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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
 Mean0.030
 SD0.224
 Sharpe ratio (Glass type estimate) 0.134
 Sharpe ratio (Hedges UMVUE)0.129
 df23.000
 t0.189
 p0.426
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.254
 Upperbound of 95% confidence interval for Sharpe Ratio1.519
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.257
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.516
Statistics related to Sortino ratio
 Sortino ratio0.260
 Upside Potential Ratio1.654
 Upside part of mean0.191
 Downside part of mean-0.161
 Upside SD0.187
 Downside SD0.115
 N nonnegative terms3.000
 N negative terms21.000
Statistics related to linear regression on benchmark
 N of observations24.000
 Mean of predictor0.308
 Mean of criterion0.030
 SD of predictor0.188
 SD of criterion0.224
 Covariance-0.004
 r-0.102
 b (slope, estimate of beta)-0.121
 a (intercept, estimate of alpha)0.067
 Mean Square Error0.052
 DF error22.000
 t(b)-0.481
 p(b)0.682
 t(a)0.376
 p(a)0.355
 Lowerbound of 95% confidence interval for beta-0.645
 Upperbound of 95% confidence interval for beta0.402
 Lowerbound of 95% confidence interval for alpha-0.303
 Upperbound of 95% confidence interval for alpha0.438
 Treynor index (mean / b)-0.247
 Jensen alpha (a)0.067
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.008
 SD0.212
 Sharpe ratio (Glass type estimate) 0.036
 Sharpe ratio (Hedges UMVUE)0.035
 df23.000
 t0.051
 p0.480
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.350
 Upperbound of 95% confidence interval for Sharpe Ratio1.421
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.351
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.421
Statistics related to Sortino ratio
 Sortino ratio0.062
 Upside Potential Ratio1.436
 Upside part of mean0.175
 Downside part of mean-0.168
 Upside SD0.168
 Downside SD0.122
 N nonnegative terms3.000
 N negative terms21.000
Statistics related to linear regression on benchmark
 N of observations24.000
 Mean of predictor0.287
 Mean of criterion0.008
 SD of predictor0.180
 SD of criterion0.212
 Covariance-0.004
 r-0.094
 b (slope, estimate of beta)-0.110
 a (intercept, estimate of alpha)0.039
 Mean Square Error0.047
 DF error22.000
 t(b)-0.441
 p(b)0.668
 t(a)0.233
 p(a)0.409
 Lowerbound of 95% confidence interval for beta-0.629
 Upperbound of 95% confidence interval for beta0.408
 Lowerbound of 95% confidence interval for alpha-0.311
 Upperbound of 95% confidence interval for alpha0.389
 Treynor index (mean / b)-0.069
 Jensen alpha (a)0.039
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.095
 Expected Shortfall on VaR0.118
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.043
 Expected Shortfall on VaR0.086
ORDER STATISTICS
Quartiles of return rates
 Number of observations24.000
 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 41.065
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.125
 Mean of outliers low0.918
 Number of outliers high3.000
 Percentage of outliers high0.125
 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)0.108
 Expected Shortfall (regression method)0.128
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)0.054
 Compounded annual return (geometric extrapolation)0.053
 Calmar ratio (compounded annual return / max draw down)0.361
 Compounded annual return / average of 25% largest draw downs0.361
 Compounded annual return / Expected Shortfall lognormal0.449
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.020
 SD0.157
 Sharpe ratio (Glass type estimate) 0.127
 Sharpe ratio (Hedges UMVUE)0.127
 df523.000
 t0.180
 p0.429
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.259
 Upperbound of 95% confidence interval for Sharpe Ratio1.513
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.259
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.513
Statistics related to Sortino ratio
 Sortino ratio0.177
 Upside Potential Ratio3.688
 Upside part of mean0.413
 Downside part of mean-0.394
 Upside SD0.109
 Downside SD0.112
 N nonnegative terms50.000
 N negative terms474.000
Statistics related to linear regression on benchmark
 N of observations524.000
 Mean of predictor0.309
 Mean of criterion0.020
 SD of predictor0.208
 SD of criterion0.157
 Covariance0.000
 r0.000
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)0.020
 Mean Square Error0.025
 DF error522.000
 t(b)0.011
 p(b)0.496
 t(a)0.178
 p(a)0.430
 Lowerbound of 95% confidence interval for beta-0.064
 Upperbound of 95% confidence interval for beta0.065
 Lowerbound of 95% confidence interval for alpha-0.199
 Upperbound of 95% confidence interval for alpha0.238
 Treynor index (mean / b)54.921
 Jensen alpha (a)0.020
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.008
