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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
 Mean0.313
 SD0.678
 Sharpe ratio (Glass type estimate) 0.462
 Sharpe ratio (Hedges UMVUE)0.452
 df37.000
 t0.821
 p0.208
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.648
 Upperbound of 95% confidence interval for Sharpe Ratio1.565
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.654
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.558
Statistics related to Sortino ratio
 Sortino ratio0.803
 Upside Potential Ratio2.314
 Upside part of mean0.902
 Downside part of mean-0.589
 Upside SD0.551
 Downside SD0.390
 N nonnegative terms18.000
 N negative terms20.000
Statistics related to linear regression on benchmark
 N of observations38.000
 Mean of predictor0.173
 Mean of criterion0.313
 SD of predictor0.135
 SD of criterion0.678
 Covariance0.018
 r0.198
 b (slope, estimate of beta)0.999
 a (intercept, estimate of alpha)0.140
 Mean Square Error0.454
 DF error36.000
 t(b)1.214
 p(b)0.116
 t(a)0.347
 p(a)0.365
 Lowerbound of 95% confidence interval for beta-0.670
 Upperbound of 95% confidence interval for beta2.668
 Lowerbound of 95% confidence interval for alpha-0.679
 Upperbound of 95% confidence interval for alpha0.960
 Treynor index (mean / b)0.313
 Jensen alpha (a)0.140
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.097
 SD0.663
 Sharpe ratio (Glass type estimate) 0.147
 Sharpe ratio (Hedges UMVUE)0.144
 df37.000
 t0.262
 p0.398
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.956
 Upperbound of 95% confidence interval for Sharpe Ratio1.248
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.958
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.246
Statistics related to Sortino ratio
 Sortino ratio0.207
 Upside Potential Ratio1.662
 Upside part of mean0.781
 Downside part of mean-0.684
 Upside SD0.456
 Downside SD0.470
 N nonnegative terms18.000
 N negative terms20.000
Statistics related to linear regression on benchmark
 N of observations38.000
 Mean of predictor0.162
 Mean of criterion0.097
 SD of predictor0.134
 SD of criterion0.663
 Covariance0.018
 r0.203
 b (slope, estimate of beta)1.003
 a (intercept, estimate of alpha)-0.065
 Mean Square Error0.433
 DF error36.000
 t(b)1.244
 p(b)0.111
 t(a)-0.166
 p(a)0.566
 Lowerbound of 95% confidence interval for beta-0.632
 Upperbound of 95% confidence interval for beta2.639
 Lowerbound of 95% confidence interval for alpha-0.860
 Upperbound of 95% confidence interval for alpha0.730
 Treynor index (mean / b)0.097
 Jensen alpha (a)-0.065
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%)0.116
 Expected Shortfall on VaR0.236
ORDER STATISTICS
Quartiles of return rates
 Number of observations38.000
 Minimum0.569
 Quartile 11.000
 Median1.000
 Quartile 31.094
 Maximum1.647
 Mean of quarter 10.821
 Mean of quarter 21.000
 Mean of quarter 31.034
 Mean of quarter 41.261
 Inter Quartile Range0.094
 Number outliers low6.000
 Percentage of outliers low0.158
 Mean of outliers low0.741
 Number of outliers high4.000
 Percentage of outliers high0.105
 Mean of outliers high1.442
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)-0.394
 VaR(95%) (regression method)0.254
 Expected Shortfall (regression method)0.333
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.221
 Quartile 10.352
 Median0.483
 Quartile 30.613
 Maximum0.744
 Mean of quarter 10.221
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.744
 Inter Quartile Range0.261
 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)0.204
 Compounded annual return / average of 25% largest draw downs0.204
 Compounded annual return / Expected Shortfall lognormal0.476
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.246
 SD0.577
 Sharpe ratio (Glass type estimate) 0.426
 Sharpe ratio (Hedges UMVUE)0.425
 df844.000
 t0.765
 p0.222
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.666
 Upperbound of 95% confidence interval for Sharpe Ratio1.517
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.666
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.517
Statistics related to Sortino ratio
 Sortino ratio0.739
 Upside Potential Ratio6.266
 Upside part of mean2.085
 Downside part of mean-1.839
 Upside SD0.472
 Downside SD0.333
 N nonnegative terms303.000
 N negative terms542.000
Statistics related to linear regression on benchmark
 N of observations845.000
 Mean of predictor0.178
 Mean of criterion0.246
 SD of predictor0.163
 SD of criterion0.577
 Covariance0.007
 r0.073
 b (slope, estimate of beta)0.261
 a (intercept, estimate of alpha)0.199
 Mean Square Error0.332
 DF error843.000
 t(b)2.136
 p(b)0.016
 t(a)0.620
 p(a)0.268
 Lowerbound of 95% confidence interval for beta0.021
