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
 Mean0.303
 SD0.666
 Sharpe ratio (Glass type estimate) 0.456
 Sharpe ratio (Hedges UMVUE)0.446
 df37.000
 t0.811
 p0.211
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.654
 Upperbound of 95% confidence interval for Sharpe Ratio1.559
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.660
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.552
Statistics related to Sortino ratio
 Sortino ratio0.795
 Upside Potential Ratio2.451
 Upside part of mean0.935
 Downside part of mean-0.632
 Upside SD0.542
 Downside SD0.382
 N nonnegative terms17.000
 N negative terms21.000
Statistics related to linear regression on benchmark
 N of observations38.000
 Mean of predictor0.122
 Mean of criterion0.303
 SD of predictor0.105
 SD of criterion0.666
 Covariance0.009
 r0.133
 b (slope, estimate of beta)0.838
 a (intercept, estimate of alpha)0.201
 Mean Square Error0.448
 DF error36.000
 t(b)0.804
 p(b)0.213
 t(a)0.507
 p(a)0.308
 Lowerbound of 95% confidence interval for beta-1.277
 Upperbound of 95% confidence interval for beta2.953
 Lowerbound of 95% confidence interval for alpha-0.604
 Upperbound of 95% confidence interval for alpha1.006
 Treynor index (mean / b)0.362
 Jensen alpha (a)0.201
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.097
 SD0.645
 Sharpe ratio (Glass type estimate) 0.151
 Sharpe ratio (Hedges UMVUE)0.148
 df37.000
 t0.269
 p0.395
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.952
 Upperbound of 95% confidence interval for Sharpe Ratio1.252
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.954
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.250
Statistics related to Sortino ratio
 Sortino ratio0.218
 Upside Potential Ratio1.824
 Upside part of mean0.817
 Downside part of mean-0.719
 Upside SD0.453
 Downside SD0.448
 N nonnegative terms17.000
 N negative terms21.000
Statistics related to linear regression on benchmark
 N of observations38.000
 Mean of predictor0.116
 Mean of criterion0.097
 SD of predictor0.105
 SD of criterion0.645
 Covariance0.007
 r0.099
 b (slope, estimate of beta)0.611
 a (intercept, estimate of alpha)0.027
 Mean Square Error0.423
 DF error36.000
 t(b)0.597
 p(b)0.277
 t(a)0.070
 p(a)0.472
 Lowerbound of 95% confidence interval for beta-1.464
 Upperbound of 95% confidence interval for beta2.686
 Lowerbound of 95% confidence interval for alpha-0.752
 Upperbound of 95% confidence interval for alpha0.806
 Treynor index (mean / b)0.159
 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%)0.258
 Expected Shortfall on VaR0.312
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.129
 Expected Shortfall on VaR0.252
ORDER STATISTICS
Quartiles of return rates
 Number of observations38.000
 Minimum0.633
 Quartile 10.954
 Median1.000
 Quartile 31.147
 Maximum1.667
 Mean of quarter 10.808
 Mean of quarter 20.999
 Mean of quarter 31.038
 Mean of quarter 41.268
 Inter Quartile Range0.193
 Number outliers low2.000
 Percentage of outliers low0.053
 Mean of outliers low0.645
 Number of outliers high1.000
 Percentage of outliers high0.026
 Mean of outliers high1.667
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-4.373
 VaR(95%) (moments method)0.146
 Expected Shortfall (moments method)0.146
 Extreme Value Index (regression method)0.258
 VaR(95%) (regression method)0.125
 Expected Shortfall (regression method)0.191
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)0.178
 Compounded annual return (geometric extrapolation)0.152
 Calmar ratio (compounded annual return / max draw down)0.197
 Compounded annual return / average of 25% largest draw downs0.197
 Compounded annual return / Expected Shortfall lognormal0.487
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.247
 SD0.579
 Sharpe ratio (Glass type estimate) 0.428
 Sharpe ratio (Hedges UMVUE)0.427
 df1096.000
 t0.764
 p0.488
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.670
 Upperbound of 95% confidence interval for Sharpe Ratio1.525
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.670
