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
 Mean0.041
 SD0.248
 Sharpe ratio (Glass type estimate) 0.167
 Sharpe ratio (Hedges UMVUE)0.161
 df20.000
 t0.221
 p0.475
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.317
 Upperbound of 95% confidence interval for Sharpe Ratio1.648
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.322
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.643
Statistics related to Sortino ratio
 Sortino ratio0.370
 Upside Potential Ratio1.875
 Upside part of mean0.210
 Downside part of mean-0.169
 Upside SD0.215
 Downside SD0.112
 N nonnegative terms3.000
 N negative terms18.000
Statistics related to linear regression on benchmark
 N of observations21.000
 Mean of predictor0.252
 Mean of criterion0.041
 SD of predictor0.214
 SD of criterion0.248
 Covariance0.003
 r0.052
 b (slope, estimate of beta)0.060
 a (intercept, estimate of alpha)0.026
 Mean Square Error0.065
 DF error19.000
 t(b)0.227
 p(b)0.467
 t(a)0.129
 p(a)0.481
 Lowerbound of 95% confidence interval for beta-0.496
 Upperbound of 95% confidence interval for beta0.616
 Lowerbound of 95% confidence interval for alpha-0.400
 Upperbound of 95% confidence interval for alpha0.452
 Treynor index (mean / b)0.688
 Jensen alpha (a)0.026
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.015
 SD0.230
 Sharpe ratio (Glass type estimate) 0.065
 Sharpe ratio (Hedges UMVUE)0.063
 df20.000
 t0.086
 p0.490
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.417
 Upperbound of 95% confidence interval for Sharpe Ratio1.546
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.419
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.544
Statistics related to Sortino ratio
 Sortino ratio0.127
 Upside Potential Ratio1.614
 Upside part of mean0.190
 Downside part of mean-0.175
 Upside SD0.191
 Downside SD0.118
 N nonnegative terms3.000
 N negative terms18.000
Statistics related to linear regression on benchmark
 N of observations21.000
 Mean of predictor0.228
 Mean of criterion0.015
 SD of predictor0.206
 SD of criterion0.230
 Covariance0.003
 r0.058
 b (slope, estimate of beta)0.065
 a (intercept, estimate of alpha)0.000
 Mean Square Error0.055
 DF error19.000
 t(b)0.255
 p(b)0.463
 t(a)0.001
 p(a)0.500
 Lowerbound of 95% confidence interval for beta-0.469
 Upperbound of 95% confidence interval for beta0.600
 Lowerbound of 95% confidence interval for alpha-0.392
 Upperbound of 95% confidence interval for alpha0.392
 Treynor index (mean / b)0.230
 Jensen alpha (a)0.000
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.102
 Expected Shortfall on VaR0.126
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.045
 Expected Shortfall on VaR0.086
ORDER STATISTICS
Quartiles of return rates
 Number of observations21.000
 Minimum0.888
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.276
 Mean of quarter 10.962
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.076
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.143
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.143
 Mean of outliers high1.126
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.090
 VaR(95%) (regression method)0.111
 Expected Shortfall (regression method)0.130
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.076
 Quartile 10.094
 Median0.112
 Quartile 30.130
 Maximum0.148
 Mean of quarter 10.076
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.148
 Inter Quartile Range0.036
 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)0.062
 Compounded annual return (geometric extrapolation)0.061
 Calmar ratio (compounded annual return / max draw down)0.409
 Compounded annual return / average of 25% largest draw downs0.409
 Compounded annual return / Expected Shortfall lognormal0.480
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.029
 SD0.165
 Sharpe ratio (Glass type estimate) 0.173
 Sharpe ratio (Hedges UMVUE)0.172
 df602.000
 t0.228
 p0.410
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.308
 Upperbound of 95% confidence interval for Sharpe Ratio1.653
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.308
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.653
Statistics related to Sortino ratio
 Sortino ratio0.246
 Upside Potential Ratio4.194
 Upside part of mean0.487
 Downside part of mean-0.458
 Upside SD0.117
 Downside SD0.116
 N nonnegative terms54.000
 N negative terms549.000
Statistics related to linear regression on benchmark
 N of observations603.000
 Mean of predictor0.264
 Mean of criterion0.029
 SD of predictor0.208
 SD of criterion0.165
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.003
 a (intercept, estimate of alpha)0.029
 Mean Square Error0.027
 DF error601.000
 t(b)-0.082
 p(b)0.533
 t(a)0.233
 p(a)0.408
 Lowerbound of 95% confidence interval for beta-0.066
 Upperbound of 95% confidence interval for beta0.061
 Lowerbound of 95% confidence interval for alpha-0.217
 Upperbound of 95% confidence interval for alpha0.275
 Treynor index (mean / b)-10.766
 Jensen alpha (a)0.029
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.015
 SD0.165
 Sharpe ratio (Glass type estimate) 0.090
 Sharpe ratio (Hedges UMVUE)0.090
 df602.000
 t0.119
 p0.453
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.390
 Upperbound of 95% confidence interval for Sharpe Ratio1.570
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.391
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.570
Statistics related to Sortino ratio
 Sortino ratio0.126
 Upside Potential Ratio4.053
 Upside part of mean0.480
 Downside part of mean-0.465
 Upside SD0.115
 Downside SD0.118
 N nonnegative terms54.000
