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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
 Mean0.313
 SD0.675
 Sharpe ratio (Glass type estimate) 0.463
 Sharpe ratio (Hedges UMVUE)0.454
 df36.000
 t0.814
 p0.211
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.661
 Upperbound of 95% confidence interval for Sharpe Ratio1.581
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.667
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.575
Statistics related to Sortino ratio
 Sortino ratio0.808
 Upside Potential Ratio2.483
 Upside part of mean0.961
 Downside part of mean-0.648
 Upside SD0.549
 Downside SD0.387
 N nonnegative terms17.000
 N negative terms20.000
Statistics related to linear regression on benchmark
 N of observations37.000
 Mean of predictor0.119
 Mean of criterion0.313
 SD of predictor0.107
 SD of criterion0.675
 Covariance0.010
 r0.134
 b (slope, estimate of beta)0.849
 a (intercept, estimate of alpha)0.212
 Mean Square Error0.460
 DF error35.000
 t(b)0.802
 p(b)0.214
 t(a)0.522
 p(a)0.303
 Lowerbound of 95% confidence interval for beta-1.300
 Upperbound of 95% confidence interval for beta2.997
 Lowerbound of 95% confidence interval for alpha-0.613
 Upperbound of 95% confidence interval for alpha1.036
 Treynor index (mean / b)0.368
 Jensen alpha (a)0.212
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.101
 SD0.654
 Sharpe ratio (Glass type estimate) 0.155
 Sharpe ratio (Hedges UMVUE)0.152
 df36.000
 t0.272
 p0.394
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.963
 Upperbound of 95% confidence interval for Sharpe Ratio1.271
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.965
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.268
Statistics related to Sortino ratio
 Sortino ratio0.223
 Upside Potential Ratio1.849
 Upside part of mean0.839
 Downside part of mean-0.738
 Upside SD0.459
 Downside SD0.454
 N nonnegative terms17.000
 N negative terms20.000
Statistics related to linear regression on benchmark
 N of observations37.000
 Mean of predictor0.112
 Mean of criterion0.101
 SD of predictor0.106
 SD of criterion0.654
 Covariance0.007
 r0.100
 b (slope, estimate of beta)0.616
 a (intercept, estimate of alpha)0.032
 Mean Square Error0.435
 DF error35.000
 t(b)0.593
 p(b)0.278
 t(a)0.081
 p(a)0.468
 Lowerbound of 95% confidence interval for beta-1.493
 Upperbound of 95% confidence interval for beta2.726
 Lowerbound of 95% confidence interval for alpha-0.767
 Upperbound of 95% confidence interval for alpha0.831
 Treynor index (mean / b)0.164
 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%)0.261
 Expected Shortfall on VaR0.315
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.130
 Expected Shortfall on VaR0.254
ORDER STATISTICS
Quartiles of return rates
 Number of observations37.000
 Minimum0.633
 Quartile 10.940
 Median1.000
 Quartile 31.150
 Maximum1.667
 Mean of quarter 10.808
 Mean of quarter 20.999
 Mean of quarter 31.055
 Mean of quarter 41.281
 Inter Quartile Range0.209
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.027
 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)0.126
 Expected Shortfall (regression method)0.193
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)0.183
 Compounded annual return (geometric extrapolation)0.156
 Calmar ratio (compounded annual return / max draw down)0.203
 Compounded annual return / average of 25% largest draw downs0.203
 Compounded annual return / Expected Shortfall lognormal0.496
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.253
 SD0.585
 Sharpe ratio (Glass type estimate) 0.434
 Sharpe ratio (Hedges UMVUE)0.433
 df1074.000
 t0.766
 p0.488
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.675
 Upperbound of 95% confidence interval for Sharpe Ratio1.542
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.676
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.542
Statistics related to Sortino ratio
 Sortino ratio0.760
 Upside Potential Ratio6.864
 Upside part of mean2.290
 Downside part of mean-2.037
 Upside SD0.480
 Downside SD0.334
 N nonnegative terms371.000
 N negative terms704.000
Statistics related to linear regression on benchmark
 N of observations1075.000
 Mean of predictor0.146
 Mean of criterion0.253
 SD of predictor0.159
 SD of criterion0.585
 Covariance0.007
 r0.074
 b (slope, estimate of beta)0.273
 a (intercept, estimate of alpha)0.214
 Mean Square Error0.340
 DF error1073.000
 t(b)2.444
 p(b)0.453
 t(a)0.647
 p(a)0.487
 Lowerbound of 95% confidence interval for beta0.054
 Upperbound of 95% confidence interval for beta0.493
 Lowerbound of 95% confidence interval for alpha-0.435
 Upperbound of 95% confidence interval for alpha0.862
 Treynor index (mean / b)0.928
 Jensen alpha (a)0.214
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.099
 SD0.544
 Sharpe ratio (Glass type estimate) 0.182
 Sharpe ratio (Hedges UMVUE)0.182
 df1074.000
 t0.323
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.926
 Upperbound of 95% confidence interval for Sharpe Ratio1.291