 SD0.157
 Sharpe ratio (Glass type estimate) 0.048
 Sharpe ratio (Hedges UMVUE)0.048
 df523.000
 t0.068
 p0.473
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.338
 Upperbound of 95% confidence interval for Sharpe Ratio1.434
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.338
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.434
Statistics related to Sortino ratio
 Sortino ratio0.066
 Upside Potential Ratio3.555
 Upside part of mean0.408
 Downside part of mean-0.400
 Upside SD0.107
 Downside SD0.115
 N nonnegative terms50.000
 N negative terms474.000
Statistics related to linear regression on benchmark
 N of observations524.000
 Mean of predictor0.287
 Mean of criterion0.008
 SD of predictor0.209
 SD of criterion0.157
 Covariance0.000
 r0.001
 b (slope, estimate of beta)0.001
 a (intercept, estimate of alpha)0.007
 Mean Square Error0.025
 DF error522.000
 t(b)0.032
 p(b)0.487
 t(a)0.065
 p(a)0.474
 Lowerbound of 95% confidence interval for beta-0.064
 Upperbound of 95% confidence interval for beta0.066
 Lowerbound of 95% confidence interval for alpha-0.212
 Upperbound of 95% confidence interval for alpha0.226
 Treynor index (mean / b)7.286
 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%)0.016
 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 observations524.000
 Minimum0.931
 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 low38.000
 Percentage of outliers low0.073
 Mean of outliers low0.981
 Number of outliers high50.000
 Percentage of outliers high0.095
 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)0.003
 Expected Shortfall (regression method)0.015
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)0.054
 Compounded annual return (geometric extrapolation)0.053
 Calmar ratio (compounded annual return / max draw down)0.209
 Compounded annual return / average of 25% largest draw downs0.209
 Compounded annual return / Expected Shortfall lognormal2.679
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 predictor0.499
 Mean of criterion-0.044
 SD of predictor0.241
 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 predictor0.469
 Mean of criterion-0.044
 SD of predictor0.242
 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 error129.000
 t(b)0.000
 p(b)0.500
 t(a)-8736798664339497.000
 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)-121384138527893952139474778456064.000
 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
 Mean0.030
 SD0.224
 Sharpe ratio (Glass type estimate) 0.134
 Sharpe ratio (Hedges UMVUE)0.129
 df23.000
 t0.189
 p0.426
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.254
 Upperbound of 95% confidence interval for Sharpe Ratio1.519
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.257
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.516
Statistics related to Sortino ratio
 Sortino ratio0.260
 Upside Potential Ratio1.654
 Upside part of mean0.191
 Downside part of mean-0.161
 Upside SD0.187
 Downside SD0.115
 N nonnegative terms3.000
 N negative terms21.000
Statistics related to linear regression on benchmark
 N of observations24.000
 Mean of predictor0.308
 Mean of criterion0.030
 SD of predictor0.188
 SD of criterion0.224
 Covariance-0.004
 r-0.102
 b (slope, estimate of beta)-0.121
 a (intercept, estimate of alpha)0.067
 Mean Square Error0.052
 DF error22.000
 t(b)-0.481
 p(b)0.682
 t(a)0.376
 p(a)0.355
 Lowerbound of 95% confidence interval for beta-0.645
 Upperbound of 95% confidence interval for beta0.402
 Lowerbound of 95% confidence interval for alpha-0.303
 Upperbound of 95% confidence interval for alpha0.438
 Treynor index (mean / b)-0.247
 Jensen alpha (a)0.067
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.008
 SD0.212
 Sharpe ratio (Glass type estimate) 0.036
 Sharpe ratio (Hedges UMVUE)0.035
 df23.000
 t0.051
 p0.480
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.350
 Upperbound of 95% confidence interval for Sharpe Ratio1.421
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.351
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.421
Statistics related to Sortino ratio
 Sortino ratio0.062
 Upside Potential Ratio1.436
 Upside part of mean0.175
 Downside part of mean-0.168
 Upside SD0.168
 Downside SD0.122
 N nonnegative terms3.000
 N negative terms21.000
Statistics related to linear regression on benchmark
 N of observations24.000
 Mean of predictor0.287
 Mean of criterion0.008
 SD of predictor0.180
 SD of criterion0.212
 Covariance-0.004
 r-0.094
 b (slope, estimate of beta)-0.110
 a (intercept, estimate of alpha)0.039
 Mean Square Error0.047
 DF error22.000
 t(b)-0.441
 p(b)0.668
 t(a)0.233
 p(a)0.409
 Lowerbound of 95% confidence interval for beta-0.629
 Upperbound of 95% confidence interval for beta0.408
