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
 Mean0.344
 SD0.704
 Sharpe ratio (Glass type estimate) 0.489
 Sharpe ratio (Hedges UMVUE)0.478
 df33.000
 t0.823
 p0.208
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.685
 Upperbound of 95% confidence interval for Sharpe Ratio1.656
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.692
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.648
Statistics related to Sortino ratio
 Sortino ratio0.853
 Upside Potential Ratio2.591
 Upside part of mean1.045
 Downside part of mean-0.701
 Upside SD0.573
 Downside SD0.403
 N nonnegative terms17.000
 N negative terms17.000
Statistics related to linear regression on benchmark
 N of observations34.000
 Mean of predictor0.146
 Mean of criterion0.344
 SD of predictor0.103
 SD of criterion0.704
 Covariance0.010
 r0.133
 b (slope, estimate of beta)0.903
 a (intercept, estimate of alpha)0.213
 Mean Square Error0.502
 DF error32.000
 t(b)0.757
 p(b)0.227
 t(a)0.467
 p(a)0.322
 Lowerbound of 95% confidence interval for beta-1.526
 Upperbound of 95% confidence interval for beta3.332
 Lowerbound of 95% confidence interval for alpha-0.715
 Upperbound of 95% confidence interval for alpha1.140
 Treynor index (mean / b)0.381
 Jensen alpha (a)0.213
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.114
 SD0.683
 Sharpe ratio (Glass type estimate) 0.167
 Sharpe ratio (Hedges UMVUE)0.163
 df33.000
 t0.281
 p0.390
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.999
 Upperbound of 95% confidence interval for Sharpe Ratio1.331
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.002
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.328
Statistics related to Sortino ratio
 Sortino ratio0.241
 Upside Potential Ratio1.928
 Upside part of mean0.913
 Downside part of mean-0.799
 Upside SD0.479
 Downside SD0.473
 N nonnegative terms17.000
 N negative terms17.000
Statistics related to linear regression on benchmark
 N of observations34.000
 Mean of predictor0.139
 Mean of criterion0.114
 SD of predictor0.102
 SD of criterion0.683
 Covariance0.007
 r0.103
 b (slope, estimate of beta)0.684
 a (intercept, estimate of alpha)0.019
 Mean Square Error0.475
 DF error32.000
 t(b)0.583
 p(b)0.282
 t(a)0.043
 p(a)0.483
 Lowerbound of 95% confidence interval for beta-1.705
 Upperbound of 95% confidence interval for beta3.073
 Lowerbound of 95% confidence interval for alpha-0.879
 Upperbound of 95% confidence interval for alpha0.917
 Treynor index (mean / b)0.167
 Jensen alpha (a)0.019
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.270
 Expected Shortfall on VaR0.326
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.135
 Expected Shortfall on VaR0.260
ORDER STATISTICS
Quartiles of return rates
 Number of observations34.000
 Minimum0.633
 Quartile 10.873
 Median1.006
 Quartile 31.152
 Maximum1.667
 Mean of quarter 10.794
 Mean of quarter 20.992
 Mean of quarter 31.061
 Mean of quarter 41.281
 Inter Quartile Range0.279
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.029
 Mean of outliers high1.667
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.438
 VaR(95%) (moments method)0.246
 Expected Shortfall (moments method)0.398
 Extreme Value Index (regression method)1.064
 VaR(95%) (regression method)0.198
 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)0.199
 Compounded annual return (geometric extrapolation)0.171
 Calmar ratio (compounded annual return / max draw down)0.222
 Compounded annual return / average of 25% largest draw downs0.222
 Compounded annual return / Expected Shortfall lognormal0.525
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.279
 SD0.610
 Sharpe ratio (Glass type estimate) 0.458
 Sharpe ratio (Hedges UMVUE)0.458
 df988.000
 t0.777
 p0.219
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.698
 Upperbound of 95% confidence interval for Sharpe Ratio1.614
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.698
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.614
Statistics related to Sortino ratio
 Sortino ratio0.803
 Upside Potential Ratio7.156
 Upside part of mean2.490
 Downside part of mean-2.210
 Upside SD0.500
 Downside SD0.348
 N nonnegative terms371.000
 N negative terms618.000
Statistics related to linear regression on benchmark
 N of observations989.000
 Mean of predictor0.112
 Mean of criterion0.279
 SD of predictor0.143
 SD of criterion0.610
 Covariance0.008
 r0.087
 b (slope, estimate of beta)0.369
 a (intercept, estimate of alpha)0.238
