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
 Mean0.050
 SD0.261
 Sharpe ratio (Glass type estimate) 0.193
 Sharpe ratio (Hedges UMVUE)0.185
 df18.000
 t0.243
 p0.471
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.368
 Upperbound of 95% confidence interval for Sharpe Ratio1.749
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.374
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.744
Statistics related to Sortino ratio
 Sortino ratio0.429
 Upside Potential Ratio1.973
 Upside part of mean0.232
 Downside part of mean-0.182
 Upside SD0.226
 Downside SD0.118
 N nonnegative terms3.000
 N negative terms16.000
Statistics related to linear regression on benchmark
 N of observations19.000
 Mean of predictor0.239
 Mean of criterion0.050
 SD of predictor0.223
 SD of criterion0.261
 Covariance0.003
 r0.054
 b (slope, estimate of beta)0.064
 a (intercept, estimate of alpha)0.035
 Mean Square Error0.072
 DF error17.000
 t(b)0.225
 p(b)0.465
 t(a)0.157
 p(a)0.476
 Lowerbound of 95% confidence interval for beta-0.535
 Upperbound of 95% confidence interval for beta0.662
 Lowerbound of 95% confidence interval for alpha-0.437
 Upperbound of 95% confidence interval for alpha0.508
 Treynor index (mean / b)0.791
 Jensen alpha (a)0.035
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.021
 SD0.242
 Sharpe ratio (Glass type estimate) 0.088
 Sharpe ratio (Hedges UMVUE)0.084
 df18.000
 t0.110
 p0.487
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.472
 Upperbound of 95% confidence interval for Sharpe Ratio1.644
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.474
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.642
Statistics related to Sortino ratio
 Sortino ratio0.171
 Upside Potential Ratio1.698
 Upside part of mean0.210
 Downside part of mean-0.189
 Upside SD0.201
 Downside SD0.124
 N nonnegative terms3.000
 N negative terms16.000
Statistics related to linear regression on benchmark
 N of observations19.000
 Mean of predictor0.214
 Mean of criterion0.021
 SD of predictor0.215
 SD of criterion0.242
 Covariance0.003
 r0.061
 b (slope, estimate of beta)0.068
 a (intercept, estimate of alpha)0.007
 Mean Square Error0.062
 DF error17.000
 t(b)0.250
 p(b)0.461
 t(a)0.032
 p(a)0.495
 Lowerbound of 95% confidence interval for beta-0.508
 Upperbound of 95% confidence interval for beta0.644
 Lowerbound of 95% confidence interval for alpha-0.428
 Upperbound of 95% confidence interval for alpha0.441
 Treynor index (mean / b)0.310
 Jensen alpha (a)0.007
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.107
 Expected Shortfall on VaR0.132
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.048
 Expected Shortfall on VaR0.091
ORDER STATISTICS
Quartiles of return rates
 Number of observations19.000
 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 41.076
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.158
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.158
 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)0.115
 Expected Shortfall (regression method)0.132
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)0.069
 Compounded annual return (geometric extrapolation)0.067
 Calmar ratio (compounded annual return / max draw down)0.454
 Compounded annual return / average of 25% largest draw downs0.454
 Compounded annual return / Expected Shortfall lognormal0.509
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.034
 SD0.172
 Sharpe ratio (Glass type estimate) 0.200
 Sharpe ratio (Hedges UMVUE)0.200
 df557.000
 t0.255
 p0.399
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.339
 Upperbound of 95% confidence interval for Sharpe Ratio1.739
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.339
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.739
Statistics related to Sortino ratio
 Sortino ratio0.285
 Upside Potential Ratio4.360
 Upside part of mean0.526
 Downside part of mean-0.492
 Upside SD0.122
 Downside SD0.121
 N nonnegative terms54.000
 N negative terms504.000
Statistics related to linear regression on benchmark
 N of observations558.000
 Mean of predictor0.243
 Mean of criterion0.034
 SD of predictor0.210
 SD of criterion0.172
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.003
 a (intercept, estimate of alpha)0.035
 Mean Square Error0.030
 DF error556.000
 t(b)-0.078
 p(b)0.531
 t(a)0.259
 p(a)0.398
 Lowerbound of 95% confidence interval for beta-0.071
 Upperbound of 95% confidence interval for beta0.065
 Lowerbound of 95% confidence interval for alpha-0.231
 Upperbound of 95% confidence interval for alpha0.301
 Treynor index (mean / b)-12.705
 Jensen alpha (a)0.035