 Lowerbound of 95% confidence interval for alpha-0.311
 Upperbound of 95% confidence interval for alpha0.389
 Treynor index (mean / b)-0.069
 Jensen alpha (a)0.039
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.095
 Expected Shortfall on VaR0.118
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.043
 Expected Shortfall on VaR0.086
ORDER STATISTICS
Quartiles of return rates
 Number of observations24.000
 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 41.065
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.125
 Mean of outliers low0.918
 Number of outliers high3.000
 Percentage of outliers high0.125
 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)0.108
 Expected Shortfall (regression method)0.128
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)0.054
 Compounded annual return (geometric extrapolation)0.053
 Calmar ratio (compounded annual return / max draw down)0.361
 Compounded annual return / average of 25% largest draw downs0.361
 Compounded annual return / Expected Shortfall lognormal0.449
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.020
 SD0.157
 Sharpe ratio (Glass type estimate) 0.127
 Sharpe ratio (Hedges UMVUE)0.127
 df523.000
 t0.180
 p0.429
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.259
 Upperbound of 95% confidence interval for Sharpe Ratio1.513
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.259
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.513
Statistics related to Sortino ratio
 Sortino ratio0.177
 Upside Potential Ratio3.688
 Upside part of mean0.413
 Downside part of mean-0.394
 Upside SD0.109
 Downside SD0.112
 N nonnegative terms50.000
 N negative terms474.000
Statistics related to linear regression on benchmark
 N of observations524.000
 Mean of predictor0.309
 Mean of criterion0.020
 SD of predictor0.208
 SD of criterion0.157
 Covariance0.000
 r0.000
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)0.020
 Mean Square Error0.025
 DF error522.000
 t(b)0.011
 p(b)0.496
 t(a)0.178
 p(a)0.430
 Lowerbound of 95% confidence interval for beta-0.064
 Upperbound of 95% confidence interval for beta0.065
 Lowerbound of 95% confidence interval for alpha-0.199
 Upperbound of 95% confidence interval for alpha0.238
 Treynor index (mean / b)54.921
 Jensen alpha (a)0.020
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.008
 SD0.157
 Sharpe ratio (Glass type estimate) 0.048
 Sharpe ratio (Hedges UMVUE)0.048
 df523.000
 t0.068
 p0.473
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.338
 Upperbound of 95% confidence interval for Sharpe Ratio1.434
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.338
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.434
Statistics related to Sortino ratio
 Sortino ratio0.066
 Upside Potential Ratio3.555
 Upside part of mean0.408
 Downside part of mean-0.400
 Upside SD0.107
 Downside SD0.115
 N nonnegative terms50.000
 N negative terms474.000
Statistics related to linear regression on benchmark
 N of observations524.000
 Mean of predictor0.287
 Mean of criterion0.008
 SD of predictor0.209
 SD of criterion0.157
 Covariance0.000
 r0.001
 b (slope, estimate of beta)0.001
 a (intercept, estimate of alpha)0.007
 Mean Square Error0.025
 DF error522.000
 t(b)0.032
 p(b)0.487
 t(a)0.065
 p(a)0.474
 Lowerbound of 95% confidence interval for beta-0.064
 Upperbound of 95% confidence interval for beta0.066
 Lowerbound of 95% confidence interval for alpha-0.212
 Upperbound of 95% confidence interval for alpha0.226
 Treynor index (mean / b)7.286
 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%)0.016
 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 observations524.000
 Minimum0.931
 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 low38.000
 Percentage of outliers low0.073
 Mean of outliers low0.981
 Number of outliers high50.000
 Percentage of outliers high0.095
 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)0.003
 Expected Shortfall (regression method)0.015
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)0.054
 Compounded annual return (geometric extrapolation)0.053
 Calmar ratio (compounded annual return / max draw down)0.209
 Compounded annual return / average of 25% largest draw downs0.209
 Compounded annual return / Expected Shortfall lognormal2.679
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 predictor0.499
 Mean of criterion-0.044
 SD of predictor0.241
 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 predictor0.469
 Mean of criterion-0.044
 SD of predictor0.242
 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 error129.000
 t(b)0.000
 p(b)0.500
 t(a)-8736798664339497.000
 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)-121384138527893952139474778456064.000
 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