 Mean Square Error0.369
 DF error987.000
 t(b)2.731
 p(b)0.003
 t(a)0.663
 p(a)0.254
 Lowerbound of 95% confidence interval for beta0.104
 Upperbound of 95% confidence interval for beta0.634
 Lowerbound of 95% confidence interval for alpha-0.466
 Upperbound of 95% confidence interval for alpha0.942
 Treynor index (mean / b)0.757
 Jensen alpha (a)0.238
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.112
 SD0.567
 Sharpe ratio (Glass type estimate) 0.197
 Sharpe ratio (Hedges UMVUE)0.197
 df988.000
 t0.334
 p0.369
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.959
 Upperbound of 95% confidence interval for Sharpe Ratio1.353
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.959
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.353
Statistics related to Sortino ratio
 Sortino ratio0.303
 Upside Potential Ratio6.477
 Upside part of mean2.387
 Downside part of mean-2.275
 Upside SD0.431
 Downside SD0.369
 N nonnegative terms371.000
 N negative terms618.000
Statistics related to linear regression on benchmark
 N of observations989.000
 Mean of predictor0.102
 Mean of criterion0.112
 SD of predictor0.144
 SD of criterion0.567
 Covariance0.007
 r0.086
 b (slope, estimate of beta)0.338
 a (intercept, estimate of alpha)0.077
 Mean Square Error0.320
 DF error987.000
 t(b)2.705
 p(b)0.003
 t(a)0.231
 p(a)0.408
 Lowerbound of 95% confidence interval for beta0.093
 Upperbound of 95% confidence interval for beta0.584
 Lowerbound of 95% confidence interval for alpha-0.578
 Upperbound of 95% confidence interval for alpha0.732
 Treynor index (mean / b)0.330
 Jensen alpha (a)0.077
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.049
 Expected Shortfall on VaR0.061
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.017
 Expected Shortfall on VaR0.036
ORDER STATISTICS
Quartiles of return rates
 Number of observations989.000
 Minimum0.762
 Quartile 10.997
 Median1.000
 Quartile 31.006
 Maximum1.591
 Mean of quarter 10.975
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.028
 Inter Quartile Range0.009
 Number outliers low117.000
 Percentage of outliers low0.118
 Mean of outliers low0.957
 Number of outliers high111.000
 Percentage of outliers high0.112
 Mean of outliers high1.047
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.482
 VaR(95%) (moments method)0.015
 Expected Shortfall (moments method)0.037
 Extreme Value Index (regression method)0.296
 VaR(95%) (regression method)0.022
 Expected Shortfall (regression method)0.043
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)0.197
 Compounded annual return (geometric extrapolation)0.169
 Calmar ratio (compounded annual return / max draw down)0.214
 Compounded annual return / average of 25% largest draw downs0.832
 Compounded annual return / Expected Shortfall lognormal2.773
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) NA
 Sharpe ratio (Hedges UMVUE)NA
 dfNA
 tNA
 pNA
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
Statistics related to Sortino ratio
 Sortino ratio-18.547
 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-0.075
 Mean of criterion-0.044
 SD of predictor0.228
 SD of criterion0.000
 Covariance0.000
 rNA
 b (slope, estimate of beta)NA
 a (intercept, estimate of alpha)NA
 Mean Square ErrorNA
 DF errorNA
 t(b)NA
 p(b)NA
 t(a)NA
 p(a)NA
 Lowerbound of 95% confidence interval for betaNA
 Upperbound of 95% confidence interval for betaNA
 Lowerbound of 95% confidence interval for alphaNA
 Upperbound of 95% confidence interval for alphaNA
 Treynor index (mean / b)NA
 Jensen alpha (a)NA
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) -7936535306446244.000
 Sharpe ratio (Hedges UMVUE)-7901674975671223.000
 df171.000
 t-5611977934314593.000
 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)-8739115425704417.000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-7064234525638030.000
Statistics related to Sortino ratio
 Sortino ratio-18.547
 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-0.102
 Mean of criterion-0.044
 SD of predictor0.231
 SD of criterion0.000
 Covariance-0.000
 r-0.000
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)-0.000
 p(b)0.500
 t(a)-5593956081700519.000
 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)387075778772231916225301133131776.000
 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 high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
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 lognormal0.000