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.926
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.291
Statistics related to Sortino ratio
 Sortino ratio0.281
 Upside Potential Ratio6.213
 Upside part of mean2.196
 Downside part of mean-2.097
 Upside SD0.414
 Downside SD0.353
 N nonnegative terms371.000
 N negative terms704.000
Statistics related to linear regression on benchmark
 N of observations1075.000
 Mean of predictor0.133
 Mean of criterion0.099
 SD of predictor0.160
 SD of criterion0.544
 Covariance0.006
 r0.074
 b (slope, estimate of beta)0.252
 a (intercept, estimate of alpha)0.066
 Mean Square Error0.295
 DF error1073.000
 t(b)2.429
 p(b)0.453
 t(a)0.214
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.048
 Upperbound of 95% confidence interval for beta0.455
 Lowerbound of 95% confidence interval for alpha-0.538
 Upperbound of 95% confidence interval for alpha0.669
 Treynor index (mean / b)0.394
 Jensen alpha (a)0.066
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 VaR0.058
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 observations1075.000
 Minimum0.762
 Quartile 10.998
 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 Range0.007
 Number outliers low154.000
 Percentage of outliers low0.143
 Mean of outliers low0.964
 Number of outliers high145.000
 Percentage of outliers high0.135
 Mean of outliers high1.040
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.511
 VaR(95%) (moments method)0.011
 Expected Shortfall (moments method)0.028
 Extreme Value Index (regression method)0.290
 VaR(95%) (regression method)0.020
 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)0.181
 Compounded annual return (geometric extrapolation)0.154
 Calmar ratio (compounded annual return / max draw down)0.196
 Compounded annual return / average of 25% largest draw downs0.761
 Compounded annual return / Expected Shortfall lognormal2.639
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 predictor0.177
 Mean of criterion-0.044
 SD of predictor0.273
 SD of criterion0.000
 Covariance0.000
 r0.141
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.859
 p(b)0.429
 t(a)-692.467
 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)-1882.338
 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 predictor0.140
 Mean of criterion-0.044
 SD of predictor0.276
 SD of criterion0.000
 Covariance0.000
 r0.138
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.822
 p(b)0.431
 t(a)-692.312
 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)-1938.884
 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
 Mean0.313
 SD0.675
 Sharpe ratio (Glass type estimate) 0.463
 Sharpe ratio (Hedges UMVUE)0.454
 df36.000
 t0.814
 p0.211
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.661
 Upperbound of 95% confidence interval for Sharpe Ratio1.581
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.667
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.575
Statistics related to Sortino ratio
 Sortino ratio0.808
 Upside Potential Ratio2.483
 Upside part of mean0.961
 Downside part of mean-0.648
 Upside SD0.549
 Downside SD0.387
 N nonnegative terms17.000
 N negative terms20.000
Statistics related to linear regression on benchmark
 N of observations37.000
 Mean of predictor0.119
 Mean of criterion0.313
 SD of predictor0.107
 SD of criterion0.675
 Covariance0.010
 r0.134
 b (slope, estimate of beta)0.849
 a (intercept, estimate of alpha)0.212
 Mean Square Error0.460
 DF error35.000
 t(b)0.802
 p(b)0.214
 t(a)0.522
 p(a)0.303
 Lowerbound of 95% confidence interval for beta-1.300
 Upperbound of 95% confidence interval for beta2.997
 Lowerbound of 95% confidence interval for alpha-0.613
 Upperbound of 95% confidence interval for alpha1.036
 Treynor index (mean / b)0.368
 Jensen alpha (a)0.212
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.101
 SD0.654
 Sharpe ratio (Glass type estimate) 0.155
 Sharpe ratio (Hedges UMVUE)0.152
 df36.000
 t0.272
 p0.394
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.963
 Upperbound of 95% confidence interval for Sharpe Ratio1.271
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.965
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.268
Statistics related to Sortino ratio
 Sortino ratio0.223
 Upside Potential Ratio1.849
 Upside part of mean0.839
 Downside part of mean-0.738
 Upside SD0.459
 Downside SD0.454
 N nonnegative terms17.000
 N negative terms20.000
Statistics related to linear regression on benchmark
 N of observations37.000
 Mean of predictor0.112
 Mean of criterion0.101
 SD of predictor0.106
 SD of criterion0.654
 Covariance0.007
 r0.100
 b (slope, estimate of beta)0.616
 a (intercept, estimate of alpha)0.032
 Mean Square Error0.435
 DF error35.000
 t(b)0.593
 p(b)0.278
 t(a)0.081
 p(a)0.468
 Lowerbound of 95% confidence interval for beta-1.493
 Upperbound of 95% confidence interval for beta2.726
 Lowerbound of 95% confidence interval for alpha-0.767
 Upperbound of 95% confidence interval for alpha0.831
 Treynor index (mean / b)0.164
