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Advanced Statistics: Bravo Tango

Advanced Statistics module contributed by Jules Ellis, C2 Member.

Jules has written a very helpful guide for these statistics.

MonthlyDaily (all)Daily (last 6 mo.)
ANALYSIS BASED ON MONTHLY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.041
 SD0.240
 Sharpe ratio (Glass type estimate) 0.169
 Sharpe ratio (Hedges UMVUE)0.163
 df20.000
 t0.224
 p0.475
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.316
 Upperbound of 95% confidence interval for Sharpe Ratio1.649
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.320
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.645
Statistics related to Sortino ratio
 Sortino ratio0.329
 Upside Potential Ratio1.770
 Upside part of mean0.218
 Downside part of mean-0.178
 Upside SD0.199
 Downside SD0.123
 N nonnegative terms3.000
 N negative terms18.000
Statistics related to linear regression on benchmark
 N of observations21.000
 Mean of predictor0.270
 Mean of criterion0.041
 SD of predictor0.192
 SD of criterion0.240
 Covariance-0.005
 r-0.101
 b (slope, estimate of beta)-0.127
 a (intercept, estimate of alpha)0.075
 Mean Square Error0.060
 DF error19.000
 t(b)-0.444
 p(b)0.564
 t(a)0.373
 p(a)0.446
 Lowerbound of 95% confidence interval for beta-0.725
 Upperbound of 95% confidence interval for beta0.471
 Lowerbound of 95% confidence interval for alpha-0.345
 Upperbound of 95% confidence interval for alpha0.494
 Treynor index (mean / b)-0.320
 Jensen alpha (a)0.075
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.015
 SD0.228
 Sharpe ratio (Glass type estimate) 0.066
 Sharpe ratio (Hedges UMVUE)0.063
 df20.000
 t0.087
 p0.490
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.417
 Upperbound of 95% confidence interval for Sharpe Ratio1.547
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.418
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.545
Statistics related to Sortino ratio
 Sortino ratio0.115
 Upside Potential Ratio1.537
 Upside part of mean0.200
 Downside part of mean-0.185
 Upside SD0.180
 Downside SD0.130
 N nonnegative terms3.000
 N negative terms18.000
Statistics related to linear regression on benchmark
 N of observations21.000
 Mean of predictor0.249
 Mean of criterion0.015
 SD of predictor0.183
 SD of criterion0.228
 Covariance-0.004
 r-0.094
 b (slope, estimate of beta)-0.117
 a (intercept, estimate of alpha)0.044
 Mean Square Error0.054
 DF error19.000
 t(b)-0.412
 p(b)0.560
 t(a)0.233
 p(a)0.466
 Lowerbound of 95% confidence interval for beta-0.710
 Upperbound of 95% confidence interval for beta0.477
 Lowerbound of 95% confidence interval for alpha-0.352
 Upperbound of 95% confidence interval for alpha0.441
 Treynor index (mean / b)-0.128
 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%)0.101
 Expected Shortfall on VaR0.125
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.047
 Expected Shortfall on VaR0.093
ORDER STATISTICS
Quartiles of return rates
 Number of observations21.000
 Minimum0.878
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.247
 Mean of quarter 10.959
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.079
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.143
 Mean of outliers low0.918
 Number of outliers high3.000
 Percentage of outliers high0.143
 Mean of outliers high1.131
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.174
 VaR(95%) (regression method)0.113
 Expected Shortfall (regression method)0.131
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.095
 Quartile 10.108
 Median0.121
 Quartile 30.134
 Maximum0.147
 Mean of quarter 10.095
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.147
 Inter Quartile Range0.026
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.062
 Compounded annual return (geometric extrapolation)0.061
 Calmar ratio (compounded annual return / max draw down)0.414
 Compounded annual return / average of 25% largest draw downs0.414
 Compounded annual return / Expected Shortfall lognormal0.485
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.027
 SD0.165
 Sharpe ratio (Glass type estimate) 0.162
 Sharpe ratio (Hedges UMVUE)0.161
 df473.000
 t0.217
 p0.414
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.296
 Upperbound of 95% confidence interval for Sharpe Ratio1.619
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.296
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.619
Statistics related to Sortino ratio
 Sortino ratio0.226
 Upside Potential Ratio3.878
 Upside part of mean0.457
 Downside part of mean-0.430
 Upside SD0.115
 Downside SD0.118
 N nonnegative terms50.000
 N negative terms424.000
Statistics related to linear regression on benchmark
 N of observations474.000
 Mean of predictor0.288
 Mean of criterion0.027
 SD of predictor0.204
 SD of criterion0.165
 Covariance0.000
 r0.001
 b (slope, estimate of beta)0.001
 a (intercept, estimate of alpha)0.026
 Mean Square Error0.027
 DF error472.000
 t(b)0.015
 p(b)0.494
 t(a)0.215
 p(a)0.415
 Lowerbound of 95% confidence interval for beta-0.072