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.020
 SD0.172
 Sharpe ratio (Glass type estimate) 0.114
 Sharpe ratio (Hedges UMVUE)0.114
 df557.000
 t0.145
 p0.442
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.425
 Upperbound of 95% confidence interval for Sharpe Ratio1.653
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.425
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.653
Statistics related to Sortino ratio
 Sortino ratio0.159
 Upside Potential Ratio4.213
 Upside part of mean0.519
 Downside part of mean-0.499
 Upside SD0.120
 Downside SD0.123
 N nonnegative terms54.000
 N negative terms504.000
Statistics related to linear regression on benchmark
 N of observations558.000
 Mean of predictor0.221
 Mean of criterion0.020
 SD of predictor0.210
 SD of criterion0.172
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.002
 a (intercept, estimate of alpha)0.020
 Mean Square Error0.030
 DF error556.000
 t(b)-0.063
 p(b)0.525
 t(a)0.149
 p(a)0.441
 Lowerbound of 95% confidence interval for beta-0.070
 Upperbound of 95% confidence interval for beta0.066
 Lowerbound of 95% confidence interval for alpha-0.246
 Upperbound of 95% confidence interval for alpha0.286
 Treynor index (mean / b)-8.947
 Jensen alpha (a)0.020
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 VaR0.019
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.005
 Expected Shortfall on VaR0.010
ORDER STATISTICS
Quartiles of return rates
 Number of observations558.000
 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 low0.077
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.097
 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)0.067
 Compounded annual return (geometric extrapolation)0.066
 Calmar ratio (compounded annual return / max draw down)0.259
 Compounded annual return / average of 25% largest draw downs0.259
 Compounded annual return / Expected Shortfall lognormal3.481
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 predictor0.091
 Mean of criterion-0.044
 SD of predictor0.270
 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 predictor0.055
 Mean of criterion-0.044
 SD of predictor0.271
 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)-5595207037462843.000
 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)101521533098917564503127689789440.000
 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
 Mean0.050
 SD0.261
 Sharpe ratio (Glass type estimate) 0.193
 Sharpe ratio (Hedges UMVUE)0.185
 df18.000
 t0.243
 p0.471
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.368
 Upperbound of 95% confidence interval for Sharpe Ratio1.749
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.374
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.744
Statistics related to Sortino ratio
 Sortino ratio0.429
 Upside Potential Ratio1.973
 Upside part of mean0.232
 Downside part of mean-0.182
 Upside SD0.226
 Downside SD0.118
 N nonnegative terms3.000
 N negative terms16.000
Statistics related to linear regression on benchmark
 N of observations19.000
 Mean of predictor0.239
 Mean of criterion0.050
 SD of predictor0.223
 SD of criterion0.261
 Covariance0.003
 r0.054
 b (slope, estimate of beta)0.064
 a (intercept, estimate of alpha)0.035
 Mean Square Error0.072
 DF error17.000
 t(b)0.225
 p(b)0.465
 t(a)0.157
 p(a)0.476
 Lowerbound of 95% confidence interval for beta-0.535
 Upperbound of 95% confidence interval for beta0.662
 Lowerbound of 95% confidence interval for alpha-0.437
 Upperbound of 95% confidence interval for alpha0.508
 Treynor index (mean / b)0.791
 Jensen alpha (a)0.035
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.021
 SD0.242
 Sharpe ratio (Glass type estimate) 0.088
 Sharpe ratio (Hedges UMVUE)0.084
 df18.000
 t0.110
 p0.487
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.472
 Upperbound of 95% confidence interval for Sharpe Ratio1.644
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.474
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.642
Statistics related to Sortino ratio
 Sortino ratio0.171
 Upside Potential Ratio1.698
 Upside part of mean0.210
 Downside part of mean-0.189
 Upside SD0.201
 Downside SD0.124
 N nonnegative terms3.000
 N negative terms16.000
Statistics related to linear regression on benchmark
 N of observations19.000
 Mean of predictor0.214
 Mean of criterion0.021
 SD of predictor0.215
 SD of criterion0.242
 Covariance0.003
 r0.061
 b (slope, estimate of beta)0.068
 a (intercept, estimate of alpha)0.007
 Mean Square Error0.062
 DF error17.000
 t(b)0.250
 p(b)0.461
 t(a)0.032
 p(a)0.495
 Lowerbound of 95% confidence interval for beta-0.508
 Upperbound of 95% confidence interval for beta0.644
