.081
 a (intercept, estimate of alpha)-0.030
 Mean Square Error0.005
 DF error50.000
 t(b)0.900
 p(b)0.186
 t(a)-0.864
 p(a)0.804
 Lowerbound of 95% confidence interval for beta-0.100
 Upperbound of 95% confidence interval for beta0.263
 Lowerbound of 95% confidence interval for alpha-0.099
 Upperbound of 95% confidence interval for alpha0.039
 Treynor index (mean / b)-0.300
 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%)0.035
 Expected Shortfall on VaR0.043
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.020
 Expected Shortfall on VaR0.038
ORDER STATISTICS
Quartiles of return rates
 Number of observations52.000
 Minimum0.930
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.074
 Mean of quarter 10.989
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.019
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.058
 Mean of outliers low0.951
 Number of outliers high6.000
 Percentage of outliers high0.115
 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)0.038
 Expected Shortfall (regression method)0.067
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)0.020
 Compounded annual return (geometric extrapolation)0.020
 Calmar ratio (compounded annual return / max draw down)0.285
 Compounded annual return / average of 25% largest draw downs0.285
 Compounded annual return / Expected Shortfall lognormal0.462
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.022
 SD0.070
 Sharpe ratio (Glass type estimate) -0.318
 Sharpe ratio (Hedges UMVUE)-0.318
 df1507.000
 t-0.666
 p0.511
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.254
 Upperbound of 95% confidence interval for Sharpe Ratio0.618
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.254
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.618
Statistics related to Sortino ratio
 Sortino ratio-0.444
 Upside Potential Ratio3.120
 Upside part of mean0.156
 Downside part of mean-0.178
 Upside SD0.049
 Downside SD0.050
 N nonnegative terms110.000
 N negative terms1398.000
Statistics related to linear regression on benchmark
 N of observations1508.000
 Mean of predictor0.068
 Mean of criterion-0.022
 SD of predictor0.133
 SD of criterion0.070
 Covariance0.001
 r0.071
 b (slope, estimate of beta)0.037
 a (intercept, estimate of alpha)-0.025
 Mean Square Error0.005
 DF error1506.000
 t(b)2.762
 p(b)0.465
 t(a)-0.743
 p(a)0.510
 Lowerbound of 95% confidence interval for beta0.011
 Upperbound of 95% confidence interval for beta0.064
 Lowerbound of 95% confidence interval for alpha-0.090
 Upperbound of 95% confidence interval for alpha0.041
 Treynor index (mean / b)-0.595
 Jensen alpha (a)-0.025
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.025
 SD0.070
 Sharpe ratio (Glass type estimate) -0.353
 Sharpe ratio (Hedges UMVUE)-0.353
 df1507.000
 t-0.738
 p0.512
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.289
 Upperbound of 95% confidence interval for Sharpe Ratio0.584
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.289
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.584
Statistics related to Sortino ratio
 Sortino ratio-0.487
 Upside Potential Ratio3.058
 Upside part of mean0.155
 Downside part of mean-0.179
 Upside SD0.048
 Downside SD0.051
 N nonnegative terms110.000
 N negative terms1398.000
Statistics related to linear regression on benchmark
 N of observations1508.000
 Mean of predictor0.059
 Mean of criterion-0.025
 SD of predictor0.133
 SD of criterion0.070
 Covariance0.001
 r0.071
 b (slope, estimate of beta)0.037
 a (intercept, estimate of alpha)-0.027
 Mean Square Error0.005
 DF error1506.000
 t(b)2.755
 p(b)0.465
 t(a)-0.806
 p(a)0.510
 Lowerbound of 95% confidence interval for beta0.011
 Upperbound of 95% confidence interval for beta0.064
 Lowerbound of 95% confidence interval for alpha-0.092
 Upperbound of 95% confidence interval for alpha0.038
 Treynor index (mean / b)-0.662
 Jensen alpha (a)-0.027
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 observations1508.000
 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 low70.000
 Percentage of outliers low0.046
 Mean of outliers low0.991
 Number of outliers high111.000
 Percentage of outliers high0.074
 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)-0.000
 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 40.116
 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)0.020
 Compounded annual return (geometric extrapolation)0.020
 Calmar ratio (compounded annual return / max draw down)0.148
 Compounded annual return / average of 25% largest draw downs0.169
 Compounded annual return / Expected Shortfall lognormal2.508
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 predictor-0.262
 Mean of criterion-0.044
 SD of predictor0.206
 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 predictor-0.283
 Mean of criterion-0.044
 SD of predictor0.206
 SD of criterion0.000
 Covariance-0.000
 r-0.000
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)-0.000
 p(b)0.500
 t(a)-5580171982495944.000
 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)42649721651902030417688463933440.000
 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