 N negative terms549.000
Statistics related to linear regression on benchmark
 N of observations603.000
 Mean of predictor0.242
 Mean of criterion0.015
 SD of predictor0.208
 SD of criterion0.165
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.002
 a (intercept, estimate of alpha)0.015
 Mean Square Error0.027
 DF error601.000
 t(b)-0.066
 p(b)0.526
 t(a)0.123
 p(a)0.451
 Lowerbound of 95% confidence interval for beta-0.066
 Upperbound of 95% confidence interval for beta0.061
 Lowerbound of 95% confidence interval for alpha-0.231
 Upperbound of 95% confidence interval for alpha0.261
 Treynor index (mean / b)-6.919
 Jensen alpha (a)0.015
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.015
 Expected Shortfall on VaR0.018
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.004
 Expected Shortfall on VaR0.010
ORDER STATISTICS
Quartiles of return rates
 Number of observations603.000
 Minimum0.946
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.071
 Mean of quarter 10.995
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.006
 Inter Quartile Range0.000
 Number outliers low43.000
 Percentage of outliers low0.071
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.090
 Mean of outliers high1.016
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.843
 VaR(95%) (moments method)0.001
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.136
 VaR(95%) (regression method)0.003
 Expected Shortfall (regression method)0.012
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)0.062
 Compounded annual return (geometric extrapolation)0.061
 Calmar ratio (compounded annual return / max draw down)0.239
 Compounded annual return / average of 25% largest draw downs0.239
 Compounded annual return / Expected Shortfall lognormal3.337
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-18.547
 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 predictor0.164
 Mean of criterion-0.044
 SD of predictor0.264
 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) -7936535306446244.000
 Sharpe ratio (Hedges UMVUE)-7901674975671223.000
 df171.000
 t-5611977934314593.000
 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)-8739115425704417.000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-7064234525638030.000
Statistics related to Sortino ratio
 Sortino ratio-18.547
 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 predictor0.129
 Mean of criterion-0.044
 SD of predictor0.265
 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 error170.000
 t(b)-0.000
 p(b)0.500
 t(a)-5593607709138396.000
 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)50977569374303850764632068194304.000
 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 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 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
 Mean0.041
 SD0.248
 Sharpe ratio (Glass type estimate) 0.167
 Sharpe ratio (Hedges UMVUE)0.161
 df20.000
 t0.221
 p0.475
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.317
 Upperbound of 95% confidence interval for Sharpe Ratio1.648
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.322
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.643
Statistics related to Sortino ratio
 Sortino ratio0.370
 Upside Potential Ratio1.875
 Upside part of mean0.210
 Downside part of mean-0.169
 Upside SD0.215
 Downside SD0.112
 N nonnegative terms3.000
 N negative terms18.000
Statistics related to linear regression on benchmark
 N of observations21.000
 Mean of predictor0.252
 Mean of criterion0.041
 SD of predictor0.214
 SD of criterion0.248
 Covariance0.003
 r0.052
 b (slope, estimate of beta)0.060
 a (intercept, estimate of alpha)0.026
 Mean Square Error0.065
 DF error19.000
 t(b)0.227
 p(b)0.467
 t(a)0.129
 p(a)0.481
 Lowerbound of 95% confidence interval for beta-0.496
 Upperbound of 95% confidence interval for beta0.616
 Lowerbound of 95% confidence interval for alpha-0.400
 Upperbound of 95% confidence interval for alpha0.452
 Treynor index (mean / b)0.688
 Jensen alpha (a)0.026
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.015
 SD0.230
 Sharpe ratio (Glass type estimate) 0.065
 Sharpe ratio (Hedges UMVUE)0.063
 df20.000
 t0.086
 p0.490
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.417
 Upperbound of 95% confidence interval for Sharpe Ratio1.546
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.419
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.544
Statistics related to Sortino ratio
 Sortino ratio0.127
 Upside Potential Ratio1.614
 Upside part of mean0.190
 Downside part of mean-0.175
 Upside SD0.191
 Downside SD0.118
 N nonnegative terms3.000
 N negative terms18.000
Statistics related to linear regression on benchmark
 N of observations21.000
 Mean of predictor0.228
 Mean of criterion0.015
 SD of predictor0.206
 SD of criterion0.230
 Covariance0.003
 r0.058
 b (slope, estimate of beta)0.065
 a (intercept, estimate of alpha)0.000
 Mean Square Error0.055
 DF error19.000
 t(b)0.255
 p(b)0.463
 t(a)0.001
 p(a)0.500
 Lowerbound of 95% confidence interval for beta-0.469
 Upperbound of 95% confidence interval for beta0.600
 Lowerbound of 95% confidence interval for alpha-0.392
 Upperbound of 95% confidence interval for alpha0.392
 Treynor index (mean / b)0.230
 Jensen alpha (a)0.000
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.102
 Expected Shortfall on VaR0.126
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.045
 Expected Shortfall on VaR0.086
ORDER STATISTICS
Quartiles of return rates
 Number of observations21.000
 Minimum0.888
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.276
