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
 Mean0.333
 SD0.694
 Sharpe ratio (Glass type estimate) 0.480
 Sharpe ratio (Hedges UMVUE)0.469
 df34.000
 t0.820
 p0.209
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.677
 Upperbound of 95% confidence interval for Sharpe Ratio1.630
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.684
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.622
Statistics related to Sortino ratio
 Sortino ratio0.838
 Upside Potential Ratio2.554
 Upside part of mean1.015
 Downside part of mean-0.682
 Upside SD0.565
 Downside SD0.398
 N nonnegative terms17.000
 N negative terms18.000
Statistics related to linear regression on benchmark
 N of observations35.000
 Mean of predictor0.127
 Mean of criterion0.333
 SD of predictor0.107
 SD of criterion0.694
 Covariance0.010
 r0.135
 b (slope, estimate of beta)0.876
 a (intercept, estimate of alpha)0.222
 Mean Square Error0.487
 DF error33.000
 t(b)0.781
 p(b)0.220
 t(a)0.512
 p(a)0.306
 Lowerbound of 95% confidence interval for beta-1.405
 Upperbound of 95% confidence interval for beta3.157
 Lowerbound of 95% confidence interval for alpha-0.659
 Upperbound of 95% confidence interval for alpha1.102
 Treynor index (mean / b)0.380
 Jensen alpha (a)0.222
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.110
 SD0.673
 Sharpe ratio (Glass type estimate) 0.163
 Sharpe ratio (Hedges UMVUE)0.159
 df34.000
 t0.278
 p0.391
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.987
 Upperbound of 95% confidence interval for Sharpe Ratio1.310
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.989
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.308
Statistics related to Sortino ratio
 Sortino ratio0.235
 Upside Potential Ratio1.901
 Upside part of mean0.887
 Downside part of mean-0.777
 Upside SD0.472
 Downside SD0.467
 N nonnegative terms17.000
 N negative terms18.000
Statistics related to linear regression on benchmark
 N of observations35.000
 Mean of predictor0.121
 Mean of criterion0.110
 SD of predictor0.106
 SD of criterion0.673
 Covariance0.007
 r0.101
 b (slope, estimate of beta)0.644
 a (intercept, estimate of alpha)0.032
 Mean Square Error0.461
 DF error33.000
 t(b)0.585
 p(b)0.281
 t(a)0.076
 p(a)0.470
 Lowerbound of 95% confidence interval for beta-1.597
 Upperbound of 95% confidence interval for beta2.885
 Lowerbound of 95% confidence interval for alpha-0.821
 Upperbound of 95% confidence interval for alpha0.885
 Treynor index (mean / b)0.170
 Jensen alpha (a)0.032
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.267
 Expected Shortfall on VaR0.322
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.133
 Expected Shortfall on VaR0.258
ORDER STATISTICS
Quartiles of return rates
 Number of observations35.000
 Minimum0.633
 Quartile 10.895
 Median1.000
 Quartile 31.151
 Maximum1.667
 Mean of quarter 10.794
 Mean of quarter 20.993
 Mean of quarter 31.061
 Mean of quarter 41.281
 Inter Quartile Range0.256
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.029
 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)0.243
 Expected Shortfall (moments method)0.393
 Extreme Value Index (regression method)1.064
 VaR(95%) (regression method)0.197
 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)0.194
 Compounded annual return (geometric extrapolation)0.166
 Calmar ratio (compounded annual return / max draw down)0.215
 Compounded annual return / average of 25% largest draw downs0.215
 Compounded annual return / Expected Shortfall lognormal0.515
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.267
 SD0.598
 Sharpe ratio (Glass type estimate) 0.447
 Sharpe ratio (Hedges UMVUE)0.447
 df1026.000
 t0.772
 p0.488
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.688
 Upperbound of 95% confidence interval for Sharpe Ratio1.581
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.688
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.581
Statistics related to Sortino ratio
 Sortino ratio0.783
 Upside Potential Ratio7.022
 Upside part of mean2.397
 Downside part of mean-2.130
 Upside SD0.491
 Downside SD0.341
 N nonnegative terms371.000
 N negative terms656.000
Statistics related to linear regression on benchmark
 N of observations1027.000
 Mean of predictor0.113
 Mean of criterion0.267
 SD of predictor0.153
 SD of criterion0.598
 Covariance0.007
