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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
 Mean0.322
 SD0.687
 Sharpe ratio (Glass type estimate) 0.469
 Sharpe ratio (Hedges UMVUE)0.460
 df36.000
 t0.824
 p0.208
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.655
 Upperbound of 95% confidence interval for Sharpe Ratio1.588
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.662
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.581
Statistics related to Sortino ratio
 Sortino ratio0.816
 Upside Potential Ratio2.345
 Upside part of mean0.926
 Downside part of mean-0.604
 Upside SD0.558
 Downside SD0.395
 N nonnegative terms18.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations37.000
 Mean of predictor0.147
 Mean of criterion0.322
 SD of predictor0.129
 SD of criterion0.687
 Covariance0.019
 r0.219
 b (slope, estimate of beta)1.170
 a (intercept, estimate of alpha)0.150
 Mean Square Error0.462
 DF error35.000
 t(b)1.329
 p(b)0.096
 t(a)0.367
 p(a)0.358
 Lowerbound of 95% confidence interval for beta-0.617
 Upperbound of 95% confidence interval for beta2.958
 Lowerbound of 95% confidence interval for alpha-0.679
 Upperbound of 95% confidence interval for alpha0.979
 Treynor index (mean / b)0.276
 Jensen alpha (a)0.150
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.101
 SD0.672
 Sharpe ratio (Glass type estimate) 0.151
 Sharpe ratio (Hedges UMVUE)0.148
 df36.000
 t0.265
 p0.396
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.967
 Upperbound of 95% confidence interval for Sharpe Ratio1.266
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.969
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.264
Statistics related to Sortino ratio
 Sortino ratio0.213
 Upside Potential Ratio1.685
 Upside part of mean0.802
 Downside part of mean-0.701
 Upside SD0.462
 Downside SD0.476
 N nonnegative terms18.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations37.000
 Mean of predictor0.138
 Mean of criterion0.101
 SD of predictor0.129
 SD of criterion0.672
 Covariance0.019
 r0.218
 b (slope, estimate of beta)1.134
 a (intercept, estimate of alpha)-0.055
 Mean Square Error0.442
 DF error35.000
 t(b)1.319
 p(b)0.098
 t(a)-0.139
 p(a)0.555
 Lowerbound of 95% confidence interval for beta-0.611
 Upperbound of 95% confidence interval for beta2.880
 Lowerbound of 95% confidence interval for alpha-0.861
 Upperbound of 95% confidence interval for alpha0.750
 Treynor index (mean / b)0.089
 Jensen alpha (a)-0.055
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%)0.117
 Expected Shortfall on VaR0.239
ORDER STATISTICS
Quartiles of return rates
 Number of observations37.000
 Minimum0.569
 Quartile 11.000
 Median1.000
 Quartile 31.103
 Maximum1.647
 Mean of quarter 10.821
 Mean of quarter 21.000
 Mean of quarter 31.046
 Mean of quarter 41.279
 Inter Quartile Range0.103
 Number outliers low6.000
 Percentage of outliers low0.162
 Mean of outliers low0.741
 Number of outliers high4.000
 Percentage of outliers high0.108
 Mean of outliers high1.442
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)-0.394
 VaR(95%) (regression method)0.257
 Expected Shortfall (regression method)0.335
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.221
 Quartile 10.352
 Median0.483
 Quartile 30.613
 Maximum0.744
 Mean of quarter 10.221
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.744
 Inter Quartile Range0.261
 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)0.183
 Compounded annual return (geometric extrapolation)0.156
 Calmar ratio (compounded annual return / max draw down)0.210
 Compounded annual return / average of 25% largest draw downs0.210
 Compounded annual return / Expected Shortfall lognormal0.485
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.251
 SD0.583
 Sharpe ratio (Glass type estimate) 0.431
 Sharpe ratio (Hedges UMVUE)0.431
 df828.000
 t0.767
 p0.222
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.671
 Upperbound of 95% confidence interval for Sharpe Ratio1.533
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.671
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.533
Statistics related to Sortino ratio
 Sortino ratio0.748
 Upside Potential Ratio6.327
 Upside part of mean2.125
 Downside part of mean-1.873
 Upside SD0.476
 Downside SD0.336
 N nonnegative terms303.000
 N negative terms526.000
Statistics related to linear regression on benchmark
 N of observations829.000
 Mean of predictor0.172
 Mean of criterion0.251
 SD of predictor0.163
 SD of criterion0.583
 Covariance0.007
 r0.074
 b (slope, estimate of beta)0.264
 a (intercept, estimate of alpha)0.206
 Mean Square Error0.338
 DF error827.000
 t(b)2.129
 p(b)0.017
 t(a)0.629
 p(a)0.265
 Lowerbound of 95% confidence interval for beta0.021
 Upperbound of 95% confidence interval for beta0.507
 Lowerbound of 95% confidence interval for alpha-0.437
 Upperbound of 95% confidence interval for alpha0.849