 Upperbound of 95% confidence interval for beta0.074
 Lowerbound of 95% confidence interval for alpha-0.215
 Upperbound of 95% confidence interval for alpha0.268
 Treynor index (mean / b)48.298
 Jensen alpha (a)0.026
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.013
 SD0.165
 Sharpe ratio (Glass type estimate) 0.079
 Sharpe ratio (Hedges UMVUE)0.079
 df473.000
 t0.106
 p0.458
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.378
 Upperbound of 95% confidence interval for Sharpe Ratio1.536
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.378
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.536
Statistics related to Sortino ratio
 Sortino ratio0.108
 Upside Potential Ratio3.738
 Upside part of mean0.451
 Downside part of mean-0.438
 Upside SD0.113
 Downside SD0.121
 N nonnegative terms50.000
 N negative terms424.000
Statistics related to linear regression on benchmark
 N of observations474.000
 Mean of predictor0.267
 Mean of criterion0.013
 SD of predictor0.204
 SD of criterion0.165
 Covariance0.000
 r0.002
 b (slope, estimate of beta)0.001
 a (intercept, estimate of alpha)0.013
 Mean Square Error0.027
 DF error472.000
 t(b)0.035
 p(b)0.486
 t(a)0.103
 p(a)0.459
 Lowerbound of 95% confidence interval for beta-0.072
 Upperbound of 95% confidence interval for beta0.074
 Lowerbound of 95% confidence interval for alpha-0.230
 Upperbound of 95% confidence interval for alpha0.255
 Treynor index (mean / b)9.962
 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%)0.017
 Expected Shortfall on VaR0.021
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 observations474.000
 Minimum0.931
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.071
 Mean of quarter 10.994
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.007
 Inter Quartile Range0.000
 Number outliers low38.000
 Percentage of outliers low0.080
 Mean of outliers low0.981
 Number of outliers high50.000
 Percentage of outliers high0.105
 Mean of outliers high1.017
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.246
 VaR(95%) (moments method)0.001
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.202
 VaR(95%) (regression method)0.004
 Expected Shortfall (regression method)0.016
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)0.060
 Compounded annual return (geometric extrapolation)0.059
 Calmar ratio (compounded annual return / max draw down)0.231
 Compounded annual return / average of 25% largest draw downs0.231
 Compounded annual return / Expected Shortfall lognormal2.828
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) NA
 Sharpe ratio (Hedges UMVUE)NA
 dfNA
 tNA
 pNA
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
Statistics related to Sortino ratio
 Sortino ratio-16.186
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.226
 Mean of criterion-0.044
 SD of predictor0.266
 SD of criterion0.000
 Covariance0.000
 rNA
 b (slope, estimate of beta)NA
 a (intercept, estimate of alpha)NA
 Mean Square ErrorNA
 DF errorNA
 t(b)NA
 p(b)NA
 t(a)NA
 p(a)NA
 Lowerbound of 95% confidence interval for betaNA
 Upperbound of 95% confidence interval for betaNA
 Lowerbound of 95% confidence interval for alphaNA
 Upperbound of 95% confidence interval for alphaNA
 Treynor index (mean / b)NA
 Jensen alpha (a)NA
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) -12492933348697024.000
 Sharpe ratio (Hedges UMVUE)-12420719861132300.000
 df130.000
 t-8833837887775228.000
 p1.000
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-13930479873814932.000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-10910959848449668.000
Statistics related to Sortino ratio
 Sortino ratio-16.186
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.191
 Mean of criterion-0.044
 SD of predictor0.267
 SD of criterion0.000
 Covariance-0.000
 r-0.000
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)-0.000
 p(b)0.500
 t(a)-8791143510594981.000
 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)171965416856384321323131832631296.000
 Jensen alpha (a)-0.044
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.000
 Expected Shortfall on VaR0.000
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.000
 Expected Shortfall on VaR0.000
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum1.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.000
 Mean of quarter 11.000
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.000
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations0.000
 MinimumNA
 Quartile 1NA
 MedianNA
 Quartile 3NA
 MaximumNA
 Mean of quarter 1NA
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 4NA
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers lowNA
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers highNA
 Mean of outliers highNA
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.000
 Compounded annual return (geometric extrapolation)0.000
 Calmar ratio (compounded annual return / max draw down)NA
 Compounded annual return / average of 25% largest draw downsNA
 Compounded annual return / Expected Shortfall lognormal0.000