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
 Mean0.344
 SD0.704
 Sharpe ratio (Glass type estimate) 0.489
 Sharpe ratio (Hedges UMVUE)0.478
 df33.000
 t0.823
 p0.208
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.685
 Upperbound of 95% confidence interval for Sharpe Ratio1.656
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.692
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.648
Statistics related to Sortino ratio
 Sortino ratio0.853
 Upside Potential Ratio2.591
 Upside part of mean1.045
 Downside part of mean-0.701
 Upside SD0.573
 Downside SD0.403
 N nonnegative terms17.000
 N negative terms17.000
Statistics related to linear regression on benchmark
 N of observations34.000
 Mean of predictor0.146
 Mean of criterion0.344
 SD of predictor0.103
 SD of criterion0.704
 Covariance0.010
 r0.133
 b (slope, estimate of beta)0.903
 a (intercept, estimate of alpha)0.213
 Mean Square Error0.502
 DF error32.000
 t(b)0.757
 p(b)0.227
 t(a)0.467
 p(a)0.322
 Lowerbound of 95% confidence interval for beta-1.526
 Upperbound of 95% confidence interval for beta3.332
 Lowerbound of 95% confidence interval for alpha-0.715
 Upperbound of 95% confidence interval for alpha1.140
 Treynor index (mean / b)0.381
 Jensen alpha (a)0.213
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.114
 SD0.683
 Sharpe ratio (Glass type estimate) 0.167
 Sharpe ratio (Hedges UMVUE)0.163
 df33.000
 t0.281
 p0.390
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.999
 Upperbound of 95% confidence interval for Sharpe Ratio1.331
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.002
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.328
Statistics related to Sortino ratio
 Sortino ratio0.241
 Upside Potential Ratio1.928
 Upside part of mean0.913
 Downside part of mean-0.799
 Upside SD0.479
 Downside SD0.473
 N nonnegative terms17.000
 N negative terms17.000
Statistics related to linear regression on benchmark
 N of observations34.000
 Mean of predictor0.139
 Mean of criterion0.114
 SD of predictor0.102
 SD of criterion0.683
 Covariance0.007
 r0.103
 b (slope, estimate of beta)0.684
 a (intercept, estimate of alpha)0.019
 Mean Square Error0.475
 DF error32.000
 t(b)0.583
 p(b)0.282
 t(a)0.043
 p(a)0.483
 Lowerbound of 95% confidence interval for beta-1.705
 Upperbound of 95% confidence interval for beta3.073
 Lowerbound of 95% confidence interval for alpha-0.879
 Upperbound of 95% confidence interval for alpha0.917
 Treynor index (mean / b)0.167
 Jensen alpha (a)0.019
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.270
 Expected Shortfall on VaR0.326
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.135
 Expected Shortfall on VaR0.260
ORDER STATISTICS
Quartiles of return rates
 Number of observations34.000
 Minimum0.633
 Quartile 10.873
 Median1.006
 Quartile 31.152
 Maximum1.667
 Mean of quarter 10.794
 Mean of quarter 20.992
 Mean of quarter 31.061
 Mean of quarter 41.281
 Inter Quartile Range0.279
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.029
 Mean of outliers high1.667
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.438
 VaR(95%) (moments method)0.246
 Expected Shortfall (moments method)0.398
 Extreme Value Index (regression method)1.064
 VaR(95%) (regression method)0.198
 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)0.199
 Compounded annual return (geometric extrapolation)0.171
 Calmar ratio (compounded annual return / max draw down)0.222
 Compounded annual return / average of 25% largest draw downs0.222
 Compounded annual return / Expected Shortfall lognormal0.525
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.279
 SD0.610
 Sharpe ratio (Glass type estimate) 0.458
 Sharpe ratio (Hedges UMVUE)0.458
 df988.000
 t0.777
 p0.219
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.698
 Upperbound of 95% confidence interval for Sharpe Ratio1.614
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.698
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.614
Statistics related to Sortino ratio
 Sortino ratio0.803
 Upside Potential Ratio7.156
 Upside part of mean2.490
 Downside part of mean-2.210
 Upside SD0.500
 Downside SD0.348
 N nonnegative terms371.000
 N negative terms618.000
Statistics related to linear regression on benchmark
 N of observations989.000
 Mean of predictor0.112
 Mean of criterion0.279
 SD of predictor0.143
 SD of criterion0.610
 Covariance0.008
 r0.087
 b (slope, estimate of beta)0.369
 a (intercept, estimate of alpha)0.238