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.525
Statistics related to Sortino ratio
 Sortino ratio0.749
 Upside Potential Ratio6.794
 Upside part of mean2.245
 Downside part of mean-1.997
 Upside SD0.475
 Downside SD0.330
 N nonnegative terms371.000
 N negative terms726.000
Statistics related to linear regression on benchmark
 N of observations1097.000
 Mean of predictor0.153
 Mean of criterion0.247
 SD of predictor0.160
 SD of criterion0.579
 Covariance0.007
 r0.073
 b (slope, estimate of beta)0.264
 a (intercept, estimate of alpha)0.207
 Mean Square Error0.333
 DF error1095.000
 t(b)2.423
 p(b)0.454
 t(a)0.640
 p(a)0.488
 Lowerbound of 95% confidence interval for beta0.050
 Upperbound of 95% confidence interval for beta0.477
 Lowerbound of 95% confidence interval for alpha-0.428
 Upperbound of 95% confidence interval for alpha0.843
 Treynor index (mean / b)0.939
 Jensen alpha (a)0.207
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.096
 SD0.539
 Sharpe ratio (Glass type estimate) 0.179
 Sharpe ratio (Hedges UMVUE)0.179
 df1096.000
 t0.320
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.919
 Upperbound of 95% confidence interval for Sharpe Ratio1.277
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.919
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.276
Statistics related to Sortino ratio
 Sortino ratio0.276
 Upside Potential Ratio6.150
 Upside part of mean2.152
 Downside part of mean-2.056
 Upside SD0.409
 Downside SD0.350
 N nonnegative terms371.000
 N negative terms726.000
Statistics related to linear regression on benchmark
 N of observations1097.000
 Mean of predictor0.140
 Mean of criterion0.096
 SD of predictor0.161
 SD of criterion0.539
 Covariance0.006
 r0.073
 b (slope, estimate of beta)0.243
 a (intercept, estimate of alpha)0.062
 Mean Square Error0.289
 DF error1095.000
 t(b)2.410
 p(b)0.454
 t(a)0.207
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.045
 Upperbound of 95% confidence interval for beta0.441
 Lowerbound of 95% confidence interval for alpha-0.529
 Upperbound of 95% confidence interval for alpha0.654
 Treynor index (mean / b)0.397
 Jensen alpha (a)0.062
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.046
 Expected Shortfall on VaR0.058
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.016
 Expected Shortfall on VaR0.034
ORDER STATISTICS
Quartiles of return rates
 Number of observations1097.000
 Minimum0.762
 Quartile 10.999
 Median1.000
 Quartile 31.005
 Maximum1.591
 Mean of quarter 10.977
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.026
 Inter Quartile Range0.006
 Number outliers low162.000
 Percentage of outliers low0.148
 Mean of outliers low0.965
 Number of outliers high160.000
 Percentage of outliers high0.146
 Mean of outliers high1.038
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.435
 VaR(95%) (moments method)0.008
 Expected Shortfall (moments method)0.019
 Extreme Value Index (regression method)0.275
 VaR(95%) (regression method)0.020
 Expected Shortfall (regression method)0.040
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)0.177
 Compounded annual return (geometric extrapolation)0.151
 Calmar ratio (compounded annual return / max draw down)0.191
 Compounded annual return / average of 25% largest draw downs0.744
 Compounded annual return / Expected Shortfall lognormal2.607
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 predictor0.152
 Mean of criterion-0.044
 SD of predictor0.277
 SD of criterion0.000
 Covariance0.000
 r0.140
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.837
 p(b)0.430
 t(a)-692.418
 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)-1931.481
 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 predictor0.113
 Mean of criterion-0.044
 SD of predictor0.280
 SD of criterion0.000
 Covariance0.000
 r0.137
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.802
 p(b)0.432
 t(a)-692.250
 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)-1987.048
