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
 Mean0.062
 SD0.277
 Sharpe ratio (Glass type estimate) 0.222
 Sharpe ratio (Hedges UMVUE)0.212
 df16.000
 t0.265
 p0.467
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.429
 Upperbound of 95% confidence interval for Sharpe Ratio1.867
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.437
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.860
Statistics related to Sortino ratio
 Sortino ratio0.495
 Upside Potential Ratio2.087
 Upside part of mean0.260
 Downside part of mean-0.198
 Upside SD0.239
 Downside SD0.124
 N nonnegative terms3.000
 N negative terms14.000
Statistics related to linear regression on benchmark
 N of observations17.000
 Mean of predictor0.213
 Mean of criterion0.062
 SD of predictor0.220
 SD of criterion0.277
 Covariance0.004
 r0.063
 b (slope, estimate of beta)0.079
 a (intercept, estimate of alpha)0.045
 Mean Square Error0.082
 DF error15.000
 t(b)0.243
 p(b)0.460
 t(a)0.179
 p(a)0.471
 Lowerbound of 95% confidence interval for beta-0.613
 Upperbound of 95% confidence interval for beta0.771
 Lowerbound of 95% confidence interval for alpha-0.487
 Upperbound of 95% confidence interval for alpha0.577
 Treynor index (mean / b)0.780
 Jensen alpha (a)0.045
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.029
 SD0.257
 Sharpe ratio (Glass type estimate) 0.112
 Sharpe ratio (Hedges UMVUE)0.107
 df16.000
 t0.134
 p0.483
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.536
 Upperbound of 95% confidence interval for Sharpe Ratio1.758
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.540
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.754
Statistics related to Sortino ratio
 Sortino ratio0.221
 Upside Potential Ratio1.796
 Upside part of mean0.234
 Downside part of mean-0.206
 Upside SD0.212
 Downside SD0.131
 N nonnegative terms3.000
 N negative terms14.000
Statistics related to linear regression on benchmark
 N of observations17.000
 Mean of predictor0.189
 Mean of criterion0.029
 SD of predictor0.212
 SD of criterion0.257
 Covariance0.004
 r0.068
 b (slope, estimate of beta)0.083
 a (intercept, estimate of alpha)0.013
 Mean Square Error0.070
 DF error15.000
 t(b)0.265
 p(b)0.457
 t(a)0.058
 p(a)0.491
 Lowerbound of 95% confidence interval for beta-0.583
 Upperbound of 95% confidence interval for beta0.748
 Lowerbound of 95% confidence interval for alpha-0.477
 Upperbound of 95% confidence interval for alpha0.503
 Treynor index (mean / b)0.349
 Jensen alpha (a)0.013
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.113
 Expected Shortfall on VaR0.139
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.051
 Expected Shortfall on VaR0.097
ORDER STATISTICS
Quartiles of return rates
 Number of observations17.000
 Minimum0.888
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.276
 Mean of quarter 10.954
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.095
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.176
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.176
 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)0.118
 Expected Shortfall (regression method)0.133
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)0.077
 Compounded annual return (geometric extrapolation)0.076
 Calmar ratio (compounded annual return / max draw down)0.509
 Compounded annual return / average of 25% largest draw downs0.509
 Compounded annual return / Expected Shortfall lognormal0.543
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.045
 SD0.183
 Sharpe ratio (Glass type estimate) 0.246
 Sharpe ratio (Hedges UMVUE)0.246
 df490.000
 t0.294
 p0.384
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.395
 Upperbound of 95% confidence interval for Sharpe Ratio1.887
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.395
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.886
Statistics related to Sortino ratio
 Sortino ratio0.350
 Upside Potential Ratio4.648
 Upside part of mean0.598
 Downside part of mean-0.553
 Upside SD0.130
 Downside SD0.129
 N nonnegative terms54.000
 N negative terms437.000
Statistics related to linear regression on benchmark
 N of observations491.000
 Mean of predictor0.217
 Mean of criterion0.045
 SD of predictor0.194
 SD of criterion0.183
 Covariance-0.000
 r-0.004
 b (slope, estimate of beta)-0.003
 a (intercept, estimate of alpha)0.046
 Mean Square Error0.034
 DF error489.000
 t(b)-0.081
 p(b)0.532
 t(a)0.298
 p(a)0.383
 Lowerbound of 95% confidence interval for beta-0.087
 Upperbound of 95% confidence interval for beta0.081
 Lowerbound of 95% confidence interval for alpha-0.256
 Upperbound of 95% confidence interval for alpha0.348
 Treynor index (mean / b)-13.099
 Jensen alpha (a)0.046
