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
 Mean0.356
 SD0.715
 Sharpe ratio (Glass type estimate) 0.498
 Sharpe ratio (Hedges UMVUE)0.486
 df32.000
 t0.826
 p0.208
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.694
 Upperbound of 95% confidence interval for Sharpe Ratio1.682
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.702
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.674
Statistics related to Sortino ratio
 Sortino ratio0.869
 Upside Potential Ratio2.630
 Upside part of mean1.077
 Downside part of mean-0.721
 Upside SD0.581
 Downside SD0.410
 N nonnegative terms17.000
 N negative terms16.000
Statistics related to linear regression on benchmark
 N of observations33.000
 Mean of predictor0.150
 Mean of criterion0.356
 SD of predictor0.105
 SD of criterion0.715
 Covariance0.010
 r0.131
 b (slope, estimate of beta)0.894
 a (intercept, estimate of alpha)0.222
 Mean Square Error0.518
 DF error31.000
 t(b)0.736
 p(b)0.234
 t(a)0.472
 p(a)0.320
 Lowerbound of 95% confidence interval for beta-1.582
 Upperbound of 95% confidence interval for beta3.370
 Lowerbound of 95% confidence interval for alpha-0.738
 Upperbound of 95% confidence interval for alpha1.182
 Treynor index (mean / b)0.398
 Jensen alpha (a)0.222
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.119
 SD0.693
 Sharpe ratio (Glass type estimate) 0.171
 Sharpe ratio (Hedges UMVUE)0.167
 df32.000
 t0.284
 p0.389
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.012
 Upperbound of 95% confidence interval for Sharpe Ratio1.353
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.015
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.350
Statistics related to Sortino ratio
 Sortino ratio0.247
 Upside Potential Ratio1.958
 Upside part of mean0.941
 Downside part of mean-0.822
 Upside SD0.486
 Downside SD0.481
 N nonnegative terms17.000
 N negative terms16.000
Statistics related to linear regression on benchmark
 N of observations33.000
 Mean of predictor0.143
 Mean of criterion0.119
 SD of predictor0.104
 SD of criterion0.693
 Covariance0.007
 r0.102
 b (slope, estimate of beta)0.682
 a (intercept, estimate of alpha)0.021
 Mean Square Error0.491
 DF error31.000
 t(b)0.571
 p(b)0.286
 t(a)0.047
 p(a)0.482
 Lowerbound of 95% confidence interval for beta-1.754
 Upperbound of 95% confidence interval for beta3.117
 Lowerbound of 95% confidence interval for alpha-0.908
 Upperbound of 95% confidence interval for alpha0.951
 Treynor index (mean / b)0.174
 Jensen alpha (a)0.021
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.273
 Expected Shortfall on VaR0.330
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.136
 Expected Shortfall on VaR0.262
ORDER STATISTICS
Quartiles of return rates
 Number of observations33.000
 Minimum0.633
 Quartile 10.850
 Median1.013
 Quartile 31.153
 Maximum1.667
 Mean of quarter 10.794
 Mean of quarter 20.993
 Mean of quarter 31.079
 Mean of quarter 41.298
 Inter Quartile Range0.302
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.030
 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)0.248
 Expected Shortfall (moments method)0.402
 Extreme Value Index (regression method)1.064
 VaR(95%) (regression method)0.200
 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)0.205
 Compounded annual return (geometric extrapolation)0.177
 Calmar ratio (compounded annual return / max draw down)0.230
 Compounded annual return / average of 25% largest draw downs0.230
 Compounded annual return / Expected Shortfall lognormal0.536
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.293
 SD0.622
 Sharpe ratio (Glass type estimate) 0.470
 Sharpe ratio (Hedges UMVUE)0.470
 df949.000
 t0.782
 p0.217
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.709
 Upperbound of 95% confidence interval for Sharpe Ratio1.650
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.710
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.650
Statistics related to Sortino ratio
 Sortino ratio0.824
 Upside Potential Ratio7.301
 Upside part of mean2.592
 Downside part of mean-2.299
 Upside SD0.511
 Downside SD0.355
 N nonnegative terms371.000
 N negative terms579.000
Statistics related to linear regression on benchmark
 N of observations950.000
 Mean of predictor0.155
 Mean of criterion0.293
 SD of predictor0.128
 SD of criterion0.622