 Upperbound of 95% confidence interval for beta0.500
 Lowerbound of 95% confidence interval for alpha-0.432
 Upperbound of 95% confidence interval for alpha0.830
 Treynor index (mean / b)0.943
 Jensen alpha (a)0.199
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.095
 SD0.539
 Sharpe ratio (Glass type estimate) 0.176
 Sharpe ratio (Hedges UMVUE)0.176
 df844.000
 t0.316
 p0.376
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.916
 Upperbound of 95% confidence interval for Sharpe Ratio1.267
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.916
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.267
Statistics related to Sortino ratio
 Sortino ratio0.268
 Upside Potential Ratio5.624
 Upside part of mean1.993
 Downside part of mean-1.899
 Upside SD0.406
 Downside SD0.354
 N nonnegative terms303.000
 N negative terms542.000
Statistics related to linear regression on benchmark
 N of observations845.000
 Mean of predictor0.165
 Mean of criterion0.095
 SD of predictor0.163
 SD of criterion0.539
 Covariance0.006
 r0.074
 b (slope, estimate of beta)0.243
 a (intercept, estimate of alpha)0.055
 Mean Square Error0.290
 DF error843.000
 t(b)2.141
 p(b)0.016
 t(a)0.183
 p(a)0.428
 Lowerbound of 95% confidence interval for beta0.020
 Upperbound of 95% confidence interval for beta0.466
 Lowerbound of 95% confidence interval for alpha-0.534
 Upperbound of 95% confidence interval for alpha0.644
 Treynor index (mean / b)0.390
 Jensen alpha (a)0.055
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.053
 Expected Shortfall on VaR0.066
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.019
 Expected Shortfall on VaR0.040
ORDER STATISTICS
Quartiles of return rates
 Number of observations845.000
 Minimum0.743
 Quartile 10.997
 Median1.000
 Quartile 31.007
 Maximum1.591
 Mean of quarter 10.973
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.031
 Inter Quartile Range0.010
 Number outliers low102.000
 Percentage of outliers low0.121
 Mean of outliers low0.953
 Number of outliers high98.000
 Percentage of outliers high0.116
 Mean of outliers high1.051
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.576
 VaR(95%) (moments method)0.018
 Expected Shortfall (moments method)0.051
 Extreme Value Index (regression method)0.264
 VaR(95%) (regression method)0.026
 Expected Shortfall (regression method)0.049
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations27.000
 Minimum0.000
 Quartile 10.018
 Median0.029
 Quartile 30.050
 Maximum0.786
 Mean of quarter 10.007
 Mean of quarter 20.025
 Mean of quarter 30.040
 Mean of quarter 40.222
 Inter Quartile Range0.032
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.111
 Mean of outliers high0.427
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.872
 VaR(95%) (moments method)0.227
 Expected Shortfall (moments method)1.880
 Extreme Value Index (regression method)1.631
 VaR(95%) (regression method)0.233
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.175
 Compounded annual return (geometric extrapolation)0.149
 Calmar ratio (compounded annual return / max draw down)0.190
 Compounded annual return / average of 25% largest draw downs0.672
 Compounded annual return / Expected Shortfall lognormal2.257
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) -972.869
 Sharpe ratio (Hedges UMVUE)-967.245
 df130.000
 t-687.922
 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)-1084.848
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-849.642
Statistics related to Sortino ratio
 Sortino ratio-16.184
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.321
 Mean of criterion-0.044
 SD of predictor0.272
 SD of criterion0.000
 Covariance0.000
 r0.178
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)2.055
 p(b)0.387
 t(a)-694.692
 p(a)1.000
 Lowerbound of 95% confidence interval for beta0.000
 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)-1485.741
 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)-967.179
 df130.000
 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)-1084.774
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-849.584
Statistics related to Sortino ratio
 Sortino ratio-16.184
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.284
 Mean of criterion-0.044
 SD of predictor0.274
 SD of criterion0.000
 Covariance0.000
 r0.174
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)2.007
 p(b)0.390
 t(a)-694.541
 p(a)1.000
 Lowerbound of 95% confidence interval for beta0.000
 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)-1534.675
 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 observations131.000
 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 high0.008
 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 lognormal0.368