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.028
 SD0.183
 Sharpe ratio (Glass type estimate) 0.154
 Sharpe ratio (Hedges UMVUE)0.154
 df490.000
 t0.185
 p0.427
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.486
 Upperbound of 95% confidence interval for Sharpe Ratio1.795
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.486
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.795
Statistics related to Sortino ratio
 Sortino ratio0.216
 Upside Potential Ratio4.491
 Upside part of mean0.590
 Downside part of mean-0.561
 Upside SD0.128
 Downside SD0.131
 N nonnegative terms54.000
 N negative terms437.000
Statistics related to linear regression on benchmark
 N of observations491.000
 Mean of predictor0.199
 Mean of criterion0.028
 SD of predictor0.194
 SD of criterion0.183
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.003
 a (intercept, estimate of alpha)0.029
 Mean Square Error0.034
 DF error489.000
 t(b)-0.066
 p(b)0.526
 t(a)0.188
 p(a)0.426
 Lowerbound of 95% confidence interval for beta-0.087
 Upperbound of 95% confidence interval for beta0.081
 Lowerbound of 95% confidence interval for alpha-0.273
 Upperbound of 95% confidence interval for alpha0.331
 Treynor index (mean / b)-10.083
 Jensen alpha (a)0.029
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 observations491.000
 Minimum0.946
 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 low43.000
 Percentage of outliers low0.088
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.110
 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)0.004
 Expected Shortfall (regression method)0.013
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)0.076
 Compounded annual return (geometric extrapolation)0.075
 Calmar ratio (compounded annual return / max draw down)0.296
 Compounded annual return / average of 25% largest draw downs0.296
 Compounded annual return / Expected Shortfall lognormal3.733
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 predictor-0.082
 Mean of criterion-0.044
 SD of predictor0.217
 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 predictor-0.105
 Mean of criterion-0.044
 SD of predictor0.217
 SD of criterion0.000
 Covariance0.000
 r0.000
 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)-5593619711055552.000
 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)-51824389687864322144672625459200.000
 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
 Mean0.062
 SD0.277
 Sharpe ratio (Glass type estimate) 0.222
 Sharpe ratio (Hedges UMVUE)0.212
 df16.000
 t0.265
 p0.467
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.429
 Upperbound of 95% confidence interval for Sharpe Ratio1.867
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.437
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.860
Statistics related to Sortino ratio
 Sortino ratio0.495
 Upside Potential Ratio2.087
 Upside part of mean0.260
 Downside part of mean-0.198
 Upside SD0.239
 Downside SD0.124
 N nonnegative terms3.000
 N negative terms14.000
Statistics related to linear regression on benchmark
 N of observations17.000
 Mean of predictor0.213
 Mean of criterion0.062
 SD of predictor0.220
 SD of criterion0.277
 Covariance0.004
 r0.063
 b (slope, estimate of beta)0.079
 a (intercept, estimate of alpha)0.045
 Mean Square Error0.082
 DF error15.000
 t(b)0.243
 p(b)0.460
 t(a)0.179
 p(a)0.471
 Lowerbound of 95% confidence interval for beta-0.613
 Upperbound of 95% confidence interval for beta0.771
 Lowerbound of 95% confidence interval for alpha-0.487
 Upperbound of 95% confidence interval for alpha0.577
 Treynor index (mean / b)0.780
 Jensen alpha (a)0.045
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.029
 SD0.257
 Sharpe ratio (Glass type estimate) 0.112
 Sharpe ratio (Hedges UMVUE)0.107
 df16.000
 t0.134
 p0.483
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.536
 Upperbound of 95% confidence interval for Sharpe Ratio1.758
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.540
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.754
Statistics related to Sortino ratio
 Sortino ratio0.221
 Upside Potential Ratio1.796
 Upside part of mean0.234
 Downside part of mean-0.206
 Upside SD0.212
 Downside SD0.131
 N nonnegative terms3.000
 N negative terms14.000
Statistics related to linear regression on benchmark
 N of observations17.000
 Mean of predictor0.189
 Mean of criterion0.029
 SD of predictor0.212
 SD of criterion0.257
 Covariance0.004
 r0.068
 b (slope, estimate of beta)0.083
 a (intercept, estimate of alpha)0.013
 Mean Square Error0.070
 DF error15.000
 t(b)0.265
 p(b)0.457
 t(a)0.058
 p(a)0.491
 Lowerbound of 95% confidence interval for beta-0.583
 Upperbound of 95% confidence interval for beta0.748
 Lowerbound of 95% confidence interval for alpha-0.477
