Advanced Statistics: Green Dog

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
 Mean0.356
 SD0.715
 Sharpe ratio (Glass type estimate) 0.498
 Sharpe ratio (Hedges UMVUE)0.486
 df32.000
 t0.826
 p0.208
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.694
 Upperbound of 95% confidence interval for Sharpe Ratio1.682
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.702
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.674
Statistics related to Sortino ratio
 Sortino ratio0.869
 Upside Potential Ratio2.630
 Upside part of mean1.077
 Downside part of mean-0.721
 Upside SD0.581
 Downside SD0.410
 N nonnegative terms17.000
 N negative terms16.000
Statistics related to linear regression on benchmark
 N of observations33.000
 Mean of predictor0.150
 Mean of criterion0.356
 SD of predictor0.105
 SD of criterion0.715
 Covariance0.010
 r0.131
 b (slope, estimate of beta)0.894
 a (intercept, estimate of alpha)0.222
 Mean Square Error0.518
 DF error31.000
 t(b)0.736
 p(b)0.234
 t(a)0.472
 p(a)0.320
 Lowerbound of 95% confidence interval for beta-1.582
 Upperbound of 95% confidence interval for beta3.370
 Lowerbound of 95% confidence interval for alpha-0.738
 Upperbound of 95% confidence interval for alpha1.182
 Treynor index (mean / b)0.398
 Jensen alpha (a)0.222
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.119
 SD0.693
 Sharpe ratio (Glass type estimate) 0.171
 Sharpe ratio (Hedges UMVUE)0.167
 df32.000
 t0.284
 p0.389
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.012
 Upperbound of 95% confidence interval for Sharpe Ratio1.353
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.015
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.350
Statistics related to Sortino ratio
 Sortino ratio0.247
 Upside Potential Ratio1.958
 Upside part of mean0.941
 Downside part of mean-0.822
 Upside SD0.486
 Downside SD0.481
 N nonnegative terms17.000
 N negative terms16.000
Statistics related to linear regression on benchmark
 N of observations33.000
 Mean of predictor0.143
 Mean of criterion0.119
 SD of predictor0.104
 SD of criterion0.693
 Covariance0.007
 r0.102
 b (slope, estimate of beta)0.682
 a (intercept, estimate of alpha)0.021
 Mean Square Error0.491
 DF error31.000
 t(b)0.571
 p(b)0.286
 t(a)0.047
 p(a)0.482
 Lowerbound of 95% confidence interval for beta-1.754
 Upperbound of 95% confidence interval for beta3.117
 Lowerbound of 95% confidence interval for alpha-0.908
 Upperbound of 95% confidence interval for alpha0.951
 Treynor index (mean / b)0.174
 Jensen alpha (a)0.021
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.273
 Expected Shortfall on VaR0.330
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.136
 Expected Shortfall on VaR0.262
ORDER STATISTICS
Quartiles of return rates
 Number of observations33.000
 Minimum0.633
 Quartile 10.850
 Median1.013
 Quartile 31.153
 Maximum1.667
 Mean of quarter 10.794
 Mean of quarter 20.993
 Mean of quarter 31.079
 Mean of quarter 41.298
 Inter Quartile Range0.302
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.030
 Mean of outliers high1.667
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.438
 VaR(95%) (moments method)0.248
 Expected Shortfall (moments method)0.402
 Extreme Value Index (regression method)1.064
 VaR(95%) (regression method)0.200
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.006
 Quartile 10.143
 Median0.279
 Quartile 30.525
 Maximum0.771
 Mean of quarter 10.006
 Mean of quarter 20.279
 Mean of quarter 3NA
 Mean of quarter 40.771
 Inter Quartile Range0.382
 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)0.205
 Compounded annual return (geometric extrapolation)0.177
 Calmar ratio (compounded annual return / max draw down)0.230
 Compounded annual return / average of 25% largest draw downs0.230
 Compounded annual return / Expected Shortfall lognormal0.536
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.287
 SD0.617
 Sharpe ratio (Glass type estimate) 0.465
 Sharpe ratio (Hedges UMVUE)0.465
 df965.000
 t0.780
 p0.218
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.705
 Upperbound of 95% confidence interval for Sharpe Ratio1.635
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.705
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.635
Statistics related to Sortino ratio