 r0.080
 b (slope, estimate of beta)0.313
 a (intercept, estimate of alpha)0.232
 Mean Square Error0.356
 DF error1025.000
 t(b)2.561
 p(b)0.449
 t(a)0.672
 p(a)0.487
 Lowerbound of 95% confidence interval for beta0.073
 Upperbound of 95% confidence interval for beta0.552
 Lowerbound of 95% confidence interval for alpha-0.446
 Upperbound of 95% confidence interval for alpha0.910
 Treynor index (mean / b)0.855
 Jensen alpha (a)0.232
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.106
 SD0.557
 Sharpe ratio (Glass type estimate) 0.190
 Sharpe ratio (Hedges UMVUE)0.190
 df1026.000
 t0.329
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.944
 Upperbound of 95% confidence interval for Sharpe Ratio1.325
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.944
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.325
Statistics related to Sortino ratio
 Sortino ratio0.293
 Upside Potential Ratio6.356
 Upside part of mean2.299
 Downside part of mean-2.193
 Upside SD0.423
 Downside SD0.362
 N nonnegative terms371.000
 N negative terms656.000
Statistics related to linear regression on benchmark
 N of observations1027.000
 Mean of predictor0.101
 Mean of criterion0.106
 SD of predictor0.153
 SD of criterion0.557
 Covariance0.007
 r0.079
 b (slope, estimate of beta)0.287
 a (intercept, estimate of alpha)0.077
 Mean Square Error0.308
 DF error1025.000
 t(b)2.538
 p(b)0.450
 t(a)0.240
 p(a)0.495
 Lowerbound of 95% confidence interval for beta0.065
 Upperbound of 95% confidence interval for beta0.509
 Lowerbound of 95% confidence interval for alpha-0.554
 Upperbound of 95% confidence interval for alpha0.708
 Treynor index (mean / b)0.369
 Jensen alpha (a)0.077
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.048
 Expected Shortfall on VaR0.060
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.016
 Expected Shortfall on VaR0.035
ORDER STATISTICS
Quartiles of return rates
 Number of observations1027.000
 Minimum0.762
 Quartile 10.998
 Median1.000
 Quartile 31.006
 Maximum1.591
 Mean of quarter 10.976
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.027
 Inter Quartile Range0.008
 Number outliers low132.000
 Percentage of outliers low0.129
 Mean of outliers low0.960
 Number of outliers high121.000
 Percentage of outliers high0.118
 Mean of outliers high1.044
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.524
 VaR(95%) (moments method)0.014
 Expected Shortfall (moments method)0.036
 Extreme Value Index (regression method)0.304
 VaR(95%) (regression method)0.021
 Expected Shortfall (regression method)0.042
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)0.189
 Compounded annual return (geometric extrapolation)0.162
 Calmar ratio (compounded annual return / max draw down)0.206
 Compounded annual return / average of 25% largest draw downs0.799
 Compounded annual return / Expected Shortfall lognormal2.711
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) -972.849
 Sharpe ratio (Hedges UMVUE)-968.576
 df171.000
 t-687.908
 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)-1071.266
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-865.886
Statistics related to Sortino ratio
 Sortino ratio-18.544
 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 predictor0.070
 Mean of criterion-0.044
 SD of predictor0.261
 SD of criterion0.000
 Covariance0.000
 r0.149
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.968
 p(b)0.425
 t(a)-693.616
 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)-1702.945
 Jensen alpha (a)-0.044
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) -972.803
 Sharpe ratio (Hedges UMVUE)-968.530
 df171.000
 t-687.875
 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)-1071.214
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-865.845
Statistics related to Sortino ratio
 Sortino ratio-18.544
 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 predictor0.036
 Mean of criterion-0.044
 SD of predictor0.264
 SD of criterion0.000
 Covariance0.000
 r0.146
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.929
 p(b)0.427
 t(a)-693.324
 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)-1751.928
 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 high1.000
 Percentage of outliers high0.006
 Mean of outliers high1.000
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 lognormal0.481