 Mean of quarter 10.962
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.076
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.143
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.143
 Mean of outliers high1.126
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.090
 VaR(95%) (regression method)0.111
 Expected Shortfall (regression method)0.130
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.076
 Quartile 10.094
 Median0.112
 Quartile 30.130
 Maximum0.148
 Mean of quarter 10.076
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.148
 Inter Quartile Range0.036
 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)0.062
 Compounded annual return (geometric extrapolation)0.061
 Calmar ratio (compounded annual return / max draw down)0.409
 Compounded annual return / average of 25% largest draw downs0.409
 Compounded annual return / Expected Shortfall lognormal0.480
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.029
 SD0.165
 Sharpe ratio (Glass type estimate) 0.173
 Sharpe ratio (Hedges UMVUE)0.172
 df602.000
 t0.228
 p0.410
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.308
 Upperbound of 95% confidence interval for Sharpe Ratio1.653
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.308
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.653
Statistics related to Sortino ratio
 Sortino ratio0.246
 Upside Potential Ratio4.194
 Upside part of mean0.487
 Downside part of mean-0.458
 Upside SD0.117
 Downside SD0.116
 N nonnegative terms54.000
 N negative terms549.000
Statistics related to linear regression on benchmark
 N of observations603.000
 Mean of predictor0.264
 Mean of criterion0.029
 SD of predictor0.208
 SD of criterion0.165
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.003
 a (intercept, estimate of alpha)0.029
 Mean Square Error0.027
 DF error601.000
 t(b)-0.082
 p(b)0.533
 t(a)0.233
 p(a)0.408
 Lowerbound of 95% confidence interval for beta-0.066
 Upperbound of 95% confidence interval for beta0.061
 Lowerbound of 95% confidence interval for alpha-0.217
 Upperbound of 95% confidence interval for alpha0.275
 Treynor index (mean / b)-10.766
 Jensen alpha (a)0.029
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.015
 SD0.165
 Sharpe ratio (Glass type estimate) 0.090
 Sharpe ratio (Hedges UMVUE)0.090
 df602.000
 t0.119
 p0.453
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.390
 Upperbound of 95% confidence interval for Sharpe Ratio1.570
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.391
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.570
Statistics related to Sortino ratio
 Sortino ratio0.126
 Upside Potential Ratio4.053
 Upside part of mean0.480
 Downside part of mean-0.465
 Upside SD0.115
 Downside SD0.118
 N nonnegative terms54.000
 N negative terms549.000
Statistics related to linear regression on benchmark
 N of observations603.000
 Mean of predictor0.242
 Mean of criterion0.015
 SD of predictor0.208
 SD of criterion0.165
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.002
 a (intercept, estimate of alpha)0.015
 Mean Square Error0.027
 DF error601.000
 t(b)-0.066
 p(b)0.526
 t(a)0.123
 p(a)0.451
 Lowerbound of 95% confidence interval for beta-0.066
 Upperbound of 95% confidence interval for beta0.061
 Lowerbound of 95% confidence interval for alpha-0.231
 Upperbound of 95% confidence interval for alpha0.261
 Treynor index (mean / b)-6.919
 Jensen alpha (a)0.015
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.015
 Expected Shortfall on VaR0.018
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.004
 Expected Shortfall on VaR0.010
ORDER STATISTICS
Quartiles of return rates
 Number of observations603.000
 Minimum0.946
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.071
 Mean of quarter 10.995
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.006
 Inter Quartile Range0.000
 Number outliers low43.000
 Percentage of outliers low0.071
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.090
 Mean of outliers high1.016
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.843
 VaR(95%) (moments method)0.001
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.136
 VaR(95%) (regression method)0.003
 Expected Shortfall (regression method)0.012
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)0.062
 Compounded annual return (geometric extrapolation)0.061
 Calmar ratio (compounded annual return / max draw down)0.239
 Compounded annual return / average of 25% largest draw downs0.239
 Compounded annual return / Expected Shortfall lognormal3.337
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-18.547
 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 predictor0.164
 Mean of criterion-0.044
 SD of predictor0.264
 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) -7936535306446244.000
 Sharpe ratio (Hedges UMVUE)-7901674975671223.000
 df171.000
 t-5611977934314593.000
 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)-8739115425704417.000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-7064234525638030.000
Statistics related to Sortino ratio
 Sortino ratio-18.547
 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 predictor0.129
 Mean of criterion-0.044
 SD of predictor0.265
 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 error170.000
 t(b)-0.000
 p(b)0.500
 t(a)-5593607709138396.000
 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)50977569374303850764632068194304.000
 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 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 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