 Mean Square Error0.369
 DF error987.000
 t(b)2.731
 p(b)0.003
 t(a)0.663
 p(a)0.254
 Lowerbound of 95% confidence interval for beta0.104
 Upperbound of 95% confidence interval for beta0.634
 Lowerbound of 95% confidence interval for alpha-0.466
 Upperbound of 95% confidence interval for alpha0.942
 Treynor index (mean / b)0.757
 Jensen alpha (a)0.238
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.112
 SD0.567
 Sharpe ratio (Glass type estimate) 0.197
 Sharpe ratio (Hedges UMVUE)0.197
 df988.000
 t0.334
 p0.369
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.959
 Upperbound of 95% confidence interval for Sharpe Ratio1.353
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.959
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.353
Statistics related to Sortino ratio
 Sortino ratio0.303
 Upside Potential Ratio6.477
 Upside part of mean2.387
 Downside part of mean-2.275
 Upside SD0.431
 Downside SD0.369
 N nonnegative terms371.000
 N negative terms618.000
Statistics related to linear regression on benchmark
 N of observations989.000
 Mean of predictor0.102
 Mean of criterion0.112
 SD of predictor0.144
 SD of criterion0.567
 Covariance0.007
 r0.086
 b (slope, estimate of beta)0.338
 a (intercept, estimate of alpha)0.077
 Mean Square Error0.320
 DF error987.000
 t(b)2.705
 p(b)0.003
 t(a)0.231
 p(a)0.408
 Lowerbound of 95% confidence interval for beta0.093
 Upperbound of 95% confidence interval for beta0.584
 Lowerbound of 95% confidence interval for alpha-0.578
 Upperbound of 95% confidence interval for alpha0.732
 Treynor index (mean / b)0.330
 Jensen alpha (a)0.077
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.049
 Expected Shortfall on VaR0.061
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.017
 Expected Shortfall on VaR0.036
ORDER STATISTICS
Quartiles of return rates
 Number of observations989.000
 Minimum0.762
 Quartile 10.997
 Median1.000
 Quartile 31.006
 Maximum1.591
 Mean of quarter 10.975
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.028
 Inter Quartile Range0.009
 Number outliers low117.000
 Percentage of outliers low0.118
 Mean of outliers low0.957
 Number of outliers high111.000
 Percentage of outliers high0.112
 Mean of outliers high1.047
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.482
 VaR(95%) (moments method)0.015
 Expected Shortfall (moments method)0.037
 Extreme Value Index (regression method)0.296
 VaR(95%) (regression method)0.022
 Expected Shortfall (regression method)0.043
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)0.197
 Compounded annual return (geometric extrapolation)0.169
 Calmar ratio (compounded annual return / max draw down)0.214
 Compounded annual return / average of 25% largest draw downs0.832
 Compounded annual return / Expected Shortfall lognormal2.773
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) NA
 Sharpe ratio (Hedges UMVUE)NA
 dfNA
 tNA
 pNA
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
Statistics related to Sortino ratio
 Sortino ratio-18.547
 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-0.075
 Mean of criterion-0.044
 SD of predictor0.228
 SD of criterion0.000
 Covariance0.000
 rNA
 b (slope, estimate of beta)NA
 a (intercept, estimate of alpha)NA
 Mean Square ErrorNA
 DF errorNA
 t(b)NA
 p(b)NA
 t(a)NA
 p(a)NA
 Lowerbound of 95% confidence interval for betaNA
 Upperbound of 95% confidence interval for betaNA
 Lowerbound of 95% confidence interval for alphaNA
 Upperbound of 95% confidence interval for alphaNA
 Treynor index (mean / b)NA
 Jensen alpha (a)NA
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) -7936535306446244.000
 Sharpe ratio (Hedges UMVUE)-7901674975671223.000
 df171.000
 t-5611977934314593.000
 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)-8739115425704417.000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-7064234525638030.000
Statistics related to Sortino ratio
 Sortino ratio-18.547
 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-0.102
 Mean of criterion-0.044
 SD of predictor0.231
 SD of criterion0.000
 Covariance-0.000
 r-0.000
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)-0.000
 p(b)0.500
 t(a)-5593956081700519.000
 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)387075778772231916225301133131776.000
 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 high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
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 lognormal0.000