 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
 Mean0.303
 SD0.666
 Sharpe ratio (Glass type estimate) 0.456
 Sharpe ratio (Hedges UMVUE)0.446
 df37.000
 t0.811
 p0.211
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.654
 Upperbound of 95% confidence interval for Sharpe Ratio1.559
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.660
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.552
Statistics related to Sortino ratio
 Sortino ratio0.795
 Upside Potential Ratio2.451
 Upside part of mean0.935
 Downside part of mean-0.632
 Upside SD0.542
 Downside SD0.382
 N nonnegative terms17.000
 N negative terms21.000
Statistics related to linear regression on benchmark
 N of observations38.000
 Mean of predictor0.122
 Mean of criterion0.303
 SD of predictor0.105
 SD of criterion0.666
 Covariance0.009
 r0.133
 b (slope, estimate of beta)0.838
 a (intercept, estimate of alpha)0.201
 Mean Square Error0.448
 DF error36.000
 t(b)0.804
 p(b)0.213
 t(a)0.507
 p(a)0.308
 Lowerbound of 95% confidence interval for beta-1.277
 Upperbound of 95% confidence interval for beta2.953
 Lowerbound of 95% confidence interval for alpha-0.604
 Upperbound of 95% confidence interval for alpha1.006
 Treynor index (mean / b)0.362
 Jensen alpha (a)0.201
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.097
 SD0.645
 Sharpe ratio (Glass type estimate) 0.151
 Sharpe ratio (Hedges UMVUE)0.148
 df37.000
 t0.269
 p0.395
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.952
 Upperbound of 95% confidence interval for Sharpe Ratio1.252
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.954
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.250
Statistics related to Sortino ratio
 Sortino ratio0.218
 Upside Potential Ratio1.824
 Upside part of mean0.817
 Downside part of mean-0.719
 Upside SD0.453
 Downside SD0.448
 N nonnegative terms17.000
 N negative terms21.000
Statistics related to linear regression on benchmark
 N of observations38.000
 Mean of predictor0.116
 Mean of criterion0.097
 SD of predictor0.105
 SD of criterion0.645
 Covariance0.007
 r0.099
 b (slope, estimate of beta)0.611
 a (intercept, estimate of alpha)0.027
 Mean Square Error0.423
 DF error36.000
 t(b)0.597
 p(b)0.277
 t(a)0.070
 p(a)0.472
 Lowerbound of 95% confidence interval for beta-1.464
 Upperbound of 95% confidence interval for beta2.686
 Lowerbound of 95% confidence interval for alpha-0.752
 Upperbound of 95% confidence interval for alpha0.806
 Treynor index (mean / b)0.159
 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%)0.258
 Expected Shortfall on VaR0.312
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.129
 Expected Shortfall on VaR0.252
ORDER STATISTICS
Quartiles of return rates
 Number of observations38.000
 Minimum0.633
 Quartile 10.954
 Median1.000
 Quartile 31.147
 Maximum1.667
 Mean of quarter 10.808
 Mean of quarter 20.999
 Mean of quarter 31.038
 Mean of quarter 41.268
 Inter Quartile Range0.193
 Number outliers low2.000
 Percentage of outliers low0.053
 Mean of outliers low0.645
 Number of outliers high1.000
 Percentage of outliers high0.026
 Mean of outliers high1.667
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-4.373
 VaR(95%) (moments method)0.146
 Expected Shortfall (moments method)0.146
 Extreme Value Index (regression method)0.258
 VaR(95%) (regression method)0.125
 Expected Shortfall (regression method)0.191
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)0.178
 Compounded annual return (geometric extrapolation)0.152
 Calmar ratio (compounded annual return / max draw down)0.197
 Compounded annual return / average of 25% largest draw downs0.197
 Compounded annual return / Expected Shortfall lognormal0.487
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.247
 SD0.579
 Sharpe ratio (Glass type estimate) 0.428
 Sharpe ratio (Hedges UMVUE)0.427
 df1096.000
 t0.764
 p0.488
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.670
 Upperbound of 95% confidence interval for Sharpe Ratio1.525
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.670