 Covariance0.008
 r0.099
 b (slope, estimate of beta)0.480
 a (intercept, estimate of alpha)0.218
 Mean Square Error0.383
 DF error948.000
 t(b)3.050
 p(b)0.001
 t(a)0.584
 p(a)0.280
 Lowerbound of 95% confidence interval for beta0.171
 Upperbound of 95% confidence interval for beta0.789
 Lowerbound of 95% confidence interval for alpha-0.515
 Upperbound of 95% confidence interval for alpha0.951
 Treynor index (mean / b)0.609
 Jensen alpha (a)0.218
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.118
 SD0.579
 Sharpe ratio (Glass type estimate) 0.204
 Sharpe ratio (Hedges UMVUE)0.204
 df949.000
 t0.339
 p0.367
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.975
 Upperbound of 95% confidence interval for Sharpe Ratio1.383
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.976
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.383
Statistics related to Sortino ratio
 Sortino ratio0.314
 Upside Potential Ratio6.609
 Upside part of mean2.485
 Downside part of mean-2.367
 Upside SD0.440
 Downside SD0.376
 N nonnegative terms371.000
 N negative terms579.000
Statistics related to linear regression on benchmark
 N of observations950.000
 Mean of predictor0.147
 Mean of criterion0.118
 SD of predictor0.128
 SD of criterion0.579
 Covariance0.007
 r0.099
 b (slope, estimate of beta)0.447
 a (intercept, estimate of alpha)0.052
 Mean Square Error0.332
 DF error948.000
 t(b)3.048
 p(b)0.001
 t(a)0.151
 p(a)0.440
 Lowerbound of 95% confidence interval for beta0.159
 Upperbound of 95% confidence interval for beta0.735
 Lowerbound of 95% confidence interval for alpha-0.630
 Upperbound of 95% confidence interval for alpha0.735
 Treynor index (mean / b)0.264
 Jensen alpha (a)0.052
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.050
 Expected Shortfall on VaR0.062
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.017
 Expected Shortfall on VaR0.037
ORDER STATISTICS
Quartiles of return rates
 Number of observations950.000
 Minimum0.762
 Quartile 10.996
 Median1.000
 Quartile 31.007
 Maximum1.591
 Mean of quarter 10.974
 Mean of quarter 21.000
 Mean of quarter 31.002
 Mean of quarter 41.029
 Inter Quartile Range0.010
 Number outliers low104.000
 Percentage of outliers low0.109
 Mean of outliers low0.954
 Number of outliers high95.000
 Percentage of outliers high0.100
 Mean of outliers high1.051
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.492
 VaR(95%) (moments method)0.018
 Expected Shortfall (moments method)0.043
 Extreme Value Index (regression method)0.293
 VaR(95%) (regression method)0.023
 Expected Shortfall (regression method)0.044
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)0.205
 Compounded annual return (geometric extrapolation)0.176
 Calmar ratio (compounded annual return / max draw down)0.224
 Compounded annual return / average of 25% largest draw downs0.869
 Compounded annual return / Expected Shortfall lognormal2.841
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.702
 SD0.527
 Sharpe ratio (Glass type estimate) 1.331
 Sharpe ratio (Hedges UMVUE)1.325
 df171.000
 t0.941
 p0.454
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.447
 Upperbound of 95% confidence interval for Sharpe Ratio4.104
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.450
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.100
Statistics related to Sortino ratio
 Sortino ratio103.157
 Upside Potential Ratio110.832
 Upside part of mean0.754
 Downside part of mean-0.052
 Upside SD0.527
 Downside SD0.007
 N nonnegative terms2.000
 N negative terms170.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.236
 Mean of criterion0.702
 SD of predictor0.162
 SD of criterion0.527
 Covariance0.005
 r0.063
 b (slope, estimate of beta)0.205
 a (intercept, estimate of alpha)0.653
 Mean Square Error0.279
 DF error170.000
 t(b)0.826
 p(b)0.468
 t(a)0.873
 p(a)0.467
 Lowerbound of 95% confidence interval for beta-0.286
 Upperbound of 95% confidence interval for beta0.696
 Lowerbound of 95% confidence interval for alpha-0.825
 Upperbound of 95% confidence interval for alpha2.131
 Treynor index (mean / b)3.417
 Jensen alpha (a)0.653
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.590
 SD0.448
 Sharpe ratio (Glass type estimate) 1.316
 Sharpe ratio (Hedges UMVUE)1.310
 df171.000
 t0.930
 p0.455
