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Advanced Statistics: Bravo Tango

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
 Mean0.037
 SD0.234
 Sharpe ratio (Glass type estimate) 0.157
 Sharpe ratio (Hedges UMVUE)0.151
 df21.000
 t0.212
 p0.471
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.293
 Upperbound of 95% confidence interval for Sharpe Ratio1.603
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.297
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.599
Statistics related to Sortino ratio
 Sortino ratio0.305
 Upside Potential Ratio1.729
 Upside part of mean0.208
 Downside part of mean-0.172
 Upside SD0.195
 Downside SD0.121
 N nonnegative terms3.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations22.000
 Mean of predictor0.290
 Mean of criterion0.037
 SD of predictor0.189
 SD of criterion0.234
 Covariance-0.005
 r-0.103
 b (slope, estimate of beta)-0.128
 a (intercept, estimate of alpha)0.074
 Mean Square Error0.057
 DF error20.000
 t(b)-0.465
 p(b)0.552
 t(a)0.382
 p(a)0.457
 Lowerbound of 95% confidence interval for beta-0.703
 Upperbound of 95% confidence interval for beta0.447
 Lowerbound of 95% confidence interval for alpha-0.330
 Upperbound of 95% confidence interval for alpha0.478
 Treynor index (mean / b)-0.287
 Jensen alpha (a)0.074
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.012
 SD0.222
 Sharpe ratio (Glass type estimate) 0.055
 Sharpe ratio (Hedges UMVUE)0.053
 df21.000
 t0.075
 p0.490
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.393
 Upperbound of 95% confidence interval for Sharpe Ratio1.502
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.394
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.501
Statistics related to Sortino ratio
 Sortino ratio0.097
 Upside Potential Ratio1.501
 Upside part of mean0.191
 Downside part of mean-0.179
 Upside SD0.176
 Downside SD0.127
 N nonnegative terms3.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations22.000
 Mean of predictor0.270
 Mean of criterion0.012
 SD of predictor0.181
 SD of criterion0.222
 Covariance-0.004
 r-0.095
 b (slope, estimate of beta)-0.117
 a (intercept, estimate of alpha)0.044
 Mean Square Error0.051
 DF error20.000
 t(b)-0.429
 p(b)0.548
 t(a)0.240
 p(a)0.473
 Lowerbound of 95% confidence interval for beta-0.687
 Upperbound of 95% confidence interval for beta0.453
 Lowerbound of 95% confidence interval for alpha-0.338
 Upperbound of 95% confidence interval for alpha0.425
 Treynor index (mean / b)-0.105
 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%)0.099
 Expected Shortfall on VaR0.123
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.046
 Expected Shortfall on VaR0.090
ORDER STATISTICS
Quartiles of return rates
 Number of observations22.000
 Minimum0.878
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.247
 Mean of quarter 10.959
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.065
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.136
 Mean of outliers low0.918
 Number of outliers high3.000
 Percentage of outliers high0.136
 Mean of outliers high1.131
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)-1.174
 VaR(95%) (regression method)0.112
 Expected Shortfall (regression method)0.130
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.095
 Quartile 10.108
 Median0.121
 Quartile 30.134
 Maximum0.147
 Mean of quarter 10.095
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.147
 Inter Quartile Range0.026
 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)0.059
 Compounded annual return (geometric extrapolation)0.058
 Calmar ratio (compounded annual return / max draw down)0.395
 Compounded annual return / average of 25% largest draw downs0.395
 Compounded annual return / Expected Shortfall lognormal0.472
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.024
 SD0.161
 Sharpe ratio (Glass type estimate) 0.147
 Sharpe ratio (Hedges UMVUE)0.146
 df494.000
 t0.202
 p0.420
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.279
 Upperbound of 95% confidence interval for Sharpe Ratio1.572
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.280
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.572
Statistics related to Sortino ratio
 Sortino ratio0.205
 Upside Potential Ratio3.795
 Upside part of mean0.438
 Downside part of mean-0.414
 Upside SD0.112
 Downside SD0.115
 N nonnegative terms50.000
 N negative terms445.000
Statistics related to linear regression on benchmark
 N of observations495.000
 Mean of predictor0.311
 Mean of criterion0.024
 SD of predictor0.202
 SD of criterion0.161
 Covariance0.000
 r0.000
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)0.024