 Sortino ratio0.815
 Upside Potential Ratio7.240
 Upside part of mean2.549
 Downside part of mean-2.262
 Upside SD0.506
 Downside SD0.352
 N nonnegative terms371.000
 N negative terms595.000
Statistics related to linear regression on benchmark
 N of observations966.000
 Mean of predictor0.140
 Mean of criterion0.287
 SD of predictor0.128
 SD of criterion0.617
 Covariance0.008
 r0.098
 b (slope, estimate of beta)0.470
 a (intercept, estimate of alpha)0.221
 Mean Square Error0.377
 DF error964.000
 t(b)3.046
 p(b)0.001
 t(a)0.602
 p(a)0.274
 Lowerbound of 95% confidence interval for beta0.167
 Upperbound of 95% confidence interval for beta0.773
 Lowerbound of 95% confidence interval for alpha-0.499
 Upperbound of 95% confidence interval for alpha0.941
 Treynor index (mean / b)0.610
 Jensen alpha (a)0.221
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.115
 SD0.574
 Sharpe ratio (Glass type estimate) 0.201
 Sharpe ratio (Hedges UMVUE)0.201
 df965.000
 t0.337
 p0.368
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.969
 Upperbound of 95% confidence interval for Sharpe Ratio1.371
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.969
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.371
Statistics related to Sortino ratio
 Sortino ratio0.310
 Upside Potential Ratio6.554
 Upside part of mean2.444
 Downside part of mean-2.328
 Upside SD0.436
 Downside SD0.373
 N nonnegative terms371.000
 N negative terms595.000
Statistics related to linear regression on benchmark
 N of observations966.000
 Mean of predictor0.132
 Mean of criterion0.115
 SD of predictor0.128
 SD of criterion0.574
 Covariance0.007
 r0.097
 b (slope, estimate of beta)0.438
 a (intercept, estimate of alpha)0.058
 Mean Square Error0.327
 DF error964.000
 t(b)3.041
 p(b)0.001
 t(a)0.169
 p(a)0.433
 Lowerbound of 95% confidence interval for beta0.155
 Upperbound of 95% confidence interval for beta0.720
 Lowerbound of 95% confidence interval for alpha-0.613
 Upperbound of 95% confidence interval for alpha0.728
 Treynor index (mean / b)0.264
 Jensen alpha (a)0.058
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.049
 Expected Shortfall on VaR0.061
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.017
 Expected Shortfall on VaR0.036
ORDER STATISTICS
Quartiles of return rates
 Number of observations966.000
 Minimum0.762
 Quartile 10.997
 Median1.000
 Quartile 31.007
 Maximum1.591
 Mean of quarter 10.974
 Mean of quarter 21.000
 Mean of quarter 31.002
 Mean of quarter 41.028
 Inter Quartile Range0.010
 Number outliers low111.000
 Percentage of outliers low0.115
 Mean of outliers low0.956
 Number of outliers high99.000
 Percentage of outliers high0.102
 Mean of outliers high1.050
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.473
 VaR(95%) (moments method)0.017
 Expected Shortfall (moments method)0.039
 Extreme Value Index (regression method)0.280
 VaR(95%) (regression method)0.023
 Expected Shortfall (regression method)0.044
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations32.000
 Minimum0.000
 Quartile 10.007
 Median0.026
 Quartile 30.049
 Maximum0.788
 Mean of quarter 10.002
 Mean of quarter 20.018
 Mean of quarter 30.035
 Mean of quarter 40.203
 Inter Quartile Range0.042
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.094
 Mean of outliers high0.427
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.868
 VaR(95%) (moments method)0.204
 Expected Shortfall (moments method)1.609
 Extreme Value Index (regression method)1.426
 VaR(95%) (regression method)0.192
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.201
 Compounded annual return (geometric extrapolation)0.173
 Calmar ratio (compounded annual return / max draw down)0.220
 Compounded annual return / average of 25% largest draw downs0.854
 Compounded annual return / Expected Shortfall lognormal2.812
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 predictor0.103
 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) -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 predictor0.089
 Mean of criterion-0.044
 SD of predictor0.164
 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)-5593127270090507.000
 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)60291111906744195805910229057536.000
 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: Green Dog