 Lowerbound of 95% confidence interval for alpha-0.428
 Upperbound of 95% confidence interval for alpha0.441
 Treynor index (mean / b)0.310
 Jensen alpha (a)0.007
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.107
 Expected Shortfall on VaR0.132
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.048
 Expected Shortfall on VaR0.091
ORDER STATISTICS
Quartiles of return rates
 Number of observations19.000
 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 41.076
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.158
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.158
 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)0.115
 Expected Shortfall (regression method)0.132
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)0.069
 Compounded annual return (geometric extrapolation)0.067
 Calmar ratio (compounded annual return / max draw down)0.454
 Compounded annual return / average of 25% largest draw downs0.454
 Compounded annual return / Expected Shortfall lognormal0.509
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.034
 SD0.172
 Sharpe ratio (Glass type estimate) 0.200
 Sharpe ratio (Hedges UMVUE)0.200
 df557.000
 t0.255
 p0.399
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.339
 Upperbound of 95% confidence interval for Sharpe Ratio1.739
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.339
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.739
Statistics related to Sortino ratio
 Sortino ratio0.285
 Upside Potential Ratio4.360
 Upside part of mean0.526
 Downside part of mean-0.492
 Upside SD0.122
 Downside SD0.121
 N nonnegative terms54.000
 N negative terms504.000
Statistics related to linear regression on benchmark
 N of observations558.000
 Mean of predictor0.243
 Mean of criterion0.034
 SD of predictor0.210
 SD of criterion0.172
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.003
 a (intercept, estimate of alpha)0.035
 Mean Square Error0.030
 DF error556.000
 t(b)-0.078
 p(b)0.531
 t(a)0.259
 p(a)0.398
 Lowerbound of 95% confidence interval for beta-0.071
 Upperbound of 95% confidence interval for beta0.065
 Lowerbound of 95% confidence interval for alpha-0.231
 Upperbound of 95% confidence interval for alpha0.301
 Treynor index (mean / b)-12.705
 Jensen alpha (a)0.035
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.020
 SD0.172
 Sharpe ratio (Glass type estimate) 0.114
 Sharpe ratio (Hedges UMVUE)0.114
 df557.000
 t0.145
 p0.442
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.425
 Upperbound of 95% confidence interval for Sharpe Ratio1.653
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.425
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.653
Statistics related to Sortino ratio
 Sortino ratio0.159
 Upside Potential Ratio4.213
 Upside part of mean0.519
 Downside part of mean-0.499
 Upside SD0.120
 Downside SD0.123
 N nonnegative terms54.000
 N negative terms504.000
Statistics related to linear regression on benchmark
 N of observations558.000
 Mean of predictor0.221
 Mean of criterion0.020
 SD of predictor0.210
 SD of criterion0.172
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.002
 a (intercept, estimate of alpha)0.020
 Mean Square Error0.030
 DF error556.000
 t(b)-0.063
 p(b)0.525
 t(a)0.149
 p(a)0.441
 Lowerbound of 95% confidence interval for beta-0.070
 Upperbound of 95% confidence interval for beta0.066
 Lowerbound of 95% confidence interval for alpha-0.246
 Upperbound of 95% confidence interval for alpha0.286
 Treynor index (mean / b)-8.947
 Jensen alpha (a)0.020
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 VaR0.019
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.005
 Expected Shortfall on VaR0.010
ORDER STATISTICS
Quartiles of return rates
 Number of observations558.000
 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 low0.077
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.097
 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)0.067
 Compounded annual return (geometric extrapolation)0.066
 Calmar ratio (compounded annual return / max draw down)0.259
 Compounded annual return / average of 25% largest draw downs0.259
 Compounded annual return / Expected Shortfall lognormal3.481
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 predictor0.091
 Mean of criterion-0.044
 SD of predictor0.270
 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 predictor0.055
 Mean of criterion-0.044
 SD of predictor0.271
 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)-5595207037462843.000
 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)101521533098917564503127689789440.000
 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