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
 Mean0.068
 SD0.286
 Sharpe ratio (Glass type estimate) 0.239
 Sharpe ratio (Hedges UMVUE)0.226
 df15.000
 t0.275
 p0.455
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.465
 Upperbound of 95% confidence interval for Sharpe Ratio1.934
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.473
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.926
Statistics related to Sortino ratio
 Sortino ratio0.532
 Upside Potential Ratio2.152
 Upside part of mean0.276
 Downside part of mean-0.208
 Upside SD0.246
 Downside SD0.128
 N nonnegative terms3.000
 N negative terms13.000
Statistics related to linear regression on benchmark
 N of observations16.000
 Mean of predictor0.304
 Mean of criterion0.068
 SD of predictor0.197
 SD of criterion0.286
 Covariance0.003
 r0.056
 b (slope, estimate of beta)0.081
 a (intercept, estimate of alpha)0.043
 Mean Square Error0.087
 DF error14.000
 t(b)0.210
 p(b)0.472
 t(a)0.154
 p(a)0.479
 Lowerbound of 95% confidence interval for beta-0.749
 Upperbound of 95% confidence interval for beta0.911
 Lowerbound of 95% confidence interval for alpha-0.561
 Upperbound of 95% confidence interval for alpha0.648
 Treynor index (mean / b)0.840
 Jensen alpha (a)0.043
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.033
 SD0.265
 Sharpe ratio (Glass type estimate) 0.126
 Sharpe ratio (Hedges UMVUE)0.120
 df15.000
 t0.146
 p0.476
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.574
 Upperbound of 95% confidence interval for Sharpe Ratio1.822
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.578
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.818
Statistics related to Sortino ratio
 Sortino ratio0.248
 Upside Potential Ratio1.852
 Upside part of mean0.249
 Downside part of mean-0.216
 Upside SD0.219
 Downside SD0.134
 N nonnegative terms3.000
 N negative terms13.000
Statistics related to linear regression on benchmark
 N of observations16.000
 Mean of predictor0.283
 Mean of criterion0.033
 SD of predictor0.185
 SD of criterion0.265
 Covariance0.003
 r0.067
 b (slope, estimate of beta)0.096
 a (intercept, estimate of alpha)0.006
 Mean Square Error0.075
 DF error14.000
 t(b)0.252
 p(b)0.466
 t(a)0.024
 p(a)0.497
 Lowerbound of 95% confidence interval for beta-0.721
 Upperbound of 95% confidence interval for beta0.913
 Lowerbound of 95% confidence interval for alpha-0.552
 Upperbound of 95% confidence interval for alpha0.565
 Treynor index (mean / b)0.348
 Jensen alpha (a)0.006
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.116
 Expected Shortfall on VaR0.143
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.053
 Expected Shortfall on VaR0.100
ORDER STATISTICS
Quartiles of return rates
 Number of observations16.000
 Minimum0.888
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.276
 Mean of quarter 10.943
 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 low0.188
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.188
 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)0.120
 Expected Shortfall (regression method)0.134
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)0.082
 Compounded annual return (geometric extrapolation)0.081
 Calmar ratio (compounded annual return / max draw down)0.542
 Compounded annual return / average of 25% largest draw downs0.542
 Compounded annual return / Expected Shortfall lognormal0.562
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.048
 SD0.186
 Sharpe ratio (Glass type estimate) 0.257
 Sharpe ratio (Hedges UMVUE)0.256
 df476.000
 t0.302
 p0.381
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.408
 Upperbound of 95% confidence interval for Sharpe Ratio1.921
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.408
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.921
Statistics related to Sortino ratio
 Sortino ratio0.365
 Upside Potential Ratio4.716
 Upside part of mean0.615
 Downside part of mean-0.568
 Upside SD0.132
 Downside SD0.131
 N nonnegative terms54.000
 N negative terms423.000
Statistics related to linear regression on benchmark
 N of observations477.000
 Mean of predictor0.274
 Mean of criterion0.048
 SD of predictor0.179
 SD of criterion0.186
 Covariance-0.000
 r-0.004
 b (slope, estimate of beta)-0.005
 a (intercept, estimate of alpha)0.049
 Mean Square Error0.035
 DF error475.000
 t(b)-0.097
 p(b)0.539
 t(a)0.309
 p(a)0.379
 Lowerbound of 95% confidence interval for beta-0.098
 Upperbound of 95% confidence interval for beta0.089
 Lowerbound of 95% confidence interval for alpha-0.263
 Upperbound of 95% confidence interval for alpha0.360
 Treynor index (mean / b)-10.305
 Jensen alpha (a)0.049