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.525
Statistics related to Sortino ratio
 Sortino ratio0.749
 Upside Potential Ratio6.794
 Upside part of mean2.245
 Downside part of mean-1.997
 Upside SD0.475
 Downside SD0.330
 N nonnegative terms371.000
 N negative terms726.000
Statistics related to linear regression on benchmark
 N of observations1097.000
 Mean of predictor0.153
 Mean of criterion0.247
 SD of predictor0.160
 SD of criterion0.579
 Covariance0.007
 r0.073
 b (slope, estimate of beta)0.264
 a (intercept, estimate of alpha)0.207
 Mean Square Error0.333
 DF error1095.000
 t(b)2.423
 p(b)0.454
 t(a)0.640
 p(a)0.488
 Lowerbound of 95% confidence interval for beta0.050
 Upperbound of 95% confidence interval for beta0.477
 Lowerbound of 95% confidence interval for alpha-0.428
 Upperbound of 95% confidence interval for alpha0.843
 Treynor index (mean / b)0.939
 Jensen alpha (a)0.207
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.096
 SD0.539
 Sharpe ratio (Glass type estimate) 0.179
 Sharpe ratio (Hedges UMVUE)0.179
 df1096.000
 t0.320
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.919
 Upperbound of 95% confidence interval for Sharpe Ratio1.277
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.919
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.276
Statistics related to Sortino ratio
 Sortino ratio0.276
 Upside Potential Ratio6.150
 Upside part of mean2.152
 Downside part of mean-2.056
 Upside SD0.409
 Downside SD0.350
 N nonnegative terms371.000
 N negative terms726.000
Statistics related to linear regression on benchmark
 N of observations1097.000
 Mean of predictor0.140
 Mean of criterion0.096
 SD of predictor0.161
 SD of criterion0.539
 Covariance0.006
 r0.073
 b (slope, estimate of beta)0.243
 a (intercept, estimate of alpha)0.062
 Mean Square Error0.289
 DF error1095.000
 t(b)2.410
 p(b)0.454
 t(a)0.207
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.045
 Upperbound of 95% confidence interval for beta0.441
 Lowerbound of 95% confidence interval for alpha-0.529
 Upperbound of 95% confidence interval for alpha0.654
 Treynor index (mean / b)0.397
 Jensen alpha (a)0.062
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.046
 Expected Shortfall on VaR0.058
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.016
 Expected Shortfall on VaR0.034
ORDER STATISTICS
Quartiles of return rates
 Number of observations1097.000
 Minimum0.762
 Quartile 10.999
 Median1.000
 Quartile 31.005
 Maximum1.591
 Mean of quarter 10.977
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.026
 Inter Quartile Range0.006
 Number outliers low162.000
 Percentage of outliers low0.148
 Mean of outliers low0.965
 Number of outliers high160.000
 Percentage of outliers high0.146
 Mean of outliers high1.038
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.435
 VaR(95%) (moments method)0.008
 Expected Shortfall (moments method)0.019
 Extreme Value Index (regression method)0.275
 VaR(95%) (regression method)0.020
 Expected Shortfall (regression method)0.040
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)0.177
 Compounded annual return (geometric extrapolation)0.151
 Calmar ratio (compounded annual return / max draw down)0.191
 Compounded annual return / average of 25% largest draw downs0.744
 Compounded annual return / Expected Shortfall lognormal2.607
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 predictor0.152
 Mean of criterion-0.044
 SD of predictor0.277
 SD of criterion0.000
 Covariance0.000
 r0.140
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.837
 p(b)0.430
 t(a)-692.418
 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)-1931.481
 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 predictor0.113
 Mean of criterion-0.044
 SD of predictor0.280
 SD of criterion0.000
 Covariance0.000
 r0.137
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.802
 p(b)0.432
 t(a)-692.250
 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)-1987.048
 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