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
 Mean0.294
 SD0.657
 Sharpe ratio (Glass type estimate) 0.448
 Sharpe ratio (Hedges UMVUE)0.439
 df38.000
 t0.808
 p0.212
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.647
 Upperbound of 95% confidence interval for Sharpe Ratio1.537
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.653
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.531
Statistics related to Sortino ratio
 Sortino ratio0.781
 Upside Potential Ratio2.419
 Upside part of mean0.911
 Downside part of mean-0.617
 Upside SD0.535
 Downside SD0.377
 N nonnegative terms17.000
 N negative terms22.000
Statistics related to linear regression on benchmark
 N of observations39.000
 Mean of predictor0.161
 Mean of criterion0.294
 SD of predictor0.126
 SD of criterion0.657
 Covariance0.008
 r0.096
 b (slope, estimate of beta)0.504
 a (intercept, estimate of alpha)0.213
 Mean Square Error0.439
 DF error37.000
 t(b)0.589
 p(b)0.280
 t(a)0.543
 p(a)0.295
 Lowerbound of 95% confidence interval for beta-1.231
 Upperbound of 95% confidence interval for beta2.239
 Lowerbound of 95% confidence interval for alpha-0.582
 Upperbound of 95% confidence interval for alpha1.009
 Treynor index (mean / b)0.584
 Jensen alpha (a)0.213
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.094
 SD0.636
 Sharpe ratio (Glass type estimate) 0.147
 Sharpe ratio (Hedges UMVUE)0.144
 df38.000
 t0.266
 p0.396
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.941
 Upperbound of 95% confidence interval for Sharpe Ratio1.234
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.943
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.232
Statistics related to Sortino ratio
 Sortino ratio0.212
 Upside Potential Ratio1.801
 Upside part of mean0.796
 Downside part of mean-0.702
 Upside SD0.447
 Downside SD0.442
 N nonnegative terms17.000
 N negative terms22.000
Statistics related to linear regression on benchmark
 N of observations39.000
 Mean of predictor0.152
 Mean of criterion0.094
 SD of predictor0.122
 SD of criterion0.636
 Covariance0.006
 r0.078
 b (slope, estimate of beta)0.406
 a (intercept, estimate of alpha)0.032
 Mean Square Error0.413
 DF error37.000
 t(b)0.476
 p(b)0.318
 t(a)0.085
 p(a)0.467
 Lowerbound of 95% confidence interval for beta-1.323
 Upperbound of 95% confidence interval for beta2.135
 Lowerbound of 95% confidence interval for alpha-0.737
 Upperbound of 95% confidence interval for alpha0.801
 Treynor index (mean / b)0.231
 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%)0.255
 Expected Shortfall on VaR0.308
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.127
 Expected Shortfall on VaR0.249
ORDER STATISTICS
Quartiles of return rates
 Number of observations39.000
 Minimum0.633
 Quartile 10.967
 Median1.000
 Quartile 31.143
 Maximum1.667
 Mean of quarter 10.808
 Mean of quarter 20.999
 Mean of quarter 31.038
 Mean of quarter 41.268
 Inter Quartile Range0.177
 Number outliers low2.000
 Percentage of outliers low0.051
 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)0.124
 Expected Shortfall (regression method)0.190
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)0.174
 Compounded annual return (geometric extrapolation)0.148
 Calmar ratio (compounded annual return / max draw down)0.192
 Compounded annual return / average of 25% largest draw downs0.192
 Compounded annual return / Expected Shortfall lognormal0.479
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.242
 SD0.573
 Sharpe ratio (Glass type estimate) 0.422
 Sharpe ratio (Hedges UMVUE)0.422
 df1118.000
 t0.761
 p0.489
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.665
 Upperbound of 95% confidence interval for Sharpe Ratio1.509
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.665
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.508
Statistics related to Sortino ratio
 Sortino ratio0.739
 Upside Potential Ratio6.727
 Upside part of mean2.200
 Downside part of mean-1.959
 Upside SD0.470
 Downside SD0.327
 N nonnegative terms371.000
 N negative terms748.000
Statistics related to linear regression on benchmark
 N of observations1119.000
 Mean of predictor0.160
 Mean of criterion0.242
 SD of predictor0.160
 SD of criterion0.573
 Covariance0.007
 r0.072
 b (slope, estimate of beta)0.259
 a (intercept, estimate of alpha)0.200
 Mean Square Error0.327
 DF error1117.000
 t(b)2.426
 p(b)0.454
 t(a)0.631
 p(a)0.488
 Lowerbound of 95% confidence interval for beta0.050
 Upperbound of 95% confidence interval for beta0.469
 Lowerbound of 95% confidence interval for alpha-0.423
 Upperbound of 95% confidence interval for alpha0.823
 Treynor index (mean / b)0.932
 Jensen alpha (a)0.200
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.094
 SD0.533
 Sharpe ratio (Glass type estimate) 0.176
 Sharpe ratio (Hedges UMVUE)0.175
 df1118.000
 t0.317
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.911
 Upperbound of 95% confidence interval for Sharpe Ratio1.262
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.911
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.262
Statistics related to Sortino ratio
