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
 Mean0.323
 SD0.684
 Sharpe ratio (Glass type estimate) 0.472
 Sharpe ratio (Hedges UMVUE)0.461
 df35.000
 t0.817
 p0.210
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.669
 Upperbound of 95% confidence interval for Sharpe Ratio1.605
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.675
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.598
Statistics related to Sortino ratio
 Sortino ratio0.823
 Upside Potential Ratio2.518
 Upside part of mean0.987
 Downside part of mean-0.665
 Upside SD0.557
 Downside SD0.392
 N nonnegative terms17.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations36.000
 Mean of predictor0.113
 Mean of criterion0.323
 SD of predictor0.108
 SD of criterion0.684
 Covariance0.010
 r0.137
 b (slope, estimate of beta)0.870
 a (intercept, estimate of alpha)0.224
 Mean Square Error0.473
 DF error34.000
 t(b)0.808
 p(b)0.212
 t(a)0.539
 p(a)0.297
 Lowerbound of 95% confidence interval for beta-1.319
 Upperbound of 95% confidence interval for beta3.060
 Lowerbound of 95% confidence interval for alpha-0.620
 Upperbound of 95% confidence interval for alpha1.068
 Treynor index (mean / b)0.371
 Jensen alpha (a)0.224
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.105
 SD0.663
 Sharpe ratio (Glass type estimate) 0.159
 Sharpe ratio (Hedges UMVUE)0.155
 df35.000
 t0.275
 p0.392
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.974
 Upperbound of 95% confidence interval for Sharpe Ratio1.290
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.977
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.288
Statistics related to Sortino ratio
 Sortino ratio0.229
 Upside Potential Ratio1.874
 Upside part of mean0.862
 Downside part of mean-0.757
 Upside SD0.465
 Downside SD0.460
 N nonnegative terms17.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations36.000
 Mean of predictor0.107
 Mean of criterion0.105
 SD of predictor0.107
 SD of criterion0.663
 Covariance0.007
 r0.101
 b (slope, estimate of beta)0.628
 a (intercept, estimate of alpha)0.038
 Mean Square Error0.448
 DF error34.000
 t(b)0.593
 p(b)0.279
 t(a)0.095
 p(a)0.462
 Lowerbound of 95% confidence interval for beta-1.523
 Upperbound of 95% confidence interval for beta2.778
 Lowerbound of 95% confidence interval for alpha-0.780
 Upperbound of 95% confidence interval for alpha0.856
 Treynor index (mean / b)0.168
 Jensen alpha (a)0.038
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.264
 Expected Shortfall on VaR0.319
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.132
 Expected Shortfall on VaR0.256
ORDER STATISTICS
Quartiles of return rates
 Number of observations36.000
 Minimum0.633
 Quartile 10.918
 Median1.000
 Quartile 31.150
 Maximum1.667
 Mean of quarter 10.794
 Mean of quarter 20.993
 Mean of quarter 31.055
 Mean of quarter 41.281
 Inter Quartile Range0.233
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.028
 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)0.241
 Expected Shortfall (moments method)0.389
 Extreme Value Index (regression method)1.064
 VaR(95%) (regression method)0.195
 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)0.188
 Compounded annual return (geometric extrapolation)0.161
 Calmar ratio (compounded annual return / max draw down)0.209
 Compounded annual return / average of 25% largest draw downs0.209
 Compounded annual return / Expected Shortfall lognormal0.506
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.261
 SD0.592
 Sharpe ratio (Glass type estimate) 0.441
 Sharpe ratio (Hedges UMVUE)0.440
 df1048.000
 t0.770
 p0.488
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.682
 Upperbound of 95% confidence interval for Sharpe Ratio1.563
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.682
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.563
Statistics related to Sortino ratio
 Sortino ratio0.772
 Upside Potential Ratio6.948
 Upside part of mean2.347
 Downside part of mean-2.086
 Upside SD0.486
 Downside SD0.338
 N nonnegative terms371.000
 N negative terms678.000
Statistics related to linear regression on benchmark
 N of observations1049.000
 Mean of predictor0.136
 Mean of criterion0.261
 SD of predictor0.158
 SD of criterion0.592
 Covariance0.007
 r0.076
 b (slope, estimate of beta)0.285
 a (intercept, estimate of alpha)0.222
 Mean Square Error0.349
 DF error1047.000
 t(b)2.468
 p(b)0.452
 t(a)0.656
 p(a)0.487
 Lowerbound of 95% confidence interval for beta0.058
 Upperbound of 95% confidence interval for beta0.512
 Lowerbound of 95% confidence interval for alpha-0.442
 Upperbound of 95% confidence interval for alpha0.886
 Treynor index (mean / b)0.914
 Jensen alpha (a)0.222
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.103
 SD0.551
 Sharpe ratio (Glass type estimate) 0.187
 Sharpe ratio (Hedges UMVUE)0.187
 df1048.000
 t0.326
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.936
 Upperbound of 95% confidence interval for Sharpe Ratio1.309
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.936