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
 Mean0.333
 SD0.694
 Sharpe ratio (Glass type estimate) 0.480
 Sharpe ratio (Hedges UMVUE)0.469
 df34.000
 t0.820
 p0.209
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.677
 Upperbound of 95% confidence interval for Sharpe Ratio1.630
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.684
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.622
Statistics related to Sortino ratio
 Sortino ratio0.838
 Upside Potential Ratio2.554
 Upside part of mean1.015
 Downside part of mean-0.682
 Upside SD0.565
 Downside SD0.398
 N nonnegative terms17.000
 N negative terms18.000
Statistics related to linear regression on benchmark
 N of observations35.000
 Mean of predictor0.127
 Mean of criterion0.333
 SD of predictor0.107
 SD of criterion0.694
 Covariance0.010
 r0.135
 b (slope, estimate of beta)0.876
 a (intercept, estimate of alpha)0.222
 Mean Square Error0.487
 DF error33.000
 t(b)0.781
 p(b)0.220
 t(a)0.512
 p(a)0.306
 Lowerbound of 95% confidence interval for beta-1.405
 Upperbound of 95% confidence interval for beta3.157
 Lowerbound of 95% confidence interval for alpha-0.659
 Upperbound of 95% confidence interval for alpha1.102
 Treynor index (mean / b)0.380
 Jensen alpha (a)0.222
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.110
 SD0.673
 Sharpe ratio (Glass type estimate) 0.163
 Sharpe ratio (Hedges UMVUE)0.159
 df34.000
 t0.278
 p0.391
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.987
 Upperbound of 95% confidence interval for Sharpe Ratio1.310
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.989
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.308
Statistics related to Sortino ratio
 Sortino ratio0.235
 Upside Potential Ratio1.901
 Upside part of mean0.887
 Downside part of mean-0.777
 Upside SD0.472
 Downside SD0.467
 N nonnegative terms17.000
 N negative terms18.000
Statistics related to linear regression on benchmark
 N of observations35.000
 Mean of predictor0.121
 Mean of criterion0.110
 SD of predictor0.106
 SD of criterion0.673
 Covariance0.007
 r0.101
 b (slope, estimate of beta)0.644
 a (intercept, estimate of alpha)0.032
 Mean Square Error0.461
 DF error33.000
 t(b)0.585
 p(b)0.281
 t(a)0.076
 p(a)0.470
 Lowerbound of 95% confidence interval for beta-1.597
 Upperbound of 95% confidence interval for beta2.885
 Lowerbound of 95% confidence interval for alpha-0.821
 Upperbound of 95% confidence interval for alpha0.885
 Treynor index (mean / b)0.170
 Jensen alpha (a)0.032
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.267
 Expected Shortfall on VaR0.322
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.133
 Expected Shortfall on VaR0.258
ORDER STATISTICS
Quartiles of return rates
 Number of observations35.000
 Minimum0.633
 Quartile 10.895
 Median1.000
 Quartile 31.151
 Maximum1.667
 Mean of quarter 10.794
 Mean of quarter 20.993
 Mean of quarter 31.061
 Mean of quarter 41.281
 Inter Quartile Range0.256
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.029
 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)0.243
 Expected Shortfall (moments method)0.393
 Extreme Value Index (regression method)1.064
 VaR(95%) (regression method)0.197
 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)0.194
 Compounded annual return (geometric extrapolation)0.166
 Calmar ratio (compounded annual return / max draw down)0.215
 Compounded annual return / average of 25% largest draw downs0.215
 Compounded annual return / Expected Shortfall lognormal0.515
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.267
 SD0.598
 Sharpe ratio (Glass type estimate) 0.447
 Sharpe ratio (Hedges UMVUE)0.447
 df1026.000
 t0.772
 p0.488
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.688
 Upperbound of 95% confidence interval for Sharpe Ratio1.581
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.688
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.581
Statistics related to Sortino ratio
 Sortino ratio0.783
 Upside Potential Ratio7.022
 Upside part of mean2.397
 Downside part of mean-2.130
 Upside SD0.491
 Downside SD0.341
 N nonnegative terms371.000
 N negative terms656.000
Statistics related to linear regression on benchmark
 N of observations1027.000
 Mean of predictor0.113
 Mean of criterion0.267
 SD of predictor0.153
 SD of criterion0.598
 Covariance0.007