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
 Mean0.356
 SD0.715
 Sharpe ratio (Glass type estimate) 0.498
 Sharpe ratio (Hedges UMVUE)0.486
 df32.000
 t0.826
 p0.208
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.694
 Upperbound of 95% confidence interval for Sharpe Ratio1.682
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.702
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.674
Statistics related to Sortino ratio
 Sortino ratio0.869
 Upside Potential Ratio2.630
 Upside part of mean1.077
 Downside part of mean-0.721
 Upside SD0.581
 Downside SD0.410
 N nonnegative terms17.000
 N negative terms16.000
Statistics related to linear regression on benchmark
 N of observations33.000
 Mean of predictor0.150
 Mean of criterion0.356
 SD of predictor0.105
 SD of criterion0.715
 Covariance0.010
 r0.131
 b (slope, estimate of beta)0.894
 a (intercept, estimate of alpha)0.222
 Mean Square Error0.518
 DF error31.000
 t(b)0.736
 p(b)0.234
 t(a)0.472
 p(a)0.320
 Lowerbound of 95% confidence interval for beta-1.582
 Upperbound of 95% confidence interval for beta3.370
 Lowerbound of 95% confidence interval for alpha-0.738
 Upperbound of 95% confidence interval for alpha1.182
 Treynor index (mean / b)0.398
 Jensen alpha (a)0.222
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.119
 SD0.693
 Sharpe ratio (Glass type estimate) 0.171
 Sharpe ratio (Hedges UMVUE)0.167
 df32.000
 t0.284
 p0.389
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.012
 Upperbound of 95% confidence interval for Sharpe Ratio1.353
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.015
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.350
Statistics related to Sortino ratio
 Sortino ratio0.247
 Upside Potential Ratio1.958
 Upside part of mean0.941
 Downside part of mean-0.822
 Upside SD0.486
 Downside SD0.481
 N nonnegative terms17.000
 N negative terms16.000
Statistics related to linear regression on benchmark
 N of observations33.000
 Mean of predictor0.143
 Mean of criterion0.119
 SD of predictor0.104
 SD of criterion0.693
 Covariance0.007
 r0.102
 b (slope, estimate of beta)0.682
 a (intercept, estimate of alpha)0.021
 Mean Square Error0.491
 DF error31.000
 t(b)0.571
 p(b)0.286
 t(a)0.047
 p(a)0.482
 Lowerbound of 95% confidence interval for beta-1.754
 Upperbound of 95% confidence interval for beta3.117
 Lowerbound of 95% confidence interval for alpha-0.908
 Upperbound of 95% confidence interval for alpha0.951
 Treynor index (mean / b)0.174
 Jensen alpha (a)0.021
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.273
 Expected Shortfall on VaR0.330
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.136
 Expected Shortfall on VaR0.262
ORDER STATISTICS
Quartiles of return rates
 Number of observations33.000
 Minimum0.633
 Quartile 10.850
 Median1.013
 Quartile 31.153
 Maximum1.667
 Mean of quarter 10.794
 Mean of quarter 20.993
 Mean of quarter 31.079
 Mean of quarter 41.298
 Inter Quartile Range0.302
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.030
 Mean of outliers high1.667
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.438
 VaR(95%) (moments method)0.248
 Expected Shortfall (moments method)0.402
 Extreme Value Index (regression method)1.064
 VaR(95%) (regression method)0.200
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations3.000
 Minimum0.006
 Quartile 10.143
 Median0.279
 Quartile 30.525
 Maximum0.771
 Mean of quarter 10.006
 Mean of quarter 20.279
 Mean of quarter 3NA
 Mean of quarter 40.771
 Inter Quartile Range0.382
 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)0.205
 Compounded annual return (geometric extrapolation)0.177
 Calmar ratio (compounded annual return / max draw down)0.230
 Compounded annual return / average of 25% largest draw downs0.230
 Compounded annual return / Expected Shortfall lognormal0.536
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.287
 SD0.617
 Sharpe ratio (Glass type estimate) 0.465
 Sharpe ratio (Hedges UMVUE)0.465
 df965.000
 t0.780
 p0.218
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.705
 Upperbound of 95% confidence interval for Sharpe Ratio1.635
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.705
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.635
Statistics related to Sortino ratio