 Mean Square Error0.026
 DF error493.000
 t(b)0.011
 p(b)0.496
 t(a)0.199
 p(a)0.421
 Lowerbound of 95% confidence interval for beta-0.070
 Upperbound of 95% confidence interval for beta0.071
 Lowerbound of 95% confidence interval for alpha-0.208
 Upperbound of 95% confidence interval for alpha0.255
 Treynor index (mean / b)59.188
 Jensen alpha (a)0.024
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.011
 SD0.162
 Sharpe ratio (Glass type estimate) 0.066
 Sharpe ratio (Hedges UMVUE)0.066
 df494.000
 t0.090
 p0.464
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.360
 Upperbound of 95% confidence interval for Sharpe Ratio1.492
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.360
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.492
Statistics related to Sortino ratio
 Sortino ratio0.090
 Upside Potential Ratio3.658
 Upside part of mean0.431
 Downside part of mean-0.421
 Upside SD0.110
 Downside SD0.118
 N nonnegative terms50.000
 N negative terms445.000
Statistics related to linear regression on benchmark
 N of observations495.000
 Mean of predictor0.290
 Mean of criterion0.011
 SD of predictor0.202
 SD of criterion0.162
 Covariance0.000
 r0.001
 b (slope, estimate of beta)0.001
 a (intercept, estimate of alpha)0.010
 Mean Square Error0.026
 DF error493.000
 t(b)0.032
 p(b)0.487
 t(a)0.087
 p(a)0.465
 Lowerbound of 95% confidence interval for beta-0.070
 Upperbound of 95% confidence interval for beta0.072
 Lowerbound of 95% confidence interval for alpha-0.222
 Upperbound of 95% confidence interval for alpha0.242
 Treynor index (mean / b)9.089
 Jensen alpha (a)0.010
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.016
 Expected Shortfall on VaR0.020
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.005
 Expected Shortfall on VaR0.011
ORDER STATISTICS
Quartiles of return rates
 Number of observations495.000
 Minimum0.931
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.071
 Mean of quarter 10.994
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.007
 Inter Quartile Range0.000
 Number outliers low38.000
 Percentage of outliers low0.077
 Mean of outliers low0.981
 Number of outliers high50.000
 Percentage of outliers high0.101
 Mean of outliers high1.017
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.246
 VaR(95%) (moments method)0.001
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.202
 VaR(95%) (regression method)0.004
 Expected Shortfall (regression method)0.015
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations5.000
 Minimum0.001
 Quartile 10.002
 Median0.014
 Quartile 30.143
 Maximum0.254
 Mean of quarter 10.002
 Mean of quarter 20.014
 Mean of quarter 30.143
 Mean of quarter 40.254
 Inter Quartile Range0.141
 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)0.058
 Compounded annual return (geometric extrapolation)0.056
 Calmar ratio (compounded annual return / max draw down)0.221
 Compounded annual return / average of 25% largest draw downs0.221
 Compounded annual return / Expected Shortfall lognormal2.762
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) NA
 Sharpe ratio (Hedges UMVUE)NA
 dfNA
 tNA
 pNA
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
Statistics related to Sortino ratio
 Sortino ratio-16.186
 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 predictor0.378
 Mean of criterion-0.044
 SD of predictor0.261
 SD of criterion0.000
 Covariance0.000
 rNA
 b (slope, estimate of beta)NA
 a (intercept, estimate of alpha)NA
 Mean Square ErrorNA
 DF errorNA
 t(b)NA
 p(b)NA
 t(a)NA
 p(a)NA
 Lowerbound of 95% confidence interval for betaNA
 Upperbound of 95% confidence interval for betaNA
 Lowerbound of 95% confidence interval for alphaNA
 Upperbound of 95% confidence interval for alphaNA
 Treynor index (mean / b)NA
 Jensen alpha (a)NA
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) -12492933348697024.000
 Sharpe ratio (Hedges UMVUE)-12420719861132300.000
 df130.000
 t-8833837887775228.000
 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)-13930479873814932.000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-10910959848449668.000
Statistics related to Sortino ratio
 Sortino ratio-16.186
 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 predictor0.343
 Mean of criterion-0.044
 SD of predictor0.262
 SD of criterion0.000
 Covariance-0.000
 r-0.000
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)-0.000
 p(b)0.500
 t(a)-8770778756352013.000
 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)397378721262276482367121753374720.000
 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 high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
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 lognormal0.000