Advanced Statistics: Bravo Tango

Advanced Statistics module contributed by Jules Ellis, C2 Member.

Jules has written a very helpful guide for these statistics.

MonthlyDaily (all)Daily (last 6 mo.)
ANALYSIS BASED ON MONTHLY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.041
 SD0.240
 Sharpe ratio (Glass type estimate) 0.169
 Sharpe ratio (Hedges UMVUE)0.163
 df20.000
 t0.224
 p0.475
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.316
 Upperbound of 95% confidence interval for Sharpe Ratio1.649
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.320
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.645
Statistics related to Sortino ratio
 Sortino ratio0.329
 Upside Potential Ratio1.770
 Upside part of mean0.218
 Downside part of mean-0.178
 Upside SD0.199
 Downside SD0.123
 N nonnegative terms3.000
 N negative terms18.000
Statistics related to linear regression on benchmark
 N of observations21.000
 Mean of predictor0.270
 Mean of criterion0.041
 SD of predictor0.192
 SD of criterion0.240
 Covariance-0.005
 r-0.101
 b (slope, estimate of beta)-0.127
 a (intercept, estimate of alpha)0.075
 Mean Square Error0.060
 DF error19.000
 t(b)-0.444
 p(b)0.564
 t(a)0.373
 p(a)0.446
 Lowerbound of 95% confidence interval for beta-0.725
 Upperbound of 95% confidence interval for beta0.471
 Lowerbound of 95% confidence interval for alpha-0.345
 Upperbound of 95% confidence interval for alpha0.494
 Treynor index (mean / b)-0.320
 Jensen alpha (a)0.075
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.015
 SD0.228
 Sharpe ratio (Glass type estimate) 0.066
 Sharpe ratio (Hedges UMVUE)0.063
 df20.000
 t0.087
 p0.490
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.417
 Upperbound of 95% confidence interval for Sharpe Ratio1.547
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.418
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.545
Statistics related to Sortino ratio
 Sortino ratio0.115
 Upside Potential Ratio1.537
 Upside part of mean0.200
 Downside part of mean-0.185
 Upside SD0.180
 Downside SD0.130
 N nonnegative terms3.000
 N negative terms18.000
Statistics related to linear regression on benchmark
 N of observations21.000
 Mean of predictor0.249
 Mean of criterion0.015
 SD of predictor0.183
 SD of criterion0.228
 Covariance-0.004
 r-0.094
 b (slope, estimate of beta)-0.117
 a (intercept, estimate of alpha)0.044
 Mean Square Error0.054
 DF error19.000
 t(b)-0.412
 p(b)0.560
 t(a)0.233
 p(a)0.466
 Lowerbound of 95% confidence interval for beta-0.710
 Upperbound of 95% confidence interval for beta0.477
 Lowerbound of 95% confidence interval for alpha-0.352
 Upperbound of 95% confidence interval for alpha0.441
 Treynor index (mean / b)-0.128
 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%)0.101
 Expected Shortfall on VaR0.125
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.047
 Expected Shortfall on VaR0.093
ORDER STATISTICS
Quartiles of return rates
 Number of observations21.000
 Minimum0.878
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.247
 Mean of quarter 10.959
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.079
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.143
 Mean of outliers low0.918
 Number of outliers high3.000
 Percentage of outliers high0.143
 Mean of outliers high1.131
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.174
 VaR(95%) (regression method)0.113
 Expected Shortfall (regression method)0.131
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.095
 Quartile 10.108
 Median0.121
 Quartile 30.134
 Maximum0.147
 Mean of quarter 10.095
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.147
 Inter Quartile Range0.026
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.062
 Compounded annual return (geometric extrapolation)0.061
 Calmar ratio (compounded annual return / max draw down)0.414
 Compounded annual return / average of 25% largest draw downs0.414
 Compounded annual return / Expected Shortfall lognormal0.485
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.027
 SD0.165
 Sharpe ratio (Glass type estimate) 0.162
 Sharpe ratio (Hedges UMVUE)0.161
 df473.000
 t0.217
 p0.414
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.296
 Upperbound of 95% confidence interval for Sharpe Ratio1.619
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.296
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.619
Statistics related to Sortino ratio
 Sortino ratio0.226
 Upside Potential Ratio3.878
 Upside part of mean0.457
 Downside part of mean-0.430
 Upside SD0.115
 Downside SD0.118
 N nonnegative terms50.000
 N negative terms424.000
Statistics related to linear regression on benchmark
 N of observations474.000
 Mean of predictor0.288
 Mean of criterion0.027
 SD of predictor0.204
 SD of criterion0.165
 Covariance0.000
 r0.001
 b (slope, estimate of beta)0.001
 a (intercept, estimate of alpha)0.026
 Mean Square Error0.027
 DF error472.000
 t(b)0.015
 p(b)0.494
 t(a)0.215
 p(a)0.415
 Lowerbound of 95% confidence interval for beta-0.072
 Upperbound of 95% confidence interval for beta0.074
 Lowerbound of 95% confidence interval for alpha-0.215
 Upperbound of 95% confidence interval for alpha0.268
 Treynor index (mean / b)48.298
 Jensen alpha (a)0.026