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.030
 SD0.186
 Sharpe ratio (Glass type estimate) 0.164
 Sharpe ratio (Hedges UMVUE)0.163
 df476.000
 t0.193
 p0.424
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.501
 Upperbound of 95% confidence interval for Sharpe Ratio1.828
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.501
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.828
Statistics related to Sortino ratio
 Sortino ratio0.228
 Upside Potential Ratio4.557
 Upside part of mean0.607
 Downside part of mean-0.576
 Upside SD0.130
 Downside SD0.133
 N nonnegative terms54.000
 N negative terms423.000
Statistics related to linear regression on benchmark
 N of observations477.000
 Mean of predictor0.258
 Mean of criterion0.030
 SD of predictor0.179
 SD of criterion0.186
 Covariance-0.000
 r-0.004
 b (slope, estimate of beta)-0.004
 a (intercept, estimate of alpha)0.031
 Mean Square Error0.035
 DF error475.000
 t(b)-0.080
 p(b)0.532
 t(a)0.198
 p(a)0.422
 Lowerbound of 95% confidence interval for beta-0.098
 Upperbound of 95% confidence interval for beta0.090
 Lowerbound of 95% confidence interval for alpha-0.280
 Upperbound of 95% confidence interval for alpha0.343
 Treynor index (mean / b)-8.000
 Jensen alpha (a)0.031
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 VaR0.012
ORDER STATISTICS
Quartiles of return rates
 Number of observations477.000
 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 low0.090
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.113
 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)0.005
 Expected Shortfall (regression method)0.014
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)0.078
 Compounded annual return (geometric extrapolation)0.077
 Calmar ratio (compounded annual return / max draw down)0.305
 Compounded annual return / average of 25% largest draw downs0.305
 Compounded annual return / Expected Shortfall lognormal3.793
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 predictor0.088
 Mean of criterion-0.044
 SD of predictor0.170
 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 predictor0.073
 Mean of criterion-0.044
 SD of predictor0.171
 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)-5594027727406690.000
 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)564504255736085610515686519472128.000
 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
 Mean0.068
 SD0.286
 Sharpe ratio (Glass type estimate) 0.239
 Sharpe ratio (Hedges UMVUE)0.226
 df15.000
 t0.275
 p0.455
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.465
 Upperbound of 95% confidence interval for Sharpe Ratio1.934
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.473
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.926
Statistics related to Sortino ratio
 Sortino ratio0.532
 Upside Potential Ratio2.152
 Upside part of mean0.276
 Downside part of mean-0.208
 Upside SD0.246
 Downside SD0.128
 N nonnegative terms3.000
 N negative terms13.000
Statistics related to linear regression on benchmark
 N of observations16.000
 Mean of predictor0.304
 Mean of criterion0.068
 SD of predictor0.197
 SD of criterion0.286
 Covariance0.003
 r0.056
 b (slope, estimate of beta)0.081
 a (intercept, estimate of alpha)0.043
 Mean Square Error0.087
 DF error14.000
 t(b)0.210
 p(b)0.472
 t(a)0.154
 p(a)0.479
 Lowerbound of 95% confidence interval for beta-0.749
 Upperbound of 95% confidence interval for beta0.911
 Lowerbound of 95% confidence interval for alpha-0.561
 Upperbound of 95% confidence interval for alpha0.648
 Treynor index (mean / b)0.840
 Jensen alpha (a)0.043
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.033
 SD0.265
 Sharpe ratio (Glass type estimate) 0.126
 Sharpe ratio (Hedges UMVUE)0.120
 df15.000
 t0.146
 p0.476
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.574
 Upperbound of 95% confidence interval for Sharpe Ratio1.822
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.578
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.818
Statistics related to Sortino ratio
 Sortino ratio0.248
 Upside Potential Ratio1.852
 Upside part of mean0.249
 Downside part of mean-0.216
 Upside SD0.219
 Downside SD0.134
 N nonnegative terms3.000
 N negative terms13.000
Statistics related to linear regression on benchmark
 N of observations16.000
 Mean of predictor0.283
 Mean of criterion0.033
 SD of predictor0.185
 SD of criterion0.265
 Covariance0.003
 r0.067
 b (slope, estimate of beta)0.096
 a (intercept, estimate of alpha)0.006
 Mean Square Error0.075
 DF error14.000
 t(b)0.252
 p(b)0.466
 t(a)0.024
 p(a)0.497
 Lowerbound of 95% confidence interval for beta-0.721
 Upperbound of 95% confidence interval for beta0.913
