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
 Mean0.323
 SD0.684
 Sharpe ratio (Glass type estimate) 0.472
 Sharpe ratio (Hedges UMVUE)0.461
 df35.000
 t0.817
 p0.210
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.669
 Upperbound of 95% confidence interval for Sharpe Ratio1.605
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.675
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.598
Statistics related to Sortino ratio
 Sortino ratio0.823
 Upside Potential Ratio2.518
 Upside part of mean0.987
 Downside part of mean-0.665
 Upside SD0.557
 Downside SD0.392
 N nonnegative terms17.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations36.000
 Mean of predictor0.113
 Mean of criterion0.323
 SD of predictor0.108
 SD of criterion0.684
 Covariance0.010
 r0.137
 b (slope, estimate of beta)0.870
 a (intercept, estimate of alpha)0.224
 Mean Square Error0.473
 DF error34.000
 t(b)0.808
 p(b)0.212
 t(a)0.539
 p(a)0.297
 Lowerbound of 95% confidence interval for beta-1.319
 Upperbound of 95% confidence interval for beta3.060
 Lowerbound of 95% confidence interval for alpha-0.620
 Upperbound of 95% confidence interval for alpha1.068
 Treynor index (mean / b)0.371
 Jensen alpha (a)0.224
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.105
 SD0.663
 Sharpe ratio (Glass type estimate) 0.159
 Sharpe ratio (Hedges UMVUE)0.155
 df35.000
 t0.275
 p0.392
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.974
 Upperbound of 95% confidence interval for Sharpe Ratio1.290
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.977
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.288
Statistics related to Sortino ratio
 Sortino ratio0.229
 Upside Potential Ratio1.874
 Upside part of mean0.862
 Downside part of mean-0.757
 Upside SD0.465
 Downside SD0.460
 N nonnegative terms17.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations36.000
 Mean of predictor0.107
 Mean of criterion0.105
 SD of predictor0.107
 SD of criterion0.663
 Covariance0.007
 r0.101
 b (slope, estimate of beta)0.628
 a (intercept, estimate of alpha)0.038
 Mean Square Error0.448
 DF error34.000
 t(b)0.593
 p(b)0.279
 t(a)0.095
 p(a)0.462
 Lowerbound of 95% confidence interval for beta-1.523
 Upperbound of 95% confidence interval for beta2.778
 Lowerbound of 95% confidence interval for alpha-0.780
 Upperbound of 95% confidence interval for alpha0.856
 Treynor index (mean / b)0.168
 Jensen alpha (a)0.038
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.264
 Expected Shortfall on VaR0.319
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.132
 Expected Shortfall on VaR0.256
ORDER STATISTICS
Quartiles of return rates
 Number of observations36.000
 Minimum0.633
 Quartile 10.918
 Median1.000
 Quartile 31.150
 Maximum1.667
 Mean of quarter 10.794
 Mean of quarter 20.993
 Mean of quarter 31.055
 Mean of quarter 41.281
 Inter Quartile Range0.233
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.028
 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)0.241
 Expected Shortfall (moments method)0.389
 Extreme Value Index (regression method)1.064
 VaR(95%) (regression method)0.195
 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)0.188
 Compounded annual return (geometric extrapolation)0.161
 Calmar ratio (compounded annual return / max draw down)0.209
 Compounded annual return / average of 25% largest draw downs0.209
 Compounded annual return / Expected Shortfall lognormal0.506
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.259
 SD0.590
 Sharpe ratio (Glass type estimate) 0.439
 Sharpe ratio (Hedges UMVUE)0.439
 df1054.000
 t0.769
 p0.488
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.680
 Upperbound of 95% confidence interval for Sharpe Ratio1.558
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.681
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.558
Statistics related to Sortino ratio
 Sortino ratio0.769
 Upside Potential Ratio6.928
 Upside part of mean2.334
 Downside part of mean-2.075
 Upside SD0.484
 Downside SD0.337
 N nonnegative terms371.000
 N negative terms684.000
Statistics related to linear regression on benchmark