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.013
 SD0.165
 Sharpe ratio (Glass type estimate) 0.079
 Sharpe ratio (Hedges UMVUE)0.079
 df473.000
 t0.106
 p0.458
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.378
 Upperbound of 95% confidence interval for Sharpe Ratio1.536
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.378
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.536
Statistics related to Sortino ratio
 Sortino ratio0.108
 Upside Potential Ratio3.738
 Upside part of mean0.451
 Downside part of mean-0.438
 Upside SD0.113
 Downside SD0.121
 N nonnegative terms50.000
 N negative terms424.000
Statistics related to linear regression on benchmark
 N of observations474.000
 Mean of predictor0.267
 Mean of criterion0.013
 SD of predictor0.204
 SD of criterion0.165
 Covariance0.000
 r0.002
 b (slope, estimate of beta)0.001
 a (intercept, estimate of alpha)0.013
 Mean Square Error0.027
 DF error472.000
 t(b)0.035
 p(b)0.486
 t(a)0.103
 p(a)0.459
 Lowerbound of 95% confidence interval for beta-0.072
 Upperbound of 95% confidence interval for beta0.074
 Lowerbound of 95% confidence interval for alpha-0.230
 Upperbound of 95% confidence interval for alpha0.255
 Treynor index (mean / b)9.962
 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%)0.017
 Expected Shortfall on VaR0.021
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 observations474.000
 Minimum0.931
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.071
 Mean of quarter 10.994
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.007
 Inter Quartile Range0.000
 Number outliers low38.000
 Percentage of outliers low0.080
 Mean of outliers low0.981
 Number of outliers high50.000
 Percentage of outliers high0.105
 Mean of outliers high1.017
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.246
 VaR(95%) (moments method)0.001
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.202
 VaR(95%) (regression method)0.004
 Expected Shortfall (regression method)0.016
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)0.060
 Compounded annual return (geometric extrapolation)0.059
 Calmar ratio (compounded annual return / max draw down)0.231
 Compounded annual return / average of 25% largest draw downs0.231
 Compounded annual return / Expected Shortfall lognormal2.828
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) NA
 Sharpe ratio (Hedges UMVUE)NA
 dfNA
 tNA
 pNA
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)NA
Statistics related to Sortino ratio
 Sortino ratio-16.186
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.226
 Mean of criterion-0.044
 SD of predictor0.266
 SD of criterion0.000
 Covariance0.000
 rNA
 b (slope, estimate of beta)NA
 a (intercept, estimate of alpha)NA
 Mean Square ErrorNA
 DF errorNA
 t(b)NA
 p(b)NA
 t(a)NA
 p(a)NA
 Lowerbound of 95% confidence interval for betaNA
 Upperbound of 95% confidence interval for betaNA
 Lowerbound of 95% confidence interval for alphaNA
 Upperbound of 95% confidence interval for alphaNA
 Treynor index (mean / b)NA
 Jensen alpha (a)NA
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.044
 SD0.000
 Sharpe ratio (Glass type estimate) -12492933348697024.000
 Sharpe ratio (Hedges UMVUE)-12420719861132300.000
 df130.000
 t-8833837887775228.000
 p1.000
 Lowerbound of 95% confidence interval for Sharpe RatioNA
 Upperbound of 95% confidence interval for Sharpe RatioNA
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-13930479873814932.000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)-10910959848449668.000
Statistics related to Sortino ratio
 Sortino ratio-16.186
 Upside Potential Ratio0.000
 Upside part of mean0.000
 Downside part of mean-0.044
 Upside SD0.000
 Downside SD0.003
 N nonnegative terms0.000
 N negative terms131.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.191
 Mean of criterion-0.044
 SD of predictor0.267
 SD of criterion0.000
 Covariance-0.000
 r-0.000
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.044
 Mean Square Error0.000
 DF error129.000
 t(b)-0.000
 p(b)0.500
 t(a)-8791143510594981.000
 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)171965416856384321323131832631296.000
 Jensen alpha (a)-0.044
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.000
 Expected Shortfall on VaR0.000
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.000
 Expected Shortfall on VaR0.000
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum1.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.000
 Mean of quarter 11.000
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.000
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations0.000
 MinimumNA
 Quartile 1NA
 MedianNA
 Quartile 3NA
 MaximumNA
 Mean of quarter 1NA
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 4NA
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers lowNA
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers highNA
 Mean of outliers highNA
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.000
 Compounded annual return (geometric extrapolation)0.000
 Calmar ratio (compounded annual return / max draw down)NA
 Compounded annual return / average of 25% largest draw downsNA
 Compounded annual return / Expected Shortfall lognormal0.000