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
 Mean0.313
 SD0.678
 Sharpe ratio (Glass type estimate) 0.462
 Sharpe ratio (Hedges UMVUE)0.452
 df37.000
 t0.821
 p0.208
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.648
 Upperbound of 95% confidence interval for Sharpe Ratio1.565
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.654
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.558
Statistics related to Sortino ratio
 Sortino ratio0.803
 Upside Potential Ratio2.314
 Upside part of mean0.902
 Downside part of mean-0.589
 Upside SD0.551
 Downside SD0.390
 N nonnegative terms18.000
 N negative terms20.000
Statistics related to linear regression on benchmark
 N of observations38.000
 Mean of predictor0.173
 Mean of criterion0.313
 SD of predictor0.135
 SD of criterion0.678
 Covariance0.018
 r0.198
 b (slope, estimate of beta)0.999
 a (intercept, estimate of alpha)0.140
 Mean Square Error0.454
 DF error36.000
 t(b)1.214
 p(b)0.116
 t(a)0.347
 p(a)0.365
 Lowerbound of 95% confidence interval for beta-0.670
 Upperbound of 95% confidence interval for beta2.668
 Lowerbound of 95% confidence interval for alpha-0.679
 Upperbound of 95% confidence interval for alpha0.960
 Treynor index (mean / b)0.313
 Jensen alpha (a)0.140
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.097
 SD0.663
 Sharpe ratio (Glass type estimate) 0.147
 Sharpe ratio (Hedges UMVUE)0.144
 df37.000
 t0.262
 p0.398
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.956
 Upperbound of 95% confidence interval for Sharpe Ratio1.248
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.958
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.246
Statistics related to Sortino ratio
 Sortino ratio0.207
 Upside Potential Ratio1.662
 Upside part of mean0.781
 Downside part of mean-0.684
 Upside SD0.456
 Downside SD0.470
 N nonnegative terms18.000
 N negative terms20.000
Statistics related to linear regression on benchmark
 N of observations38.000
 Mean of predictor0.162
 Mean of criterion0.097
 SD of predictor0.134
 SD of criterion0.663
 Covariance0.018
 r0.203
 b (slope, estimate of beta)1.003
 a (intercept, estimate of alpha)-0.065
 Mean Square Error0.433
 DF error36.000
 t(b)1.244
 p(b)0.111
 t(a)-0.166
 p(a)0.566
 Lowerbound of 95% confidence interval for beta-0.632
 Upperbound of 95% confidence interval for beta2.639
 Lowerbound of 95% confidence interval for alpha-0.860
 Upperbound of 95% confidence interval for alpha0.730
 Treynor index (mean / b)0.097
 Jensen alpha (a)-0.065
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%)0.116
 Expected Shortfall on VaR0.236
ORDER STATISTICS
Quartiles of return rates
 Number of observations38.000
 Minimum0.569
 Quartile 11.000
 Median1.000
 Quartile 31.094
 Maximum1.647
 Mean of quarter 10.821
 Mean of quarter 21.000
 Mean of quarter 31.034
 Mean of quarter 41.261
 Inter Quartile Range0.094
 Number outliers low6.000
 Percentage of outliers low0.158
 Mean of outliers low0.741
 Number of outliers high4.000
 Percentage of outliers high0.105
 Mean of outliers high1.442
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)-0.394
 VaR(95%) (regression method)0.254
 Expected Shortfall (regression method)0.333
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.221
 Quartile 10.352
 Median0.483
 Quartile 30.613
 Maximum0.744
 Mean of quarter 10.221
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.744
 Inter Quartile Range0.261
 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)0.204
 Compounded annual return / average of 25% largest draw downs0.204
 Compounded annual return / Expected Shortfall lognormal0.476
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.246
 SD0.577
 Sharpe ratio (Glass type estimate) 0.426
 Sharpe ratio (Hedges UMVUE)0.425
 df844.000
 t0.765
 p0.222
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.666
 Upperbound of 95% confidence interval for Sharpe Ratio1.517
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.666
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.517
Statistics related to Sortino ratio
 Sortino ratio0.739
 Upside Potential Ratio6.266
 Upside part of mean2.085
 Downside part of mean-1.839
 Upside SD0.472
 Downside SD0.333
 N nonnegative terms303.000
 N negative terms542.000
Statistics related to linear regression on benchmark
 N of observations845.000
 Mean of predictor0.178
 Mean of criterion0.246
 SD of predictor0.163
 SD of criterion0.577
 Covariance0.007
 r0.073
 b (slope, estimate of beta)0.261
 a (intercept, estimate of alpha)0.199
 Mean Square Error0.332
 DF error843.000
 t(b)2.136
 p(b)0.016
 t(a)0.620
 p(a)0.268
 Lowerbound of 95% confidence interval for beta0.021
 Upperbound of 95% confidence interval for beta0.500