 Treynor index (mean / b)0.954
 Jensen alpha (a)0.206
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.098
 SD0.544
 Sharpe ratio (Glass type estimate) 0.179
 Sharpe ratio (Hedges UMVUE)0.179
 df828.000
 t0.319
 p0.375
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.923
 Upperbound of 95% confidence interval for Sharpe Ratio1.281
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.923
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.281
Statistics related to Sortino ratio
 Sortino ratio0.273
 Upside Potential Ratio5.678
 Upside part of mean2.032
 Downside part of mean-1.934
 Upside SD0.410
 Downside SD0.358
 N nonnegative terms303.000
 N negative terms526.000
Statistics related to linear regression on benchmark
 N of observations829.000
 Mean of predictor0.159
 Mean of criterion0.098
 SD of predictor0.164
 SD of criterion0.544
 Covariance0.007
 r0.074
 b (slope, estimate of beta)0.246
 a (intercept, estimate of alpha)0.059
 Mean Square Error0.295
 DF error827.000
 t(b)2.133
 p(b)0.017
 t(a)0.191
 p(a)0.424
 Lowerbound of 95% confidence interval for beta0.020
 Upperbound of 95% confidence interval for beta0.472
 Lowerbound of 95% confidence interval for alpha-0.542
 Upperbound of 95% confidence interval for alpha0.659
 Treynor index (mean / b)0.397
 Jensen alpha (a)0.059
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.053
 Expected Shortfall on VaR0.067
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.019
 Expected Shortfall on VaR0.040
ORDER STATISTICS
Quartiles of return rates
 Number of observations829.000
 Minimum0.743
 Quartile 10.997
 Median1.000
 Quartile 31.007
 Maximum1.591
 Mean of quarter 10.972
 Mean of quarter 21.000
 Mean of quarter 31.002
 Mean of quarter 41.031
 Inter Quartile Range0.010
 Number outliers low100.000
 Percentage of outliers low0.121
 Mean of outliers low0.953
 Number of outliers high94.000
 Percentage of outliers high0.113
 Mean of outliers high1.052
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.537
 VaR(95%) (moments method)0.018
 Expected Shortfall (moments method)0.048
 Extreme Value Index (regression method)0.257
 VaR(95%) (regression method)0.026
 Expected Shortfall (regression method)0.049
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations27.000
 Minimum0.000
 Quartile 10.018
 Median0.029
 Quartile 30.050
 Maximum0.786
 Mean of quarter 10.007
 Mean of quarter 20.025
 Mean of quarter 30.040
 Mean of quarter 40.222
 Inter Quartile Range0.032
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.111
 Mean of outliers high0.427
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.872
 VaR(95%) (moments method)0.227
 Expected Shortfall (moments method)1.880
 Extreme Value Index (regression method)1.631
 VaR(95%) (regression method)0.233
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.179
 Compounded annual return (geometric extrapolation)0.152
 Calmar ratio (compounded annual return / max draw down)0.193
 Compounded annual return / average of 25% largest draw downs0.686
 Compounded annual return / Expected Shortfall lognormal2.283
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) -972.869
 Sharpe ratio (Hedges UMVUE)-967.245
 df130.000
 t-687.922
 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)-1084.848
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-849.642
Statistics related to Sortino ratio
 Sortino ratio-16.184
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.255
 Mean of criterion-0.044
 SD of predictor0.275
 SD of criterion0.000
 Covariance0.000
 r0.177
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)2.047
 p(b)0.388
 t(a)-695.276
 p(a)1.000
 Lowerbound of 95% confidence interval for beta0.000
 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)-1508.653
 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)-967.179
 df130.000
 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)-1084.774
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-849.584
Statistics related to Sortino ratio
 Sortino ratio-16.184
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.217
 Mean of criterion-0.044
 SD of predictor0.278
 SD of criterion0.000
 Covariance0.000
 r0.173
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)1.999
 p(b)0.390
 t(a)-695.037
 p(a)1.000
 Lowerbound of 95% confidence interval for beta0.000
 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)-1557.499
 Jensen alpha (a)-0.044
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.000
 Expected Shortfall on VaR0.000
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.000
 Expected Shortfall on VaR0.000
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum1.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.000
 Mean of quarter 11.000
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.000
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.008
 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 lognormal0.368