 Lowerbound of 95% confidence interval for alpha-0.552
 Upperbound of 95% confidence interval for alpha0.565
 Treynor index (mean / b)0.348
 Jensen alpha (a)0.006
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.116
 Expected Shortfall on VaR0.143
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.053
 Expected Shortfall on VaR0.100
ORDER STATISTICS
Quartiles of return rates
 Number of observations16.000
 Minimum0.888
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.276
 Mean of quarter 10.943
 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 low0.188
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.188
 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)0.120
 Expected Shortfall (regression method)0.134
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)0.082
 Compounded annual return (geometric extrapolation)0.081
 Calmar ratio (compounded annual return / max draw down)0.542
 Compounded annual return / average of 25% largest draw downs0.542
 Compounded annual return / Expected Shortfall lognormal0.562
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.048
 SD0.186
 Sharpe ratio (Glass type estimate) 0.257
 Sharpe ratio (Hedges UMVUE)0.256
 df476.000
 t0.302
 p0.381
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.408
 Upperbound of 95% confidence interval for Sharpe Ratio1.921
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.408
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.921
Statistics related to Sortino ratio
 Sortino ratio0.365
 Upside Potential Ratio4.716
 Upside part of mean0.615
 Downside part of mean-0.568
 Upside SD0.132
 Downside SD0.131
 N nonnegative terms54.000
 N negative terms423.000
Statistics related to linear regression on benchmark
 N of observations477.000
 Mean of predictor0.274
 Mean of criterion0.048
 SD of predictor0.179
 SD of criterion0.186
 Covariance-0.000
 r-0.004
 b (slope, estimate of beta)-0.005
 a (intercept, estimate of alpha)0.049
 Mean Square Error0.035
 DF error475.000
 t(b)-0.097
 p(b)0.539
 t(a)0.309
 p(a)0.379
 Lowerbound of 95% confidence interval for beta-0.098
 Upperbound of 95% confidence interval for beta0.089
 Lowerbound of 95% confidence interval for alpha-0.263
 Upperbound of 95% confidence interval for alpha0.360
 Treynor index (mean / b)-10.305
 Jensen alpha (a)0.049
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.030
 SD0.186
 Sharpe ratio (Glass type estimate) 0.164
 Sharpe ratio (Hedges UMVUE)0.163
 df476.000
 t0.193
 p0.424
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.501
 Upperbound of 95% confidence interval for Sharpe Ratio1.828
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.501
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.828
Statistics related to Sortino ratio
 Sortino ratio0.228
 Upside Potential Ratio4.557
 Upside part of mean0.607
 Downside part of mean-0.576
 Upside SD0.130
 Downside SD0.133
 N nonnegative terms54.000
 N negative terms423.000
Statistics related to linear regression on benchmark
 N of observations477.000
 Mean of predictor0.258
 Mean of criterion0.030
 SD of predictor0.179
 SD of criterion0.186
 Covariance-0.000
 r-0.004
 b (slope, estimate of beta)-0.004
 a (intercept, estimate of alpha)0.031
 Mean Square Error0.035
 DF error475.000
 t(b)-0.080
 p(b)0.532
 t(a)0.198
 p(a)0.422
 Lowerbound of 95% confidence interval for beta-0.098
 Upperbound of 95% confidence interval for beta0.090
 Lowerbound of 95% confidence interval for alpha-0.280
 Upperbound of 95% confidence interval for alpha0.343
 Treynor index (mean / b)-8.000
 Jensen alpha (a)0.031
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 VaR0.012
ORDER STATISTICS
Quartiles of return rates
 Number of observations477.000
 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 low0.090
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.113
 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)0.005
 Expected Shortfall (regression method)0.014
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)0.078
 Compounded annual return (geometric extrapolation)0.077
 Calmar ratio (compounded annual return / max draw down)0.305
 Compounded annual return / average of 25% largest draw downs0.305
 Compounded annual return / Expected Shortfall lognormal3.793
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 predictor0.088
 Mean of criterion-0.044
 SD of predictor0.170
 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 predictor0.073
 Mean of criterion-0.044
 SD of predictor0.171
 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)-5594027727406690.000
 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)564504255736085610515686519472128.000
 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