 Lowerbound of 95% confidence interval for alpha-0.432
 Upperbound of 95% confidence interval for alpha0.830
 Treynor index (mean / b)0.943
 Jensen alpha (a)0.199
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.095
 SD0.539
 Sharpe ratio (Glass type estimate) 0.176
 Sharpe ratio (Hedges UMVUE)0.176
 df844.000
 t0.316
 p0.376
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.916
 Upperbound of 95% confidence interval for Sharpe Ratio1.267
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.916
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.267
Statistics related to Sortino ratio
 Sortino ratio0.268
 Upside Potential Ratio5.624
 Upside part of mean1.993
 Downside part of mean-1.899
 Upside SD0.406
 Downside SD0.354
 N nonnegative terms303.000
 N negative terms542.000
Statistics related to linear regression on benchmark
 N of observations845.000
 Mean of predictor0.165
 Mean of criterion0.095
 SD of predictor0.163
 SD of criterion0.539
 Covariance0.006
 r0.074
 b (slope, estimate of beta)0.243
 a (intercept, estimate of alpha)0.055
 Mean Square Error0.290
 DF error843.000
 t(b)2.141
 p(b)0.016
 t(a)0.183
 p(a)0.428
 Lowerbound of 95% confidence interval for beta0.020
 Upperbound of 95% confidence interval for beta0.466
 Lowerbound of 95% confidence interval for alpha-0.534
 Upperbound of 95% confidence interval for alpha0.644
 Treynor index (mean / b)0.390
 Jensen alpha (a)0.055
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.053
 Expected Shortfall on VaR0.066
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.019
 Expected Shortfall on VaR0.040
ORDER STATISTICS
Quartiles of return rates
 Number of observations845.000
 Minimum0.743
 Quartile 10.997
 Median1.000
 Quartile 31.007
 Maximum1.591
 Mean of quarter 10.973
 Mean of quarter 21.000
 Mean of quarter 31.001
 Mean of quarter 41.031
 Inter Quartile Range0.010
 Number outliers low102.000
 Percentage of outliers low0.121
 Mean of outliers low0.953
 Number of outliers high98.000
 Percentage of outliers high0.116
 Mean of outliers high1.051
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.576
 VaR(95%) (moments method)0.018
 Expected Shortfall (moments method)0.051
 Extreme Value Index (regression method)0.264
 VaR(95%) (regression method)0.026
 Expected Shortfall (regression method)0.049
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations27.000
 Minimum0.000
 Quartile 10.018
 Median0.029
 Quartile 30.050
 Maximum0.786
 Mean of quarter 10.007
 Mean of quarter 20.025
 Mean of quarter 30.040
 Mean of quarter 40.222
 Inter Quartile Range0.032
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high3.000
 Percentage of outliers high0.111
 Mean of outliers high0.427
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.872
 VaR(95%) (moments method)0.227
 Expected Shortfall (moments method)1.880
 Extreme Value Index (regression method)1.631
 VaR(95%) (regression method)0.233
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.175
 Compounded annual return (geometric extrapolation)0.149
 Calmar ratio (compounded annual return / max draw down)0.190
 Compounded annual return / average of 25% largest draw downs0.672
 Compounded annual return / Expected Shortfall lognormal2.257
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) -972.869
 Sharpe ratio (Hedges UMVUE)-967.245
 df130.000
 t-687.922
 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)-1084.848
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-849.642
Statistics related to Sortino ratio
 Sortino ratio-16.184
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.321
 Mean of criterion-0.044
 SD of predictor0.272
 SD of criterion0.000
 Covariance0.000
 r0.178
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)2.055
 p(b)0.387
 t(a)-694.692
 p(a)1.000
 Lowerbound of 95% confidence interval for beta0.000
 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)-1485.741
 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)-967.179
 df130.000
 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)-1084.774
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-849.584
Statistics related to Sortino ratio
 Sortino ratio-16.184
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.284
 Mean of criterion-0.044
 SD of predictor0.274
 SD of criterion0.000
 Covariance0.000
 r0.174
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)2.007
 p(b)0.390
 t(a)-694.541
 p(a)1.000
 Lowerbound of 95% confidence interval for beta0.000
 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)-1534.675
 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 observations131.000
 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 high0.008
 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 lognormal0.368