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.461
 Upperbound of 95% confidence interval for Sharpe Ratio4.089
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.465
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.085
Statistics related to Sortino ratio
 Sortino ratio86.538
 Upside Potential Ratio94.202
 Upside part of mean0.642
 Downside part of mean-0.052
 Upside SD0.448
 Downside SD0.007
 N nonnegative terms2.000
 N negative terms170.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.223
 Mean of criterion0.590
 SD of predictor0.162
 SD of criterion0.448
 Covariance0.005
 r0.063
 b (slope, estimate of beta)0.176
 a (intercept, estimate of alpha)0.551
 Mean Square Error0.201
 DF error170.000
 t(b)0.829
 p(b)0.468
 t(a)0.866
 p(a)0.467
 Lowerbound of 95% confidence interval for beta-0.243
 Upperbound of 95% confidence interval for beta0.594
 Lowerbound of 95% confidence interval for alpha-0.705
 Upperbound of 95% confidence interval for alpha1.807
 Treynor index (mean / b)3.356
 Jensen alpha (a)0.551
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.037
 Expected Shortfall on VaR0.047
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.001
 Expected Shortfall on VaR0.001
ORDER STATISTICS
Quartiles of return rates
 Number of observations172.000
 Minimum0.996
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.373
 Mean of quarter 11.000
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.009
 Inter Quartile Range0.000
 Number outliers low1.000
 Percentage of outliers low0.006
 Mean of outliers low0.996
 Number of outliers high3.000
 Percentage of outliers high0.017
 Mean of outliers high1.126
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 observations1.000
 Minimum0.004
 Quartile 10.004
 Median0.004
 Quartile 30.004
 Maximum0.004
 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 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)0.746
 Compounded annual return (geometric extrapolation)0.885
 Calmar ratio (compounded annual return / max draw down)201.717
 Compounded annual return / average of 25% largest draw downsNA
 Compounded annual return / Expected Shortfall lognormal18.843

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
 Mean0.356
 SD0.715
 Sharpe ratio (Glass type estimate) 0.498
 Sharpe ratio (Hedges UMVUE)0.486
 df32.000
 t0.826
 p0.208
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.694
 Upperbound of 95% confidence interval for Sharpe Ratio1.682
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.702
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.674
Statistics related to Sortino ratio
 Sortino ratio0.869
 Upside Potential Ratio2.630
 Upside part of mean1.077
 Downside part of mean-0.721
 Upside SD0.581
 Downside SD0.410
 N nonnegative terms17.000
 N negative terms16.000
Statistics related to linear regression on benchmark
 N of observations33.000
 Mean of predictor0.150
 Mean of criterion0.356
 SD of predictor0.105
 SD of criterion0.715
 Covariance0.010
 r0.131
 b (slope, estimate of beta)0.894
 a (intercept, estimate of alpha)0.222
 Mean Square Error0.518
 DF error31.000
 t(b)0.736
 p(b)0.234
 t(a)0.472
 p(a)0.320
 Lowerbound of 95% confidence interval for beta-1.582
 Upperbound of 95% confidence interval for beta3.370
 Lowerbound of 95% confidence interval for alpha-0.738
 Upperbound of 95% confidence interval for alpha1.182
 Treynor index (mean / b)0.398
 Jensen alpha (a)0.222
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.119
 SD0.693
 Sharpe ratio (Glass type estimate) 0.171
 Sharpe ratio (Hedges UMVUE)0.167
 df32.000
 t0.284
 p0.389
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.012
 Upperbound of 95% confidence interval for Sharpe Ratio1.353
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.015
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.350
Statistics related to Sortino ratio
 Sortino ratio0.247
 Upside Potential Ratio1.958
 Upside part of mean0.941
 Downside part of mean-0.822
 Upside SD0.486
 Downside SD0.481
 N nonnegative terms17.000
 N negative terms16.000
Statistics related to linear regression on benchmark
 N of observations33.000
 Mean of predictor0.143
 Mean of criterion0.119
 SD of predictor0.104
 SD of criterion0.693
 Covariance0.007
 r0.102
 b (slope, estimate of beta)0.682
 a (intercept, estimate of alpha)0.021
 Mean Square Error0.491