 Sortino ratio0.270
 Upside Potential Ratio6.089
 Upside part of mean2.110
 Downside part of mean-2.016
 Upside SD0.405
 Downside SD0.346
 N nonnegative terms371.000
 N negative terms748.000
Statistics related to linear regression on benchmark
 N of observations1119.000
 Mean of predictor0.147
 Mean of criterion0.094
 SD of predictor0.161
 SD of criterion0.533
 Covariance0.006
 r0.072
 b (slope, estimate of beta)0.239
 a (intercept, estimate of alpha)0.058
 Mean Square Error0.283
 DF error1117.000
 t(b)2.415
 p(b)0.454
 t(a)0.198
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.045
 Upperbound of 95% confidence interval for beta0.434
 Lowerbound of 95% confidence interval for alpha-0.521
 Upperbound of 95% confidence interval for alpha0.638
 Treynor index (mean / b)0.391
 Jensen alpha (a)0.058
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 VaR0.057
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.015
 Expected Shortfall on VaR0.033
ORDER STATISTICS
Quartiles of return rates
 Number of observations1119.000
 Minimum0.762
 Quartile 10.999
 Median1.000
 Quartile 31.004
 Maximum1.591
 Mean of quarter 10.978
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.025
 Inter Quartile Range0.006
 Number outliers low170.000
 Percentage of outliers low0.152
 Mean of outliers low0.966
 Number of outliers high171.000
 Percentage of outliers high0.153
 Mean of outliers high1.036
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.500
 VaR(95%) (moments method)0.008
 Expected Shortfall (moments method)0.020
 Extreme Value Index (regression method)0.284
 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)0.174
 Compounded annual return (geometric extrapolation)0.148
 Calmar ratio (compounded annual return / max draw down)0.187
 Compounded annual return / average of 25% largest draw downs0.729
 Compounded annual return / Expected Shortfall lognormal2.577
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 predictor0.195
 Mean of criterion-0.044
 SD of predictor0.277
 SD of criterion0.000
 Covariance0.000
 r0.139
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.826
 p(b)0.431
 t(a)-692.156
 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)-1946.312
 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 predictor0.156
 Mean of criterion-0.044
 SD of predictor0.280
 SD of criterion0.000
 Covariance0.000
 r0.136
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.790
 p(b)0.432
 t(a)-692.038
 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)-2002.040
 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
 Mean0.294
 SD0.657
 Sharpe ratio (Glass type estimate) 0.448
 Sharpe ratio (Hedges UMVUE)0.439
 df38.000
 t0.808
 p0.212
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.647
 Upperbound of 95% confidence interval for Sharpe Ratio1.537
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.653
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.531
Statistics related to Sortino ratio
 Sortino ratio0.781
 Upside Potential Ratio2.419
 Upside part of mean0.911
 Downside part of mean-0.617
 Upside SD0.535
 Downside SD0.377
 N nonnegative terms17.000
 N negative terms22.000
Statistics related to linear regression on benchmark
 N of observations39.000
 Mean of predictor0.161
 Mean of criterion0.294
 SD of predictor0.126
 SD of criterion0.657
 Covariance0.008
 r0.096
 b (slope, estimate of beta)0.504
 a (intercept, estimate of alpha)0.213
 Mean Square Error0.439
 DF error37.000
 t(b)0.589
 p(b)0.280
 t(a)0.543
 p(a)0.295
 Lowerbound of 95% confidence interval for beta-1.231
 Upperbound of 95% confidence interval for beta2.239
 Lowerbound of 95% confidence interval for alpha-0.582
 Upperbound of 95% confidence interval for alpha1.009
 Treynor index (mean / b)0.584
 Jensen alpha (a)0.213
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.094
 SD0.636
 Sharpe ratio (Glass type estimate) 0.147
 Sharpe ratio (Hedges UMVUE)0.144
 df38.000
 t0.266
 p0.396
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.941
 Upperbound of 95% confidence interval for Sharpe Ratio1.234
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.943
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.232
Statistics related to Sortino ratio
 Sortino ratio0.212
 Upside Potential Ratio1.801
 Upside part of mean0.796
 Downside part of mean-0.702
 Upside SD0.447
 Downside SD0.442
 N nonnegative terms17.000
 N negative terms22.000
Statistics related to linear regression on benchmark
 N of observations39.000
 Mean of predictor0.152
 Mean of criterion0.094
 SD of predictor0.122
 SD of criterion0.636
 Covariance0.006
 r0.078
 b (slope, estimate of beta)0.406
 a (intercept, estimate of alpha)0.032
 Mean Square Error0.413
 DF error37.000
 t(b)0.476
 p(b)0.318
 t(a)0.085
 p(a)0.467
 Lowerbound of 95% confidence interval for beta-1.323
 Upperbound of 95% confidence interval for beta2.135
 Lowerbound of 95% confidence interval for alpha-0.737
 Upperbound of 95% confidence interval for alpha0.801
 Treynor index (mean / b)0.231
 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%)0.255
 Expected Shortfall on VaR0.308
