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
 Mean0.303
 SD0.666
 Sharpe ratio (Glass type estimate) 0.456
 Sharpe ratio (Hedges UMVUE)0.446
 df37.000
 t0.811
 p0.211
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.654
 Upperbound of 95% confidence interval for Sharpe Ratio1.559
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.660
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.552
Statistics related to Sortino ratio
 Sortino ratio0.795
 Upside Potential Ratio2.451
 Upside part of mean0.935
 Downside part of mean-0.632
 Upside SD0.542
 Downside SD0.382
 N nonnegative terms17.000
 N negative terms21.000
Statistics related to linear regression on benchmark
 N of observations38.000
 Mean of predictor0.122
 Mean of criterion0.303
 SD of predictor0.105
 SD of criterion0.666
 Covariance0.009
 r0.133
 b (slope, estimate of beta)0.838
 a (intercept, estimate of alpha)0.201
 Mean Square Error0.448
 DF error36.000
 t(b)0.804
 p(b)0.213
 t(a)0.507
 p(a)0.308
 Lowerbound of 95% confidence interval for beta-1.277
 Upperbound of 95% confidence interval for beta2.953
 Lowerbound of 95% confidence interval for alpha-0.604
 Upperbound of 95% confidence interval for alpha1.006
 Treynor index (mean / b)0.362
 Jensen alpha (a)0.201
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.097
 SD0.645
 Sharpe ratio (Glass type estimate) 0.151
 Sharpe ratio (Hedges UMVUE)0.148
 df37.000
 t0.269
 p0.395
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.952
 Upperbound of 95% confidence interval for Sharpe Ratio1.252
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.954
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.250
Statistics related to Sortino ratio
 Sortino ratio0.218
 Upside Potential Ratio1.824
 Upside part of mean0.817
 Downside part of mean-0.719
 Upside SD0.453
 Downside SD0.448
 N nonnegative terms17.000
 N negative terms21.000
Statistics related to linear regression on benchmark
 N of observations38.000
 Mean of predictor0.116
 Mean of criterion0.097
 SD of predictor0.105
 SD of criterion0.645
 Covariance0.007
 r0.099
 b (slope, estimate of beta)0.611
 a (intercept, estimate of alpha)0.027
 Mean Square Error0.423
 DF error36.000
 t(b)0.597
 p(b)0.277
 t(a)0.070
 p(a)0.472
 Lowerbound of 95% confidence interval for beta-1.464
 Upperbound of 95% confidence interval for beta2.686
 Lowerbound of 95% confidence interval for alpha-0.752
 Upperbound of 95% confidence interval for alpha0.806
 Treynor index (mean / b)0.159
 Jensen alpha (a)0.027
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.258
 Expected Shortfall on VaR0.312
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.129
 Expected Shortfall on VaR0.252
ORDER STATISTICS
Quartiles of return rates
 Number of observations38.000
 Minimum0.633
 Quartile 10.954
 Median1.000
 Quartile 31.147
 Maximum1.667
 Mean of quarter 10.808
 Mean of quarter 20.999
 Mean of quarter 31.038
 Mean of quarter 41.268
 Inter Quartile Range0.193
 Number outliers low2.000
 Percentage of outliers low0.053
 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)0.125
 Expected Shortfall (regression method)0.191
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)0.178
 Compounded annual return (geometric extrapolation)0.152
 Calmar ratio (compounded annual return / max draw down)0.197
 Compounded annual return / average of 25% largest draw downs0.197
 Compounded annual return / Expected Shortfall lognormal0.487
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.243
 SD0.575
 Sharpe ratio (Glass type estimate) 0.423
 Sharpe ratio (Hedges UMVUE)0.423
 df1112.000
 t0.762
 p0.489
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.666
 Upperbound of 95% confidence interval for Sharpe Ratio1.513
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.667
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.513
Statistics related to Sortino ratio
 Sortino ratio0.742
 Upside Potential Ratio6.745
 Upside part of mean2.212
 Downside part of mean-1.969
 Upside SD0.472
 Downside SD0.328
 N nonnegative terms371.000
 N negative terms742.000
Statistics related to linear regression on benchmark
 N of observations1113.000
 Mean of predictor0.164
 Mean of criterion0.243
 SD of predictor0.160
 SD of criterion0.575
 Covariance0.007
 r0.073
 b (slope, estimate of beta)0.260
 a (intercept, estimate of alpha)0.201
 Mean Square Error0.329
 DF error1111.000
 t(b)2.424
 p(b)0.454
 t(a)0.629
 p(a)0.488
 Lowerbound of 95% confidence interval for beta0.050
 Upperbound of 95% confidence interval for beta0.471
 Lowerbound of 95% confidence interval for alpha-0.426
 Upperbound of 95% confidence interval for alpha0.827
 Treynor index (mean / b)0.935
 Jensen alpha (a)0.201
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.094
 SD0.535
 Sharpe ratio (Glass type estimate) 0.177
 Sharpe ratio (Hedges UMVUE)0.176
 df1112.000