 r0.080
 b (slope, estimate of beta)0.313
 a (intercept, estimate of alpha)0.232
 Mean Square Error0.356
 DF error1025.000
 t(b)2.561
 p(b)0.449
 t(a)0.672
 p(a)0.487
 Lowerbound of 95% confidence interval for beta0.073
 Upperbound of 95% confidence interval for beta0.552
 Lowerbound of 95% confidence interval for alpha-0.446
 Upperbound of 95% confidence interval for alpha0.910
 Treynor index (mean / b)0.855
 Jensen alpha (a)0.232
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.106
 SD0.557
 Sharpe ratio (Glass type estimate) 0.190
 Sharpe ratio (Hedges UMVUE)0.190
 df1026.000
 t0.329
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.944
 Upperbound of 95% confidence interval for Sharpe Ratio1.325
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.944
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.325
Statistics related to Sortino ratio
 Sortino ratio0.293
 Upside Potential Ratio6.356
 Upside part of mean2.299
 Downside part of mean-2.193
 Upside SD0.423
 Downside SD0.362
 N nonnegative terms371.000
 N negative terms656.000
Statistics related to linear regression on benchmark
 N of observations1027.000
 Mean of predictor0.101
 Mean of criterion0.106
 SD of predictor0.153
 SD of criterion0.557
 Covariance0.007
 r0.079
 b (slope, estimate of beta)0.287
 a (intercept, estimate of alpha)0.077
 Mean Square Error0.308
 DF error1025.000
 t(b)2.538
 p(b)0.450
 t(a)0.240
 p(a)0.495
 Lowerbound of 95% confidence interval for beta0.065
 Upperbound of 95% confidence interval for beta0.509
 Lowerbound of 95% confidence interval for alpha-0.554
 Upperbound of 95% confidence interval for alpha0.708
 Treynor index (mean / b)0.369
 Jensen alpha (a)0.077
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.048
 Expected Shortfall on VaR0.060
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.016
 Expected Shortfall on VaR0.035
ORDER STATISTICS
Quartiles of return rates
 Number of observations1027.000
 Minimum0.762
 Quartile 10.998
 Median1.000
 Quartile 31.006
 Maximum1.591
 Mean of quarter 10.976
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.027
 Inter Quartile Range0.008
 Number outliers low132.000
 Percentage of outliers low0.129
 Mean of outliers low0.960
 Number of outliers high121.000
 Percentage of outliers high0.118
 Mean of outliers high1.044
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.524
 VaR(95%) (moments method)0.014
 Expected Shortfall (moments method)0.036
 Extreme Value Index (regression method)0.304
 VaR(95%) (regression method)0.021
 Expected Shortfall (regression method)0.042
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)0.189
 Compounded annual return (geometric extrapolation)0.162
 Calmar ratio (compounded annual return / max draw down)0.206
 Compounded annual return / average of 25% largest draw downs0.799
 Compounded annual return / Expected Shortfall lognormal2.711
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) -972.849
 Sharpe ratio (Hedges UMVUE)-968.576
 df171.000
 t-687.908
 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)-1071.266
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-865.886
Statistics related to Sortino ratio
 Sortino ratio-18.544
 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 predictor0.070
 Mean of criterion-0.044
 SD of predictor0.261
 SD of criterion0.000
 Covariance0.000
 r0.149
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.968
 p(b)0.425
 t(a)-693.616
 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)-1702.945
 Jensen alpha (a)-0.044
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) -972.803
 Sharpe ratio (Hedges UMVUE)-968.530
 df171.000
 t-687.875
 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)-1071.214
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-865.845
Statistics related to Sortino ratio
 Sortino ratio-18.544
 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 predictor0.036
 Mean of criterion-0.044
 SD of predictor0.264
 SD of criterion0.000
 Covariance0.000
 r0.146
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.929
 p(b)0.427
 t(a)-693.324
 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)-1751.928
 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 high1.000
 Percentage of outliers high0.006
 Mean of outliers high1.000
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 lognormal0.481