 DF error31.000
 t(b)0.571
 p(b)0.286
 t(a)0.047
 p(a)0.482
 Lowerbound of 95% confidence interval for beta-1.754
 Upperbound of 95% confidence interval for beta3.117
 Lowerbound of 95% confidence interval for alpha-0.908
 Upperbound of 95% confidence interval for alpha0.951
 Treynor index (mean / b)0.174
 Jensen alpha (a)0.021
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.273
 Expected Shortfall on VaR0.330
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.136
 Expected Shortfall on VaR0.262
ORDER STATISTICS
Quartiles of return rates
 Number of observations33.000
 Minimum0.633
 Quartile 10.850
 Median1.013
 Quartile 31.153
 Maximum1.667
 Mean of quarter 10.794
 Mean of quarter 20.993
 Mean of quarter 31.079
 Mean of quarter 41.298
 Inter Quartile Range0.302
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.030
 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)0.248
 Expected Shortfall (moments method)0.402
 Extreme Value Index (regression method)1.064
 VaR(95%) (regression method)0.200
 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)0.205
 Compounded annual return (geometric extrapolation)0.177
 Calmar ratio (compounded annual return / max draw down)0.230
 Compounded annual return / average of 25% largest draw downs0.230
 Compounded annual return / Expected Shortfall lognormal0.536
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.293
 SD0.622
 Sharpe ratio (Glass type estimate) 0.470
 Sharpe ratio (Hedges UMVUE)0.470
 df949.000
 t0.782
 p0.217
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.709
 Upperbound of 95% confidence interval for Sharpe Ratio1.650
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.710
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.650
Statistics related to Sortino ratio
 Sortino ratio0.824
 Upside Potential Ratio7.301
 Upside part of mean2.592
 Downside part of mean-2.299
 Upside SD0.511
 Downside SD0.355
 N nonnegative terms371.000
 N negative terms579.000
Statistics related to linear regression on benchmark
 N of observations950.000
 Mean of predictor0.155
 Mean of criterion0.293
 SD of predictor0.128
 SD of criterion0.622
 Covariance0.008
 r0.099
 b (slope, estimate of beta)0.480
 a (intercept, estimate of alpha)0.218
 Mean Square Error0.383
 DF error948.000
 t(b)3.050
 p(b)0.001
 t(a)0.584
 p(a)0.280
 Lowerbound of 95% confidence interval for beta0.171
 Upperbound of 95% confidence interval for beta0.789
 Lowerbound of 95% confidence interval for alpha-0.515
 Upperbound of 95% confidence interval for alpha0.951
 Treynor index (mean / b)0.609
 Jensen alpha (a)0.218
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.118
 SD0.579
 Sharpe ratio (Glass type estimate) 0.204
 Sharpe ratio (Hedges UMVUE)0.204
 df949.000
 t0.339
 p0.367
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.975
 Upperbound of 95% confidence interval for Sharpe Ratio1.383
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.976
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.383
Statistics related to Sortino ratio
 Sortino ratio0.314
 Upside Potential Ratio6.609
 Upside part of mean2.485
 Downside part of mean-2.367
 Upside SD0.440
 Downside SD0.376
 N nonnegative terms371.000
 N negative terms579.000
Statistics related to linear regression on benchmark
 N of observations950.000
 Mean of predictor0.147
 Mean of criterion0.118
 SD of predictor0.128
 SD of criterion0.579
 Covariance0.007
 r0.099
 b (slope, estimate of beta)0.447
 a (intercept, estimate of alpha)0.052
 Mean Square Error0.332
 DF error948.000
 t(b)3.048
 p(b)0.001
 t(a)0.151
 p(a)0.440
 Lowerbound of 95% confidence interval for beta0.159
 Upperbound of 95% confidence interval for beta0.735
 Lowerbound of 95% confidence interval for alpha-0.630
 Upperbound of 95% confidence interval for alpha0.735
 Treynor index (mean / b)0.264
 Jensen alpha (a)0.052
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.050
 Expected Shortfall on VaR0.062
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.017
 Expected Shortfall on VaR0.037
ORDER STATISTICS
Quartiles of return rates
 Number of observations950.000
 Minimum0.762
 Quartile 10.996
 Median1.000
 Quartile 31.007
 Maximum1.591
 Mean of quarter 10.974
 Mean of quarter 21.000
 Mean of quarter 31.002
 Mean of quarter 41.029
 Inter Quartile Range0.010
 Number outliers low104.000