 t0.318
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.913
 Upperbound of 95% confidence interval for Sharpe Ratio1.266
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.913
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.266
Statistics related to Sortino ratio
 Sortino ratio0.272
 Upside Potential Ratio6.106
 Upside part of mean2.121
 Downside part of mean-2.027
 Upside SD0.406
 Downside SD0.347
 N nonnegative terms371.000
 N negative terms742.000
Statistics related to linear regression on benchmark
 N of observations1113.000
 Mean of predictor0.151
 Mean of criterion0.094
 SD of predictor0.161
 SD of criterion0.535
 Covariance0.006
 r0.072
 b (slope, estimate of beta)0.240
 a (intercept, estimate of alpha)0.058
 Mean Square Error0.285
 DF error1111.000
 t(b)2.413
 p(b)0.454
 t(a)0.196
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.045
 Upperbound of 95% confidence interval for beta0.436
 Lowerbound of 95% confidence interval for alpha-0.525
 Upperbound of 95% confidence interval for alpha0.641
 Treynor index (mean / b)0.393
 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 observations1113.000
 Minimum0.762
 Quartile 10.999
 Median1.000
 Quartile 31.005
 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 low164.000
 Percentage of outliers low0.147
 Mean of outliers low0.965
 Number of outliers high167.000
 Percentage of outliers high0.150
 Mean of outliers high1.037
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.532
 VaR(95%) (moments method)0.009
 Expected Shortfall (moments method)0.023
 Extreme Value Index (regression method)0.287
 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)0.175
 Compounded annual return (geometric extrapolation)0.148
 Calmar ratio (compounded annual return / max draw down)0.189
 Compounded annual return / average of 25% largest draw downs0.733
 Compounded annual return / Expected Shortfall lognormal2.585
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 predictor0.214
 Mean of criterion-0.044
 SD of predictor0.278
 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)1.821
 p(b)0.431
 t(a)-692.025
 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)-1952.666
 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 predictor0.175
 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)1.786
 p(b)0.432
 t(a)-691.929
 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)-2008.528
 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
 Mean0.303
 SD0.666
 Sharpe ratio (Glass type estimate) 0.456
 Sharpe ratio (Hedges UMVUE)0.446
 df37.000
 t0.811
 p0.211
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.654
 Upperbound of 95% confidence interval for Sharpe Ratio1.559
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.660
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.552
Statistics related to Sortino ratio
 Sortino ratio0.795
 Upside Potential Ratio2.451
 Upside part of mean0.935
 Downside part of mean-0.632
 Upside SD0.542
 Downside SD0.382
 N nonnegative terms17.000
 N negative terms21.000
Statistics related to linear regression on benchmark
 N of observations38.000
 Mean of predictor0.122
 Mean of criterion0.303
 SD of predictor0.105
 SD of criterion0.666
 Covariance0.009
 r0.133
 b (slope, estimate of beta)0.838
 a (intercept, estimate of alpha)0.201
 Mean Square Error0.448
 DF error36.000
 t(b)0.804
 p(b)0.213
 t(a)0.507
 p(a)0.308
 Lowerbound of 95% confidence interval for beta-1.277
 Upperbound of 95% confidence interval for beta2.953
 Lowerbound of 95% confidence interval for alpha-0.604
 Upperbound of 95% confidence interval for alpha1.006
 Treynor index (mean / b)0.362
 Jensen alpha (a)0.201
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.097
 SD0.645
 Sharpe ratio (Glass type estimate) 0.151
 Sharpe ratio (Hedges UMVUE)0.148
 df37.000
 t0.269
 p0.395
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.952
 Upperbound of 95% confidence interval for Sharpe Ratio1.252
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.954
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.250
Statistics related to Sortino ratio
 Sortino ratio0.218
 Upside Potential Ratio1.824
 Upside part of mean0.817
 Downside part of mean-0.719
 Upside SD0.453
 Downside SD0.448
 N nonnegative terms17.000
 N negative terms21.000
Statistics related to linear regression on benchmark
 N of observations38.000
 Mean of predictor0.116
 Mean of criterion0.097
 SD of predictor0.105
 SD of criterion0.645
 Covariance0.007
 r0.099
 b (slope, estimate of beta)0.611
 a (intercept, estimate of alpha)0.027
 Mean Square Error0.423
 DF error36.000
 t(b)0.597
 p(b)0.277
 t(a)0.070
 p(a)0.472
 Lowerbound of 95% confidence interval for beta-1.464
 Upperbound of 95% confidence interval for beta2.686
 Lowerbound of 95% confidence interval for alpha-0.752
 Upperbound of 95% confidence interval for alpha0.806