Advanced Statistics: Bravo Tango

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
 Mean0.037
 SD0.234
 Sharpe ratio (Glass type estimate) 0.157
 Sharpe ratio (Hedges UMVUE)0.151
 df21.000
 t0.212
 p0.471
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.293
 Upperbound of 95% confidence interval for Sharpe Ratio1.603
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.297
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.599
Statistics related to Sortino ratio
 Sortino ratio0.305
 Upside Potential Ratio1.729
 Upside part of mean0.208
 Downside part of mean-0.172
 Upside SD0.195
 Downside SD0.121
 N nonnegative terms3.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations22.000
 Mean of predictor0.290
 Mean of criterion0.037
 SD of predictor0.189
 SD of criterion0.234
 Covariance-0.005
 r-0.103
 b (slope, estimate of beta)-0.128
 a (intercept, estimate of alpha)0.074
 Mean Square Error0.057
 DF error20.000
 t(b)-0.465
 p(b)0.552
 t(a)0.382
 p(a)0.457
 Lowerbound of 95% confidence interval for beta-0.703
 Upperbound of 95% confidence interval for beta0.447
 Lowerbound of 95% confidence interval for alpha-0.330
 Upperbound of 95% confidence interval for alpha0.478
 Treynor index (mean / b)-0.287
 Jensen alpha (a)0.074
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.012
 SD0.222
 Sharpe ratio (Glass type estimate) 0.055
 Sharpe ratio (Hedges UMVUE)0.053
 df21.000
 t0.075
 p0.490
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.393
 Upperbound of 95% confidence interval for Sharpe Ratio1.502
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.394
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.501
Statistics related to Sortino ratio
 Sortino ratio0.097
 Upside Potential Ratio1.501
 Upside part of mean0.191
 Downside part of mean-0.179
 Upside SD0.176
 Downside SD0.127
 N nonnegative terms3.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations22.000
 Mean of predictor0.270
 Mean of criterion0.012
 SD of predictor0.181
 SD of criterion0.222
 Covariance-0.004
 r-0.095
 b (slope, estimate of beta)-0.117
 a (intercept, estimate of alpha)0.044
 Mean Square Error0.051
 DF error20.000
 t(b)-0.429
 p(b)0.548
 t(a)0.240
 p(a)0.473
 Lowerbound of 95% confidence interval for beta-0.687
 Upperbound of 95% confidence interval for beta0.453
 Lowerbound of 95% confidence interval for alpha-0.338
 Upperbound of 95% confidence interval for alpha0.425
 Treynor index (mean / b)-0.105
 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%)0.099
 Expected Shortfall on VaR0.123
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.046
 Expected Shortfall on VaR0.090
ORDER STATISTICS
Quartiles of return rates
 Number of observations22.000
 Minimum0.878
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.247
 Mean of quarter 10.959
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.065
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.136
 Mean of outliers low0.918
 Number of outliers high3.000
 Percentage of outliers high0.136
 Mean of outliers high1.131
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)-1.174
 VaR(95%) (regression method)0.112
 Expected Shortfall (regression method)0.130
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.095
 Quartile 10.108
 Median0.121
 Quartile 30.134
 Maximum0.147
 Mean of quarter 10.095
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.147
 Inter Quartile Range0.026
 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)0.059
 Compounded annual return (geometric extrapolation)0.058
 Calmar ratio (compounded annual return / max draw down)0.395
 Compounded annual return / average of 25% largest draw downs0.395
 Compounded annual return / Expected Shortfall lognormal0.472
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.024
 SD0.161
 Sharpe ratio (Glass type estimate) 0.147
 Sharpe ratio (Hedges UMVUE)0.146
 df494.000
 t0.202
 p0.420
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.279
 Upperbound of 95% confidence interval for Sharpe Ratio1.572
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.280
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.572
Statistics related to Sortino ratio
 Sortino ratio0.205
 Upside Potential Ratio3.795
 Upside part of mean0.438
 Downside part of mean-0.414
 Upside SD0.112
 Downside SD0.115
 N nonnegative terms50.000
 N negative terms445.000
Statistics related to linear regression on benchmark
 N of observations495.000
 Mean of predictor0.311
 Mean of criterion0.024
 SD of predictor0.202
 SD of criterion0.161
 Covariance0.000
 r0.000
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)0.024
 Mean Square Error0.026
 DF error493.000