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.309
Statistics related to Sortino ratio
 Sortino ratio0.287
 Upside Potential Ratio6.289
 Upside part of mean2.251
 Downside part of mean-2.148
 Upside SD0.419
 Downside SD0.358
 N nonnegative terms371.000
 N negative terms678.000
Statistics related to linear regression on benchmark
 N of observations1049.000
 Mean of predictor0.123
 Mean of criterion0.103
 SD of predictor0.158
 SD of criterion0.551
 Covariance0.007
 r0.076
 b (slope, estimate of beta)0.263
 a (intercept, estimate of alpha)0.071
 Mean Square Error0.302
 DF error1047.000
 t(b)2.451
 p(b)0.452
 t(a)0.224
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.052
 Upperbound of 95% confidence interval for beta0.473
 Lowerbound of 95% confidence interval for alpha-0.548
 Upperbound of 95% confidence interval for alpha0.689
 Treynor index (mean / b)0.392
 Jensen alpha (a)0.071
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.047
 Expected Shortfall on VaR0.059
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 observations1049.000
 Minimum0.762
 Quartile 10.998
 Median1.000
 Quartile 31.005
 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 low142.000
 Percentage of outliers low0.135
 Mean of outliers low0.962
 Number of outliers high134.000
 Percentage of outliers high0.128
 Mean of outliers high1.042
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.493
 VaR(95%) (moments method)0.012
 Expected Shortfall (moments method)0.030
 Extreme Value Index (regression method)0.295
 VaR(95%) (regression method)0.021
 Expected Shortfall (regression method)0.041
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)0.185
 Compounded annual return (geometric extrapolation)0.158
 Calmar ratio (compounded annual return / max draw down)0.201
 Compounded annual return / average of 25% largest draw downs0.781
 Compounded annual return / Expected Shortfall lognormal2.677
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 predictor0.036
 Mean of criterion-0.044
 SD of predictor0.280
 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)1.840
 p(b)0.430
 t(a)-692.688
 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)-1948.653
 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)-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 predictor-0.004
 Mean of criterion-0.044
 SD of predictor0.282
 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)1.807
 p(b)0.431
 t(a)-692.415
 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)-2000.352
 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
 Mean0.323
 SD0.684
 Sharpe ratio (Glass type estimate) 0.472
 Sharpe ratio (Hedges UMVUE)0.461
 df35.000
 t0.817
 p0.210
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.669
 Upperbound of 95% confidence interval for Sharpe Ratio1.605
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.675
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.598
Statistics related to Sortino ratio
 Sortino ratio0.823
 Upside Potential Ratio2.518
 Upside part of mean0.987
 Downside part of mean-0.665
 Upside SD0.557
 Downside SD0.392
 N nonnegative terms17.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations36.000
 Mean of predictor0.113
 Mean of criterion0.323
 SD of predictor0.108
 SD of criterion0.684
 Covariance0.010
 r0.137
 b (slope, estimate of beta)0.870
 a (intercept, estimate of alpha)0.224
 Mean Square Error0.473
 DF error34.000
 t(b)0.808
 p(b)0.212
 t(a)0.539
 p(a)0.297
 Lowerbound of 95% confidence interval for beta-1.319
 Upperbound of 95% confidence interval for beta3.060
 Lowerbound of 95% confidence interval for alpha-0.620
 Upperbound of 95% confidence interval for alpha1.068
 Treynor index (mean / b)0.371
 Jensen alpha (a)0.224
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.105
 SD0.663
 Sharpe ratio (Glass type estimate) 0.159
 Sharpe ratio (Hedges UMVUE)0.155
 df35.000
 t0.275
 p0.392
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.974
 Upperbound of 95% confidence interval for Sharpe Ratio1.290
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.977
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.288
Statistics related to Sortino ratio
 Sortino ratio0.229
 Upside Potential Ratio1.874
 Upside part of mean0.862
 Downside part of mean-0.757
 Upside SD0.465
 Downside SD0.460
 N nonnegative terms17.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations36.000
 Mean of predictor0.107
 Mean of criterion0.105
 SD of predictor0.107
 SD of criterion0.663
 Covariance0.007
 r0.101
 b (slope, estimate of beta)0.628
 a (intercept, estimate of alpha)0.038
 Mean Square Error0.448
 DF error34.000
 t(b)0.593
 p(b)0.279
 t(a)0.095
 p(a)0.462
 Lowerbound of 95% confidence interval for beta-1.523
 Upperbound of 95% confidence interval for beta2.778
 Lowerbound of 95% confidence interval for alpha-0.780
 Upperbound of 95% confidence interval for alpha0.856
 Treynor index (mean / b)0.168
 Jensen alpha (a)0.038
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.264
 Expected Shortfall on VaR0.319