 Percentage of outliers low0.109
 Mean of outliers low0.954
 Number of outliers high95.000
 Percentage of outliers high0.100
 Mean of outliers high1.051
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.492
 VaR(95%) (moments method)0.018
 Expected Shortfall (moments method)0.043
 Extreme Value Index (regression method)0.293
 VaR(95%) (regression method)0.023
 Expected Shortfall (regression method)0.044
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)0.205
 Compounded annual return (geometric extrapolation)0.176
 Calmar ratio (compounded annual return / max draw down)0.224
 Compounded annual return / average of 25% largest draw downs0.869
 Compounded annual return / Expected Shortfall lognormal2.841
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.702
 SD0.527
 Sharpe ratio (Glass type estimate) 1.331
 Sharpe ratio (Hedges UMVUE)1.325
 df171.000
 t0.941
 p0.454
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.447
 Upperbound of 95% confidence interval for Sharpe Ratio4.104
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.450
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.100
Statistics related to Sortino ratio
 Sortino ratio103.157
 Upside Potential Ratio110.832
 Upside part of mean0.754
 Downside part of mean-0.052
 Upside SD0.527
 Downside SD0.007
 N nonnegative terms2.000
 N negative terms170.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.236
 Mean of criterion0.702
 SD of predictor0.162
 SD of criterion0.527
 Covariance0.005
 r0.063
 b (slope, estimate of beta)0.205
 a (intercept, estimate of alpha)0.653
 Mean Square Error0.279
 DF error170.000
 t(b)0.826
 p(b)0.468
 t(a)0.873
 p(a)0.467
 Lowerbound of 95% confidence interval for beta-0.286
 Upperbound of 95% confidence interval for beta0.696
 Lowerbound of 95% confidence interval for alpha-0.825
 Upperbound of 95% confidence interval for alpha2.131
 Treynor index (mean / b)3.417
 Jensen alpha (a)0.653
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.590
 SD0.448
 Sharpe ratio (Glass type estimate) 1.316
 Sharpe ratio (Hedges UMVUE)1.310
 df171.000
 t0.930
 p0.455
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.461
 Upperbound of 95% confidence interval for Sharpe Ratio4.089
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.465
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)4.085
Statistics related to Sortino ratio
 Sortino ratio86.538
 Upside Potential Ratio94.202
 Upside part of mean0.642
 Downside part of mean-0.052
 Upside SD0.448
 Downside SD0.007
 N nonnegative terms2.000
 N negative terms170.000
Statistics related to linear regression on benchmark
 N of observations172.000
 Mean of predictor0.223
 Mean of criterion0.590
 SD of predictor0.162
 SD of criterion0.448
 Covariance0.005
 r0.063
 b (slope, estimate of beta)0.176
 a (intercept, estimate of alpha)0.551
 Mean Square Error0.201
 DF error170.000
 t(b)0.829
 p(b)0.468
 t(a)0.866
 p(a)0.467
 Lowerbound of 95% confidence interval for beta-0.243
 Upperbound of 95% confidence interval for beta0.594
 Lowerbound of 95% confidence interval for alpha-0.705
 Upperbound of 95% confidence interval for alpha1.807
 Treynor index (mean / b)3.356
 Jensen alpha (a)0.551
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.037
 Expected Shortfall on VaR0.047
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.001
 Expected Shortfall on VaR0.001
ORDER STATISTICS
Quartiles of return rates
 Number of observations172.000
 Minimum0.996
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.373
 Mean of quarter 11.000
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.009
 Inter Quartile Range0.000
 Number outliers low1.000
 Percentage of outliers low0.006
 Mean of outliers low0.996
 Number of outliers high3.000
 Percentage of outliers high0.017
 Mean of outliers high1.126
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 observations1.000
 Minimum0.004
 Quartile 10.004
 Median0.004
 Quartile 30.004
 Maximum0.004
 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 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)0.746
 Compounded annual return (geometric extrapolation)0.885
 Calmar ratio (compounded annual return / max draw down)201.717
 Compounded annual return / average of 25% largest draw downsNA
 Compounded annual return / Expected Shortfall lognormal18.843