 Treynor index (mean / b)0.159
 Jensen alpha (a)0.027
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.258
 Expected Shortfall on VaR0.312
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.129
 Expected Shortfall on VaR0.252
ORDER STATISTICS
Quartiles of return rates
 Number of observations38.000
 Minimum0.633
 Quartile 10.954
 Median1.000
 Quartile 31.147
 Maximum1.667
 Mean of quarter 10.808
 Mean of quarter 20.999
 Mean of quarter 31.038
 Mean of quarter 41.268
 Inter Quartile Range0.193
 Number outliers low2.000
 Percentage of outliers low0.053
 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)0.125
 Expected Shortfall (regression method)0.191
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)0.178
 Compounded annual return (geometric extrapolation)0.152
 Calmar ratio (compounded annual return / max draw down)0.197
 Compounded annual return / average of 25% largest draw downs0.197
 Compounded annual return / Expected Shortfall lognormal0.487
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.243
 SD0.575
 Sharpe ratio (Glass type estimate) 0.423
 Sharpe ratio (Hedges UMVUE)0.423
 df1112.000
 t0.762
 p0.489
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.666
 Upperbound of 95% confidence interval for Sharpe Ratio1.513
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.667
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.513
Statistics related to Sortino ratio
 Sortino ratio0.742
 Upside Potential Ratio6.745
 Upside part of mean2.212
 Downside part of mean-1.969
 Upside SD0.472
 Downside SD0.328
 N nonnegative terms371.000
 N negative terms742.000
Statistics related to linear regression on benchmark
 N of observations1113.000
 Mean of predictor0.164
 Mean of criterion0.243
 SD of predictor0.160
 SD of criterion0.575
 Covariance0.007
 r0.073
 b (slope, estimate of beta)0.260
 a (intercept, estimate of alpha)0.201
 Mean Square Error0.329
 DF error1111.000
 t(b)2.424
 p(b)0.454
 t(a)0.629
 p(a)0.488
 Lowerbound of 95% confidence interval for beta0.050
 Upperbound of 95% confidence interval for beta0.471
 Lowerbound of 95% confidence interval for alpha-0.426
 Upperbound of 95% confidence interval for alpha0.827
 Treynor index (mean / b)0.935
 Jensen alpha (a)0.201
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.094
 SD0.535
 Sharpe ratio (Glass type estimate) 0.177
 Sharpe ratio (Hedges UMVUE)0.176
 df1112.000
 t0.318
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.913
 Upperbound of 95% confidence interval for Sharpe Ratio1.266
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.913
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.266
Statistics related to Sortino ratio
 Sortino ratio0.272
 Upside Potential Ratio6.106
 Upside part of mean2.121
 Downside part of mean-2.027
 Upside SD0.406
 Downside SD0.347
 N nonnegative terms371.000
 N negative terms742.000
Statistics related to linear regression on benchmark
 N of observations1113.000
 Mean of predictor0.151
 Mean of criterion0.094
 SD of predictor0.161
 SD of criterion0.535
 Covariance0.006
 r0.072
 b (slope, estimate of beta)0.240
 a (intercept, estimate of alpha)0.058
 Mean Square Error0.285
 DF error1111.000
 t(b)2.413
 p(b)0.454
 t(a)0.196
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.045
 Upperbound of 95% confidence interval for beta0.436
 Lowerbound of 95% confidence interval for alpha-0.525
 Upperbound of 95% confidence interval for alpha0.641
 Treynor index (mean / b)0.393
 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 observations1113.000
 Minimum0.762
 Quartile 10.999
 Median1.000
 Quartile 31.005
 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 low164.000
 Percentage of outliers low0.147
 Mean of outliers low0.965
 Number of outliers high167.000
 Percentage of outliers high0.150
 Mean of outliers high1.037
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.532
 VaR(95%) (moments method)0.009
 Expected Shortfall (moments method)0.023
 Extreme Value Index (regression method)0.287
 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)0.175
 Compounded annual return (geometric extrapolation)0.148
 Calmar ratio (compounded annual return / max draw down)0.189
 Compounded annual return / average of 25% largest draw downs0.733
 Compounded annual return / Expected Shortfall lognormal2.585
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 predictor0.214
 Mean of criterion-0.044
 SD of predictor0.278
 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)1.821
 p(b)0.431
 t(a)-692.025
 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)-1952.666
 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 predictor0.175
 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)1.786
 p(b)0.432
 t(a)-691.929
 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)-2008.528
 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