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.127
 Expected Shortfall on VaR0.249
ORDER STATISTICS
Quartiles of return rates
 Number of observations39.000
 Minimum0.633
 Quartile 10.967
 Median1.000
 Quartile 31.143
 Maximum1.667
 Mean of quarter 10.808
 Mean of quarter 20.999
 Mean of quarter 31.038
 Mean of quarter 41.268
 Inter Quartile Range0.177
 Number outliers low2.000
 Percentage of outliers low0.051
 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)0.124
 Expected Shortfall (regression method)0.190
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)0.174
 Compounded annual return (geometric extrapolation)0.148
 Calmar ratio (compounded annual return / max draw down)0.192
 Compounded annual return / average of 25% largest draw downs0.192
 Compounded annual return / Expected Shortfall lognormal0.479
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.242
 SD0.573
 Sharpe ratio (Glass type estimate) 0.422
 Sharpe ratio (Hedges UMVUE)0.422
 df1118.000
 t0.761
 p0.489
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.665
 Upperbound of 95% confidence interval for Sharpe Ratio1.509
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.665
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.508
Statistics related to Sortino ratio
 Sortino ratio0.739
 Upside Potential Ratio6.727
 Upside part of mean2.200
 Downside part of mean-1.959
 Upside SD0.470
 Downside SD0.327
 N nonnegative terms371.000
 N negative terms748.000
Statistics related to linear regression on benchmark
 N of observations1119.000
 Mean of predictor0.160
 Mean of criterion0.242
 SD of predictor0.160
 SD of criterion0.573
 Covariance0.007
 r0.072
 b (slope, estimate of beta)0.259
 a (intercept, estimate of alpha)0.200
 Mean Square Error0.327
 DF error1117.000
 t(b)2.426
 p(b)0.454
 t(a)0.631
 p(a)0.488
 Lowerbound of 95% confidence interval for beta0.050
 Upperbound of 95% confidence interval for beta0.469
 Lowerbound of 95% confidence interval for alpha-0.423
 Upperbound of 95% confidence interval for alpha0.823
 Treynor index (mean / b)0.932
 Jensen alpha (a)0.200
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.094
 SD0.533
 Sharpe ratio (Glass type estimate) 0.176
 Sharpe ratio (Hedges UMVUE)0.175
 df1118.000
 t0.317
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.911
 Upperbound of 95% confidence interval for Sharpe Ratio1.262
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.911
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.262
Statistics related to Sortino ratio
 Sortino ratio0.270
 Upside Potential Ratio6.089
 Upside part of mean2.110
 Downside part of mean-2.016
 Upside SD0.405
 Downside SD0.346
 N nonnegative terms371.000
 N negative terms748.000
Statistics related to linear regression on benchmark
 N of observations1119.000
 Mean of predictor0.147
 Mean of criterion0.094
 SD of predictor0.161
 SD of criterion0.533
 Covariance0.006
 r0.072
 b (slope, estimate of beta)0.239
 a (intercept, estimate of alpha)0.058
 Mean Square Error0.283
 DF error1117.000
 t(b)2.415
 p(b)0.454
 t(a)0.198
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.045
 Upperbound of 95% confidence interval for beta0.434
 Lowerbound of 95% confidence interval for alpha-0.521
 Upperbound of 95% confidence interval for alpha0.638
 Treynor index (mean / b)0.391
 Jensen alpha (a)0.058
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 VaR0.057
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.015
 Expected Shortfall on VaR0.033
ORDER STATISTICS
Quartiles of return rates
 Number of observations1119.000
 Minimum0.762
 Quartile 10.999
 Median1.000
 Quartile 31.004
 Maximum1.591
 Mean of quarter 10.978
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.025
 Inter Quartile Range0.006
 Number outliers low170.000
 Percentage of outliers low0.152
 Mean of outliers low0.966
 Number of outliers high171.000
 Percentage of outliers high0.153
 Mean of outliers high1.036
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.500
 VaR(95%) (moments method)0.008
 Expected Shortfall (moments method)0.020
 Extreme Value Index (regression method)0.284
 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)0.174
 Compounded annual return (geometric extrapolation)0.148
 Calmar ratio (compounded annual return / max draw down)0.187
 Compounded annual return / average of 25% largest draw downs0.729
 Compounded annual return / Expected Shortfall lognormal2.577
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 predictor0.195
 Mean of criterion-0.044
 SD of predictor0.277
 SD of criterion0.000
 Covariance0.000
 r0.139
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.826
 p(b)0.431
 t(a)-692.156
 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)-1946.312
 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 predictor0.156
 Mean of criterion-0.044
 SD of predictor0.280
 SD of criterion0.000
 Covariance0.000
 r0.136
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error170.000
 t(b)1.790
 p(b)0.432
 t(a)-692.038
 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)-2002.040
 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