 N of observations1055.000
 Mean of predictor0.134
 Mean of criterion0.259
 SD of predictor0.158
 SD of criterion0.590
 Covariance0.007
 r0.076
 b (slope, estimate of beta)0.282
 a (intercept, estimate of alpha)0.221
 Mean Square Error0.347
 DF error1053.000
 t(b)2.460
 p(b)0.452
 t(a)0.658
 p(a)0.487
 Lowerbound of 95% confidence interval for beta0.057
 Upperbound of 95% confidence interval for beta0.507
 Lowerbound of 95% confidence interval for alpha-0.439
 Upperbound of 95% confidence interval for alpha0.882
 Treynor index (mean / b)0.919
 Jensen alpha (a)0.221
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.102
 SD0.549
 Sharpe ratio (Glass type estimate) 0.186
 Sharpe ratio (Hedges UMVUE)0.186
 df1054.000
 t0.325
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.934
 Upperbound of 95% confidence interval for Sharpe Ratio1.305
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.934
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.305
Statistics related to Sortino ratio
 Sortino ratio0.286
 Upside Potential Ratio6.271
 Upside part of mean2.238
 Downside part of mean-2.136
 Upside SD0.417
 Downside SD0.357
 N nonnegative terms371.000
 N negative terms684.000
Statistics related to linear regression on benchmark
 N of observations1055.000
 Mean of predictor0.122
 Mean of criterion0.102
 SD of predictor0.159
 SD of criterion0.549
 Covariance0.007
 r0.075
 b (slope, estimate of beta)0.259
 a (intercept, estimate of alpha)0.071
 Mean Square Error0.300
 DF error1053.000
 t(b)2.443
 p(b)0.452
 t(a)0.225
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.051
 Upperbound of 95% confidence interval for beta0.468
 Lowerbound of 95% confidence interval for alpha-0.544
 Upperbound of 95% confidence interval for alpha0.685
 Treynor index (mean / b)0.393
 Jensen alpha (a)0.071
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.047
 Expected Shortfall on VaR0.059
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.016
 Expected Shortfall on VaR0.035
ORDER STATISTICS
Quartiles of return rates
 Number of observations1055.000
 Minimum0.762
 Quartile 10.998
 Median1.000
 Quartile 31.005
 Maximum1.591
 Mean of quarter 10.976
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.026
 Inter Quartile Range0.007
 Number outliers low147.000
 Percentage of outliers low0.139
 Mean of outliers low0.963
 Number of outliers high137.000
 Percentage of outliers high0.130
 Mean of outliers high1.041
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.457
 VaR(95%) (moments method)0.011
 Expected Shortfall (moments method)0.026
 Extreme Value Index (regression method)0.290
 VaR(95%) (regression method)0.021
 Expected Shortfall (regression method)0.041
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations32.000
 Minimum0.000
 Quartile 10.007
 Median0.026
 Quartile 30.049
 Maximum0.788
 Mean of quarter 10.002
 Mean of quarter 20.018
 Mean of quarter 30.035
 Mean of quarter 40.203
 Inter Quartile Range0.042
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.094
 Mean of outliers high0.427
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.868
 VaR(95%) (moments method)0.204
 Expected Shortfall (moments method)1.609
 Extreme Value Index (regression method)1.426
 VaR(95%) (regression method)0.192
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.184
 Compounded annual return (geometric extrapolation)0.157
 Calmar ratio (compounded annual return / max draw down)0.200
 Compounded annual return / average of 25% largest draw downs0.776
 Compounded annual return / Expected Shortfall lognormal2.668
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 predictor0.111
 Mean of criterion-0.044
 SD of predictor0.281
 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)-692.435
 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)-1972.828
 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 predictor0.071
 Mean of criterion-0.044
 SD of predictor0.283
 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)1.788
 p(b)0.432
 t(a)-692.242
 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)-2025.302
 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