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
 Mean0.322
 SD0.687
 Sharpe ratio (Glass type estimate) 0.469
 Sharpe ratio (Hedges UMVUE)0.460
 df36.000
 t0.824
 p0.208
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.655
 Upperbound of 95% confidence interval for Sharpe Ratio1.588
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.662
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.581
Statistics related to Sortino ratio
 Sortino ratio0.816
 Upside Potential Ratio2.345
 Upside part of mean0.926
 Downside part of mean-0.604
 Upside SD0.558
 Downside SD0.395
 N nonnegative terms18.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations37.000
 Mean of predictor0.147
 Mean of criterion0.322
 SD of predictor0.129
 SD of criterion0.687
 Covariance0.019
 r0.219
 b (slope, estimate of beta)1.170
 a (intercept, estimate of alpha)0.150
 Mean Square Error0.462
 DF error35.000
 t(b)1.329
 p(b)0.096
 t(a)0.367
 p(a)0.358
 Lowerbound of 95% confidence interval for beta-0.617
 Upperbound of 95% confidence interval for beta2.958
 Lowerbound of 95% confidence interval for alpha-0.679
 Upperbound of 95% confidence interval for alpha0.979
 Treynor index (mean / b)0.276
 Jensen alpha (a)0.150
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.101
 SD0.672
 Sharpe ratio (Glass type estimate) 0.151
 Sharpe ratio (Hedges UMVUE)0.148
 df36.000
 t0.265
 p0.396
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.967
 Upperbound of 95% confidence interval for Sharpe Ratio1.266
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.969
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.264
Statistics related to Sortino ratio
 Sortino ratio0.213
 Upside Potential Ratio1.685
 Upside part of mean0.802
 Downside part of mean-0.701
 Upside SD0.462
 Downside SD0.476
 N nonnegative terms18.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations37.000
 Mean of predictor0.138
 Mean of criterion0.101
 SD of predictor0.129
 SD of criterion0.672
 Covariance0.019
 r0.218
 b (slope, estimate of beta)1.134
 a (intercept, estimate of alpha)-0.055
 Mean Square Error0.442
 DF error35.000
 t(b)1.319
 p(b)0.098
 t(a)-0.139
 p(a)0.555
 Lowerbound of 95% confidence interval for beta-0.611
 Upperbound of 95% confidence interval for beta2.880
 Lowerbound of 95% confidence interval for alpha-0.861
 Upperbound of 95% confidence interval for alpha0.750
 Treynor index (mean / b)0.089
 Jensen alpha (a)-0.055
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%)0.117
 Expected Shortfall on VaR0.239
ORDER STATISTICS
Quartiles of return rates
 Number of observations37.000
 Minimum0.569
 Quartile 11.000
 Median1.000
 Quartile 31.103
 Maximum1.647
 Mean of quarter 10.821
 Mean of quarter 21.000
 Mean of quarter 31.046
 Mean of quarter 41.279
 Inter Quartile Range0.103
 Number outliers low6.000
 Percentage of outliers low0.162
 Mean of outliers low0.741
 Number of outliers high4.000
 Percentage of outliers high0.108
 Mean of outliers high1.442
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)-0.394
 VaR(95%) (regression method)0.257
 Expected Shortfall (regression method)0.335
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.221
 Quartile 10.352
 Median0.483
 Quartile 30.613
 Maximum0.744
 Mean of quarter 10.221
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.744
 Inter Quartile Range0.261
 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)0.183
 Compounded annual return (geometric extrapolation)0.156
 Calmar ratio (compounded annual return / max draw down)0.210
 Compounded annual return / average of 25% largest draw downs0.210
 Compounded annual return / Expected Shortfall lognormal0.485
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.251
 SD0.583
 Sharpe ratio (Glass type estimate) 0.431
 Sharpe ratio (Hedges UMVUE)0.431
 df828.000
 t0.767
 p0.222
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.671
 Upperbound of 95% confidence interval for Sharpe Ratio1.533
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.671
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.533
Statistics related to Sortino ratio
 Sortino ratio0.748
 Upside Potential Ratio6.327
 Upside part of mean2.125
 Downside part of mean-1.873
 Upside SD0.476
 Downside SD0.336
 N nonnegative terms303.000
 N negative terms526.000
Statistics related to linear regression on benchmark
 N of observations829.000
 Mean of predictor0.172
 Mean of criterion0.251
 SD of predictor0.163
 SD of criterion0.583
 Covariance0.007
 r0.074
 b (slope, estimate of beta)0.264
 a (intercept, estimate of alpha)0.206
 Mean Square Error0.338
 DF error827.000
 t(b)2.129
 p(b)0.017
 t(a)0.629
 p(a)0.265
 Lowerbound of 95% confidence interval for beta0.021
 Upperbound of 95% confidence interval for beta0.507
 Lowerbound of 95% confidence interval for alpha-0.437
 Upperbound of 95% confidence interval for alpha0.849