 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%)0.261
 Expected Shortfall on VaR0.315
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.130
 Expected Shortfall on VaR0.254
ORDER STATISTICS
Quartiles of return rates
 Number of observations37.000
 Minimum0.633
 Quartile 10.940
 Median1.000
 Quartile 31.150
 Maximum1.667
 Mean of quarter 10.808
 Mean of quarter 20.999
 Mean of quarter 31.055
 Mean of quarter 41.281
 Inter Quartile Range0.209
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.027
 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)0.126
 Expected Shortfall (regression method)0.193
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)0.183
 Compounded annual return (geometric extrapolation)0.156
 Calmar ratio (compounded annual return / max draw down)0.203
 Compounded annual return / average of 25% largest draw downs0.203
 Compounded annual return / Expected Shortfall lognormal0.496
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.253
 SD0.585
 Sharpe ratio (Glass type estimate) 0.434
 Sharpe ratio (Hedges UMVUE)0.433
 df1074.000
 t0.766
 p0.488
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.675
 Upperbound of 95% confidence interval for Sharpe Ratio1.542
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.676
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.542
Statistics related to Sortino ratio
 Sortino ratio0.760
 Upside Potential Ratio6.864
 Upside part of mean2.290
 Downside part of mean-2.037
 Upside SD0.480
 Downside SD0.334
 N nonnegative terms371.000
 N negative terms704.000
Statistics related to linear regression on benchmark
 N of observations1075.000
 Mean of predictor0.146
 Mean of criterion0.253
 SD of predictor0.159
 SD of criterion0.585
 Covariance0.007
 r0.074
 b (slope, estimate of beta)0.273
 a (intercept, estimate of alpha)0.214
 Mean Square Error0.340
 DF error1073.000
 t(b)2.444
 p(b)0.453
 t(a)0.647
 p(a)0.487
 Lowerbound of 95% confidence interval for beta0.054
 Upperbound of 95% confidence interval for beta0.493
 Lowerbound of 95% confidence interval for alpha-0.435
 Upperbound of 95% confidence interval for alpha0.862
 Treynor index (mean / b)0.928
 Jensen alpha (a)0.214
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.099
 SD0.544
 Sharpe ratio (Glass type estimate) 0.182
 Sharpe ratio (Hedges UMVUE)0.182
 df1074.000
 t0.323
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.926
 Upperbound of 95% confidence interval for Sharpe Ratio1.291
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.926
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.291
Statistics related to Sortino ratio
 Sortino ratio0.281
 Upside Potential Ratio6.213
 Upside part of mean2.196
 Downside part of mean-2.097
 Upside SD0.414
 Downside SD0.353
 N nonnegative terms371.000
 N negative terms704.000
Statistics related to linear regression on benchmark
 N of observations1075.000
 Mean of predictor0.133
 Mean of criterion0.099
 SD of predictor0.160
 SD of criterion0.544
 Covariance0.006
 r0.074
 b (slope, estimate of beta)0.252
 a (intercept, estimate of alpha)0.066
 Mean Square Error0.295
 DF error1073.000
 t(b)2.429
 p(b)0.453
 t(a)0.214
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.048
 Upperbound of 95% confidence interval for beta0.455
 Lowerbound of 95% confidence interval for alpha-0.538
 Upperbound of 95% confidence interval for alpha0.669
 Treynor index (mean / b)0.394
 Jensen alpha (a)0.066
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 VaR0.058
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 observations1075.000
 Minimum0.762
 Quartile 10.998
 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 Range0.007
 Number outliers low154.000
 Percentage of outliers low0.143
 Mean of outliers low0.964
 Number of outliers high145.000
 Percentage of outliers high0.135
 Mean of outliers high1.040
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.511
 VaR(95%) (moments method)0.011
 Expected Shortfall (moments method)0.028
 Extreme Value Index (regression method)0.290
 VaR(95%) (regression method)0.020
 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)0.181
 Compounded annual return (geometric extrapolation)0.154
 Calmar ratio (compounded annual return / max draw down)0.196
 Compounded annual return / average of 25% largest draw downs0.761
 Compounded annual return / Expected Shortfall lognormal2.639
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 predictor0.177
 Mean of criterion-0.044
 SD of predictor0.273
 SD of criterion0.000
 Covariance0.000
 r0.141
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.859
 p(b)0.429
 t(a)-692.467
 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)-1882.338
 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 predictor0.140
 Mean of criterion-0.044
 SD of predictor0.276
 SD of criterion0.000
 Covariance0.000
 r0.138
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.822
 p(b)0.431
 t(a)-692.312
 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)-1938.884
 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