 Mean0.323
 SD0.684
 Sharpe ratio (Glass type estimate) 0.472
 Sharpe ratio (Hedges UMVUE)0.461
 df35.000
 t0.817
 p0.210
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.669
 Upperbound of 95% confidence interval for Sharpe Ratio1.605
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.675
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.598
Statistics related to Sortino ratio
 Sortino ratio0.823
 Upside Potential Ratio2.518
 Upside part of mean0.987
 Downside part of mean-0.665
 Upside SD0.557
 Downside SD0.392
 N nonnegative terms17.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations36.000
 Mean of predictor0.113
 Mean of criterion0.323
 SD of predictor0.108
 SD of criterion0.684
 Covariance0.010
 r0.137
 b (slope, estimate of beta)0.870
 a (intercept, estimate of alpha)0.224
 Mean Square Error0.473
 DF error34.000
 t(b)0.808
 p(b)0.212
 t(a)0.539
 p(a)0.297
 Lowerbound of 95% confidence interval for beta-1.319
 Upperbound of 95% confidence interval for beta3.060
 Lowerbound of 95% confidence interval for alpha-0.620
 Upperbound of 95% confidence interval for alpha1.068
 Treynor index (mean / b)0.371
 Jensen alpha (a)0.224
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.105
 SD0.663
 Sharpe ratio (Glass type estimate) 0.159
 Sharpe ratio (Hedges UMVUE)0.155
 df35.000
 t0.275
 p0.392
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.974
 Upperbound of 95% confidence interval for Sharpe Ratio1.290
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.977
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.288
Statistics related to Sortino ratio
 Sortino ratio0.229
 Upside Potential Ratio1.874
 Upside part of mean0.862
 Downside part of mean-0.757
 Upside SD0.465
 Downside SD0.460
 N nonnegative terms17.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations36.000
 Mean of predictor0.107
 Mean of criterion0.105
 SD of predictor0.107
 SD of criterion0.663
 Covariance0.007
 r0.101
 b (slope, estimate of beta)0.628
 a (intercept, estimate of alpha)0.038
 Mean Square Error0.448
 DF error34.000
 t(b)0.593
 p(b)0.279
 t(a)0.095
 p(a)0.462
 Lowerbound of 95% confidence interval for beta-1.523
 Upperbound of 95% confidence interval for beta2.778
 Lowerbound of 95% confidence interval for alpha-0.780
 Upperbound of 95% confidence interval for alpha0.856
 Treynor index (mean / b)0.168
 Jensen alpha (a)0.038
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.264
 Expected Shortfall on VaR0.319
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.132
 Expected Shortfall on VaR0.256
ORDER STATISTICS
Quartiles of return rates
 Number of observations36.000
 Minimum0.633
 Quartile 10.918
 Median1.000
 Quartile 31.150
 Maximum1.667
 Mean of quarter 10.794
 Mean of quarter 20.993
 Mean of quarter 31.055
 Mean of quarter 41.281
 Inter Quartile Range0.233
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.028
 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)0.241
 Expected Shortfall (moments method)0.389
 Extreme Value Index (regression method)1.064
 VaR(95%) (regression method)0.195
 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)0.188
 Compounded annual return (geometric extrapolation)0.161
 Calmar ratio (compounded annual return / max draw down)0.209
 Compounded annual return / average of 25% largest draw downs0.209
 Compounded annual return / Expected Shortfall lognormal0.506
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.259
 SD0.590
 Sharpe ratio (Glass type estimate) 0.439
 Sharpe ratio (Hedges UMVUE)0.439
 df1054.000
 t0.769
 p0.488
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.680
 Upperbound of 95% confidence interval for Sharpe Ratio1.558
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.681
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.558
Statistics related to Sortino ratio
 Sortino ratio0.769
 Upside Potential Ratio6.928
 Upside part of mean2.334
 Downside part of mean-2.075
 Upside SD0.484
 Downside SD0.337
 N nonnegative terms371.000
 N negative terms684.000
Statistics related to linear regression on benchmark
 N of observations1055.000