 Treynor index (mean / b)0.954
 Jensen alpha (a)0.206
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.098
 SD0.544
 Sharpe ratio (Glass type estimate) 0.179
 Sharpe ratio (Hedges UMVUE)0.179
 df828.000
 t0.319
 p0.375
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.923
 Upperbound of 95% confidence interval for Sharpe Ratio1.281
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.923
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.281
Statistics related to Sortino ratio
 Sortino ratio0.273
 Upside Potential Ratio5.678
 Upside part of mean2.032
 Downside part of mean-1.934
 Upside SD0.410
 Downside SD0.358
 N nonnegative terms303.000
 N negative terms526.000
Statistics related to linear regression on benchmark
 N of observations829.000
 Mean of predictor0.159
 Mean of criterion0.098
 SD of predictor0.164
 SD of criterion0.544
 Covariance0.007
 r0.074
 b (slope, estimate of beta)0.246
 a (intercept, estimate of alpha)0.059
 Mean Square Error0.295
 DF error827.000
 t(b)2.133
 p(b)0.017
 t(a)0.191
 p(a)0.424
 Lowerbound of 95% confidence interval for beta0.020
 Upperbound of 95% confidence interval for beta0.472
 Lowerbound of 95% confidence interval for alpha-0.542
 Upperbound of 95% confidence interval for alpha0.659
 Treynor index (mean / b)0.397
 Jensen alpha (a)0.059
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.053
 Expected Shortfall on VaR0.067
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.019
 Expected Shortfall on VaR0.040
ORDER STATISTICS
Quartiles of return rates
 Number of observations829.000
 Minimum0.743
 Quartile 10.997
 Median1.000
 Quartile 31.007
 Maximum1.591
 Mean of quarter 10.972
 Mean of quarter 21.000
 Mean of quarter 31.002
 Mean of quarter 41.031
 Inter Quartile Range0.010
 Number outliers low100.000
 Percentage of outliers low0.121
 Mean of outliers low0.953
 Number of outliers high94.000
 Percentage of outliers high0.113
 Mean of outliers high1.052
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.537
 VaR(95%) (moments method)0.018
 Expected Shortfall (moments method)0.048
 Extreme Value Index (regression method)0.257
 VaR(95%) (regression method)0.026
 Expected Shortfall (regression method)0.049
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations27.000
 Minimum0.000
 Quartile 10.018
 Median0.029
 Quartile 30.050
 Maximum0.786
 Mean of quarter 10.007
 Mean of quarter 20.025
 Mean of quarter 30.040
 Mean of quarter 40.222
 Inter Quartile Range0.032
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.111
 Mean of outliers high0.427
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.872
 VaR(95%) (moments method)0.227
 Expected Shortfall (moments method)1.880
 Extreme Value Index (regression method)1.631
 VaR(95%) (regression method)0.233
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.179
 Compounded annual return (geometric extrapolation)0.152
 Calmar ratio (compounded annual return / max draw down)0.193
 Compounded annual return / average of 25% largest draw downs0.686
 Compounded annual return / Expected Shortfall lognormal2.283
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) -972.869
 Sharpe ratio (Hedges UMVUE)-967.245
 df130.000
 t-687.922
 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)-1084.848
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-849.642
Statistics related to Sortino ratio
 Sortino ratio-16.184
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.255
 Mean of criterion-0.044
 SD of predictor0.275
 SD of criterion0.000
 Covariance0.000
 r0.177
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)2.047
 p(b)0.388
 t(a)-695.276
 p(a)1.000
 Lowerbound of 95% confidence interval for beta0.000
 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)-1508.653
 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)-967.179
 df130.000
 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)-1084.774
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-849.584
Statistics related to Sortino ratio
 Sortino ratio-16.184
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.217
 Mean of criterion-0.044
 SD of predictor0.278
 SD of criterion0.000
 Covariance0.000
 r0.173
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)1.999
 p(b)0.390
 t(a)-695.037
 p(a)1.000
 Lowerbound of 95% confidence interval for beta0.000
 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)-1557.499
 Jensen alpha (a)-0.044
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.000
 Expected Shortfall on VaR0.000
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.000
 Expected Shortfall on VaR0.000
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum1.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.000
 Mean of quarter 11.000
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.000
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.008
 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 lognormal0.368