 Upperbound of 95% confidence interval for alpha0.503
 Treynor index (mean / b)0.349
 Jensen alpha (a)0.013
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.113
 Expected Shortfall on VaR0.139
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.051
 Expected Shortfall on VaR0.097
ORDER STATISTICS
Quartiles of return rates
 Number of observations17.000
 Minimum0.888
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.276
 Mean of quarter 10.954
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.095
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.176
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.176
 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)0.118
 Expected Shortfall (regression method)0.133
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)0.077
 Compounded annual return (geometric extrapolation)0.076
 Calmar ratio (compounded annual return / max draw down)0.509
 Compounded annual return / average of 25% largest draw downs0.509
 Compounded annual return / Expected Shortfall lognormal0.543
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.045
 SD0.183
 Sharpe ratio (Glass type estimate) 0.246
 Sharpe ratio (Hedges UMVUE)0.246
 df490.000
 t0.294
 p0.384
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.395
 Upperbound of 95% confidence interval for Sharpe Ratio1.887
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.395
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.886
Statistics related to Sortino ratio
 Sortino ratio0.350
 Upside Potential Ratio4.648
 Upside part of mean0.598
 Downside part of mean-0.553
 Upside SD0.130
 Downside SD0.129
 N nonnegative terms54.000
 N negative terms437.000
Statistics related to linear regression on benchmark
 N of observations491.000
 Mean of predictor0.217
 Mean of criterion0.045
 SD of predictor0.194
 SD of criterion0.183
 Covariance-0.000
 r-0.004
 b (slope, estimate of beta)-0.003
 a (intercept, estimate of alpha)0.046
 Mean Square Error0.034
 DF error489.000
 t(b)-0.081
 p(b)0.532
 t(a)0.298
 p(a)0.383
 Lowerbound of 95% confidence interval for beta-0.087
 Upperbound of 95% confidence interval for beta0.081
 Lowerbound of 95% confidence interval for alpha-0.256
 Upperbound of 95% confidence interval for alpha0.348
 Treynor index (mean / b)-13.099
 Jensen alpha (a)0.046
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.028
 SD0.183
 Sharpe ratio (Glass type estimate) 0.154
 Sharpe ratio (Hedges UMVUE)0.154
 df490.000
 t0.185
 p0.427
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.486
 Upperbound of 95% confidence interval for Sharpe Ratio1.795
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.486
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.795
Statistics related to Sortino ratio
 Sortino ratio0.216
 Upside Potential Ratio4.491
 Upside part of mean0.590
 Downside part of mean-0.561
 Upside SD0.128
 Downside SD0.131
 N nonnegative terms54.000
 N negative terms437.000
Statistics related to linear regression on benchmark
 N of observations491.000
 Mean of predictor0.199
 Mean of criterion0.028
 SD of predictor0.194
 SD of criterion0.183
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.003
 a (intercept, estimate of alpha)0.029
 Mean Square Error0.034
 DF error489.000
 t(b)-0.066
 p(b)0.526
 t(a)0.188
 p(a)0.426
 Lowerbound of 95% confidence interval for beta-0.087
 Upperbound of 95% confidence interval for beta0.081
 Lowerbound of 95% confidence interval for alpha-0.273
 Upperbound of 95% confidence interval for alpha0.331
 Treynor index (mean / b)-10.083
 Jensen alpha (a)0.029
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 observations491.000
 Minimum0.946
 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 low43.000
 Percentage of outliers low0.088
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.110
 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)0.004
 Expected Shortfall (regression method)0.013
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)0.076
 Compounded annual return (geometric extrapolation)0.075
 Calmar ratio (compounded annual return / max draw down)0.296
 Compounded annual return / average of 25% largest draw downs0.296
 Compounded annual return / Expected Shortfall lognormal3.733
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 predictor-0.082
 Mean of criterion-0.044
 SD of predictor0.217
 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 predictor-0.105
 Mean of criterion-0.044
 SD of predictor0.217
 SD of criterion0.000
 Covariance0.000
 r0.000
 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)-5593619711055552.000
 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)-51824389687864322144672625459200.000
 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