 Mean of predictor0.134
 Mean of criterion0.259
 SD of predictor0.158
 SD of criterion0.590
 Covariance0.007
 r0.076
 b (slope, estimate of beta)0.282
 a (intercept, estimate of alpha)0.221
 Mean Square Error0.347
 DF error1053.000
 t(b)2.460
 p(b)0.452
 t(a)0.658
 p(a)0.487
 Lowerbound of 95% confidence interval for beta0.057
 Upperbound of 95% confidence interval for beta0.507
 Lowerbound of 95% confidence interval for alpha-0.439
 Upperbound of 95% confidence interval for alpha0.882
 Treynor index (mean / b)0.919
 Jensen alpha (a)0.221
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.102
 SD0.549
 Sharpe ratio (Glass type estimate) 0.186
 Sharpe ratio (Hedges UMVUE)0.186
 df1054.000
 t0.325
 p0.495
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.934
 Upperbound of 95% confidence interval for Sharpe Ratio1.305
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.934
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.305
Statistics related to Sortino ratio
 Sortino ratio0.286
 Upside Potential Ratio6.271
 Upside part of mean2.238
 Downside part of mean-2.136
 Upside SD0.417
 Downside SD0.357
 N nonnegative terms371.000
 N negative terms684.000
Statistics related to linear regression on benchmark
 N of observations1055.000
 Mean of predictor0.122
 Mean of criterion0.102
 SD of predictor0.159
 SD of criterion0.549
 Covariance0.007
 r0.075
 b (slope, estimate of beta)0.259
 a (intercept, estimate of alpha)0.071
 Mean Square Error0.300
 DF error1053.000
 t(b)2.443
 p(b)0.452
 t(a)0.225
 p(a)0.496
 Lowerbound of 95% confidence interval for beta0.051
 Upperbound of 95% confidence interval for beta0.468
 Lowerbound of 95% confidence interval for alpha-0.544
 Upperbound of 95% confidence interval for alpha0.685
 Treynor index (mean / b)0.393
 Jensen alpha (a)0.071
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.047
 Expected Shortfall on VaR0.059
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.016
 Expected Shortfall on VaR0.035
ORDER STATISTICS
Quartiles of return rates
 Number of observations1055.000
 Minimum0.762
 Quartile 10.998
 Median1.000
 Quartile 31.005
 Maximum1.591
 Mean of quarter 10.976
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.026
 Inter Quartile Range0.007
 Number outliers low147.000
 Percentage of outliers low0.139
 Mean of outliers low0.963
 Number of outliers high137.000
 Percentage of outliers high0.130
 Mean of outliers high1.041
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.457
 VaR(95%) (moments method)0.011
 Expected Shortfall (moments method)0.026
 Extreme Value Index (regression method)0.290
 VaR(95%) (regression method)0.021
 Expected Shortfall (regression method)0.041
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations32.000
 Minimum0.000
 Quartile 10.007
 Median0.026
 Quartile 30.049
 Maximum0.788
 Mean of quarter 10.002
 Mean of quarter 20.018
 Mean of quarter 30.035
 Mean of quarter 40.203
 Inter Quartile Range0.042
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.094
 Mean of outliers high0.427
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.868
 VaR(95%) (moments method)0.204
 Expected Shortfall (moments method)1.609
 Extreme Value Index (regression method)1.426
 VaR(95%) (regression method)0.192
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.184
 Compounded annual return (geometric extrapolation)0.157
 Calmar ratio (compounded annual return / max draw down)0.200
 Compounded annual return / average of 25% largest draw downs0.776
 Compounded annual return / Expected Shortfall lognormal2.668
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 predictor0.111
 Mean of criterion-0.044
 SD of predictor0.281
 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)-692.435
 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)-1972.828
 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 predictor0.071
 Mean of criterion-0.044
 SD of predictor0.283
 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)1.788
 p(b)0.432
 t(a)-692.242
 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)-2025.302
 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