 Sortino ratio0.815
 Upside Potential Ratio7.240
 Upside part of mean2.549
 Downside part of mean-2.262
 Upside SD0.506
 Downside SD0.352
 N nonnegative terms371.000
 N negative terms595.000
Statistics related to linear regression on benchmark
 N of observations966.000
 Mean of predictor0.140
 Mean of criterion0.287
 SD of predictor0.128
 SD of criterion0.617
 Covariance0.008
 r0.098
 b (slope, estimate of beta)0.470
 a (intercept, estimate of alpha)0.221
 Mean Square Error0.377
 DF error964.000
 t(b)3.046
 p(b)0.001
 t(a)0.602
 p(a)0.274
 Lowerbound of 95% confidence interval for beta0.167
 Upperbound of 95% confidence interval for beta0.773
 Lowerbound of 95% confidence interval for alpha-0.499
 Upperbound of 95% confidence interval for alpha0.941
 Treynor index (mean / b)0.610
 Jensen alpha (a)0.221
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.115
 SD0.574
 Sharpe ratio (Glass type estimate) 0.201
 Sharpe ratio (Hedges UMVUE)0.201
 df965.000
 t0.337
 p0.368
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.969
 Upperbound of 95% confidence interval for Sharpe Ratio1.371
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.969
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.371
Statistics related to Sortino ratio
 Sortino ratio0.310
 Upside Potential Ratio6.554
 Upside part of mean2.444
 Downside part of mean-2.328
 Upside SD0.436
 Downside SD0.373
 N nonnegative terms371.000
 N negative terms595.000
Statistics related to linear regression on benchmark
 N of observations966.000
 Mean of predictor0.132
 Mean of criterion0.115
 SD of predictor0.128
 SD of criterion0.574
 Covariance0.007
 r0.097
 b (slope, estimate of beta)0.438
 a (intercept, estimate of alpha)0.058
 Mean Square Error0.327
 DF error964.000
 t(b)3.041
 p(b)0.001
 t(a)0.169
 p(a)0.433
 Lowerbound of 95% confidence interval for beta0.155
 Upperbound of 95% confidence interval for beta0.720
 Lowerbound of 95% confidence interval for alpha-0.613
 Upperbound of 95% confidence interval for alpha0.728
 Treynor index (mean / b)0.264
 Jensen alpha (a)0.058
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.049
 Expected Shortfall on VaR0.061
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.017
 Expected Shortfall on VaR0.036
ORDER STATISTICS
Quartiles of return rates
 Number of observations966.000
 Minimum0.762
 Quartile 10.997
 Median1.000
 Quartile 31.007
 Maximum1.591
 Mean of quarter 10.974
 Mean of quarter 21.000
 Mean of quarter 31.002
 Mean of quarter 41.028
 Inter Quartile Range0.010
 Number outliers low111.000
 Percentage of outliers low0.115
 Mean of outliers low0.956
 Number of outliers high99.000
 Percentage of outliers high0.102
 Mean of outliers high1.050
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.473
 VaR(95%) (moments method)0.017
 Expected Shortfall (moments method)0.039
 Extreme Value Index (regression method)0.280
 VaR(95%) (regression method)0.023
 Expected Shortfall (regression method)0.044
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations32.000
 Minimum0.000
 Quartile 10.007
 Median0.026
 Quartile 30.049
 Maximum0.788
 Mean of quarter 10.002
 Mean of quarter 20.018
 Mean of quarter 30.035
 Mean of quarter 40.203
 Inter Quartile Range0.042
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.094
 Mean of outliers high0.427
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.868
 VaR(95%) (moments method)0.204
 Expected Shortfall (moments method)1.609
 Extreme Value Index (regression method)1.426
 VaR(95%) (regression method)0.192
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.201
 Compounded annual return (geometric extrapolation)0.173
 Calmar ratio (compounded annual return / max draw down)0.220
 Compounded annual return / average of 25% largest draw downs0.854
 Compounded annual return / Expected Shortfall lognormal2.812
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 predictor0.103
 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) -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 predictor0.089
 Mean of criterion-0.044
 SD of predictor0.164
 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)-5593127270090507.000
 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)60291111906744195805910229057536.000
 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