 t(b)0.011
 p(b)0.496
 t(a)0.199
 p(a)0.421
 Lowerbound of 95% confidence interval for beta-0.070
 Upperbound of 95% confidence interval for beta0.071
 Lowerbound of 95% confidence interval for alpha-0.208
 Upperbound of 95% confidence interval for alpha0.255
 Treynor index (mean / b)59.188
 Jensen alpha (a)0.024
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.011
 SD0.162
 Sharpe ratio (Glass type estimate) 0.066
 Sharpe ratio (Hedges UMVUE)0.066
 df494.000
 t0.090
 p0.464
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.360
 Upperbound of 95% confidence interval for Sharpe Ratio1.492
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.360
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.492
Statistics related to Sortino ratio
 Sortino ratio0.090
 Upside Potential Ratio3.658
 Upside part of mean0.431
 Downside part of mean-0.421
 Upside SD0.110
 Downside SD0.118
 N nonnegative terms50.000
 N negative terms445.000
Statistics related to linear regression on benchmark
 N of observations495.000
 Mean of predictor0.290
 Mean of criterion0.011
 SD of predictor0.202
 SD of criterion0.162
 Covariance0.000
 r0.001
 b (slope, estimate of beta)0.001
 a (intercept, estimate of alpha)0.010
 Mean Square Error0.026
 DF error493.000
 t(b)0.032
 p(b)0.487
 t(a)0.087
 p(a)0.465
 Lowerbound of 95% confidence interval for beta-0.070
 Upperbound of 95% confidence interval for beta0.072
 Lowerbound of 95% confidence interval for alpha-0.222
 Upperbound of 95% confidence interval for alpha0.242
 Treynor index (mean / b)9.089
 Jensen alpha (a)0.010
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.016
 Expected Shortfall on VaR0.020
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.005
 Expected Shortfall on VaR0.011
ORDER STATISTICS
Quartiles of return rates
 Number of observations495.000
 Minimum0.931
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.071
 Mean of quarter 10.994
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.007
 Inter Quartile Range0.000
 Number outliers low38.000
 Percentage of outliers low0.077
 Mean of outliers low0.981
 Number of outliers high50.000
 Percentage of outliers high0.101
 Mean of outliers high1.017
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.246
 VaR(95%) (moments method)0.001
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.202
 VaR(95%) (regression method)0.004
 Expected Shortfall (regression method)0.015
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations5.000
 Minimum0.001
 Quartile 10.002
 Median0.014
 Quartile 30.143
 Maximum0.254
 Mean of quarter 10.002
 Mean of quarter 20.014
 Mean of quarter 30.143
 Mean of quarter 40.254
 Inter Quartile Range0.141
 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)0.058
 Compounded annual return (geometric extrapolation)0.056
 Calmar ratio (compounded annual return / max draw down)0.221
 Compounded annual return / average of 25% largest draw downs0.221
 Compounded annual return / Expected Shortfall lognormal2.762
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) NA
 Sharpe ratio (Hedges UMVUE)NA
 dfNA
 tNA
 pNA
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
Statistics related to Sortino ratio
 Sortino ratio-16.186
 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 predictor0.378
 Mean of criterion-0.044
 SD of predictor0.261
 SD of criterion0.000
 Covariance0.000
 rNA
 b (slope, estimate of beta)NA
 a (intercept, estimate of alpha)NA
 Mean Square ErrorNA
 DF errorNA
 t(b)NA
 p(b)NA
 t(a)NA
 p(a)NA
 Lowerbound of 95% confidence interval for betaNA
 Upperbound of 95% confidence interval for betaNA
 Lowerbound of 95% confidence interval for alphaNA
 Upperbound of 95% confidence interval for alphaNA
 Treynor index (mean / b)NA
 Jensen alpha (a)NA
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) -12492933348697024.000
 Sharpe ratio (Hedges UMVUE)-12420719861132300.000
 df130.000
 t-8833837887775228.000
 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)-13930479873814932.000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-10910959848449668.000
Statistics related to Sortino ratio
 Sortino ratio-16.186
 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 predictor0.343
 Mean of criterion-0.044
 SD of predictor0.262
 SD of criterion0.000
 Covariance-0.000
 r-0.000
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)-0.000
 p(b)0.500
 t(a)-8770778756352013.000
 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)397378721262276482367121753374720.000
 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 high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
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 lognormal0.000