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.132
 Expected Shortfall on VaR0.256
ORDER STATISTICS
Quartiles of return rates
 Number of observations36.000
 Minimum0.633
 Quartile 10.918
 Median1.000
 Quartile 31.150
 Maximum1.667
 Mean of quarter 10.794
 Mean of quarter 20.993
 Mean of quarter 31.055
 Mean of quarter 41.281
 Inter Quartile Range0.233
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.028
 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)0.241
 Expected Shortfall (moments method)0.389
 Extreme Value Index (regression method)1.064
 VaR(95%) (regression method)0.195
 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)0.188
 Compounded annual return (geometric extrapolation)0.161
 Calmar ratio (compounded annual return / max draw down)0.209
 Compounded annual return / average of 25% largest draw downs0.209
 Compounded annual return / Expected Shortfall lognormal0.506
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.261
 SD0.592
 Sharpe ratio (Glass type estimate) 0.441
 Sharpe ratio (Hedges UMVUE)0.440
 df1048.000
 t0.770
 p0.488
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.682
 Upperbound of 95% confidence interval for Sharpe Ratio1.563
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.682
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.563
Statistics related to Sortino ratio
 Sortino ratio0.772
 Upside Potential Ratio6.948
 Upside part of mean2.347
 Downside part of mean-2.086
 Upside SD0.486
 Downside SD0.338
 N nonnegative terms371.000
 N negative terms678.000
Statistics related to linear regression on benchmark
 N of observations1049.000
 Mean of predictor0.136
 Mean of criterion0.261
 SD of predictor0.158
 SD of criterion0.592
 Covariance0.007
 r0.076
 b (slope, estimate of beta)0.285
 a (intercept, estimate of alpha)0.222
 Mean Square Error0.349
 DF error1047.000
 t(b)2.468
 p(b)0.452
 t(a)0.656
 p(a)0.487
 Lowerbound of 95% confidence interval for beta0.058
 Upperbound of 95% confidence interval for beta0.512
 Lowerbound of 95% confidence interval for alpha-0.442
 Upperbound of 95% confidence interval for alpha0.886
 Treynor index (mean / b)0.914
 Jensen alpha (a)0.222
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.103
 SD0.551
 Sharpe ratio (Glass type estimate) 0.187
 Sharpe ratio (Hedges UMVUE)0.187
 df1048.000
 t0.326
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.936
 Upperbound of 95% confidence interval for Sharpe Ratio1.309
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.936
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.309
Statistics related to Sortino ratio
 Sortino ratio0.287
 Upside Potential Ratio6.289
 Upside part of mean2.251
 Downside part of mean-2.148
 Upside SD0.419
 Downside SD0.358
 N nonnegative terms371.000
 N negative terms678.000
Statistics related to linear regression on benchmark
 N of observations1049.000
 Mean of predictor0.123
 Mean of criterion0.103
 SD of predictor0.158
 SD of criterion0.551
 Covariance0.007
 r0.076
 b (slope, estimate of beta)0.263
 a (intercept, estimate of alpha)0.071
 Mean Square Error0.302
 DF error1047.000
 t(b)2.451
 p(b)0.452
 t(a)0.224
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.052
 Upperbound of 95% confidence interval for beta0.473
 Lowerbound of 95% confidence interval for alpha-0.548
 Upperbound of 95% confidence interval for alpha0.689
 Treynor index (mean / b)0.392
 Jensen alpha (a)0.071
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.047
 Expected Shortfall on VaR0.059
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 observations1049.000
 Minimum0.762
 Quartile 10.998
 Median1.000
 Quartile 31.005
 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 low142.000
 Percentage of outliers low0.135
 Mean of outliers low0.962
 Number of outliers high134.000
 Percentage of outliers high0.128
 Mean of outliers high1.042
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.493
 VaR(95%) (moments method)0.012
 Expected Shortfall (moments method)0.030
 Extreme Value Index (regression method)0.295
 VaR(95%) (regression method)0.021
 Expected Shortfall (regression method)0.041
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)0.185
 Compounded annual return (geometric extrapolation)0.158
 Calmar ratio (compounded annual return / max draw down)0.201
 Compounded annual return / average of 25% largest draw downs0.781
 Compounded annual return / Expected Shortfall lognormal2.677
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 predictor0.036
 Mean of criterion-0.044
 SD of predictor0.280
 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)1.840
 p(b)0.430
 t(a)-692.688
 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)-1948.653
 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)-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 predictor-0.004
 Mean of criterion-0.044
 SD of predictor0.282
 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)1.807
 p(b)0.431
 t(a)-692.415
 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)-2000.352
 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