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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
 Mean0.033
 SD0.229
 Sharpe ratio (Glass type estimate) 0.145
 Sharpe ratio (Hedges UMVUE)0.140
 df22.000
 t0.201
 p0.421
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.273
 Upperbound of 95% confidence interval for Sharpe Ratio1.560
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.276
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.556
Statistics related to Sortino ratio
 Sortino ratio0.282
 Upside Potential Ratio1.690
 Upside part of mean0.199
 Downside part of mean-0.166
 Upside SD0.191
 Downside SD0.118
 N nonnegative terms3.000
 N negative terms20.000
Statistics related to linear regression on benchmark
 N of observations23.000
 Mean of predictor0.325
 Mean of criterion0.033
 SD of predictor0.191
 SD of criterion0.229
 Covariance-0.005
 r-0.105
 b (slope, estimate of beta)-0.126
 a (intercept, estimate of alpha)0.074
 Mean Square Error0.054
 DF error21.000
 t(b)-0.486
 p(b)0.567
 t(a)0.394
 p(a)0.445
 Lowerbound of 95% confidence interval for beta-0.668
 Upperbound of 95% confidence interval for beta0.415
 Lowerbound of 95% confidence interval for alpha-0.317
 Upperbound of 95% confidence interval for alpha0.466
 Treynor index (mean / b)-0.263
 Jensen alpha (a)0.074
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.010
 SD0.217
 Sharpe ratio (Glass type estimate) 0.045
 Sharpe ratio (Hedges UMVUE)0.044
 df22.000
 t0.063
 p0.475
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.371
 Upperbound of 95% confidence interval for Sharpe Ratio1.461
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.372
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.460
Statistics related to Sortino ratio
 Sortino ratio0.079
 Upside Potential Ratio1.468
 Upside part of mean0.183
 Downside part of mean-0.173
 Upside SD0.172
 Downside SD0.125
 N nonnegative terms3.000
 N negative terms20.000
Statistics related to linear regression on benchmark
 N of observations23.000
 Mean of predictor0.303
 Mean of criterion0.010
 SD of predictor0.183
 SD of criterion0.217
 Covariance-0.004
 r-0.096
 b (slope, estimate of beta)-0.114
 a (intercept, estimate of alpha)0.044
 Mean Square Error0.049
 DF error21.000
 t(b)-0.443
 p(b)0.561
 t(a)0.250
 p(a)0.465
 Lowerbound of 95% confidence interval for beta-0.651
 Upperbound of 95% confidence interval for beta0.422
 Lowerbound of 95% confidence interval for alpha-0.325
 Upperbound of 95% confidence interval for alpha0.414
 Treynor index (mean / b)-0.086
 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%)0.097
 Expected Shortfall on VaR0.120
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.044
 Expected Shortfall on VaR0.088
ORDER STATISTICS
Quartiles of return rates
 Number of observations23.000
 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 low0.130
 Mean of outliers low0.918
 Number of outliers high3.000
 Percentage of outliers high0.130
 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)0.110
 Expected Shortfall (regression method)0.129
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)0.057
 Compounded annual return (geometric extrapolation)0.055
 Calmar ratio (compounded annual return / max draw down)0.377
 Compounded annual return / average of 25% largest draw downs0.377
 Compounded annual return / Expected Shortfall lognormal0.460
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.022
 SD0.160
 Sharpe ratio (Glass type estimate) 0.140
 Sharpe ratio (Hedges UMVUE)0.140
 df503.000
 t0.195
 p0.423
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.273
 Upperbound of 95% confidence interval for Sharpe Ratio1.553
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.273
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.553
Statistics related to Sortino ratio
 Sortino ratio0.196
 Upside Potential Ratio3.761
 Upside part of mean0.430
 Downside part of mean-0.407
 Upside SD0.111
 Downside SD0.114
 N nonnegative terms50.000
 N negative terms454.000
Statistics related to linear regression on benchmark
 N of observations504.000
 Mean of predictor0.325
 Mean of criterion0.022
 SD of predictor0.201
 SD of criterion0.160
 Covariance0.000
 r0.000
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)0.022
 Mean Square Error0.026
 DF error502.000
 t(b)0.009
 p(b)0.497
 t(a)0.193
 p(a)0.424
 Lowerbound of 95% confidence interval for beta-0.069
 Upperbound of 95% confidence interval for beta0.070
 Lowerbound of 95% confidence interval for alpha-0.205
 Upperbound of 95% confidence interval for alpha0.250
 Treynor index (mean / b)73.625
 Jensen alpha (a)0.022
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.010
 SD0.160
 Sharpe ratio (Glass type estimate) 0.060
 Sharpe ratio (Hedges UMVUE)0.060
 df503.000
 t0.084
 p0.467
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.353
 Upperbound of 95% confidence interval for Sharpe Ratio1.473
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.353
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.473
Statistics related to Sortino ratio
 Sortino ratio0.083
 Upside Potential Ratio3.625
 Upside part of mean0.424
 Downside part of mean-0.414
 Upside SD0.109
 Downside SD0.117
 N nonnegative terms50.000
 N negative terms454.000
Statistics related to linear regression on benchmark
 N of observations504.000
 Mean of predictor0.305
 Mean of criterion0.010
 SD of predictor0.201
 SD of criterion0.160
 Covariance0.000
 r0.001
 b (slope, estimate of beta)0.001
 a (intercept, estimate of alpha)0.009
 Mean Square Error0.026
 DF error502.000
 t(b)0.030
 p(b)0.488
 t(a)0.080
 p(a)0.468
 Lowerbound of 95% confidence interval for beta-0.069
 Upperbound of 95% confidence interval for beta0.071
 Lowerbound of 95% confidence interval for alpha-0.219
 Upperbound of 95% confidence interval for alpha0.237
 Treynor index (mean / b)8.897
 Jensen alpha (a)0.009
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 observations504.000
 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 low0.075
 Mean of outliers low0.981
 Number of outliers high50.000
 Percentage of outliers high0.099
 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)0.015
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)0.057
 Compounded annual return (geometric extrapolation)0.055
 Calmar ratio (compounded annual return / max draw down)0.217
 Compounded annual return / average of 25% largest draw downs0.217
 Compounded annual return / Expected Shortfall lognormal2.736
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 predictor0.643
 Mean of criterion-0.044
 SD of predictor0.227
 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 predictor0.617
 Mean of criterion-0.044
 SD of predictor0.226
 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)-8677010400355519.000
 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)186146690201850415905355660787712.000
 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
 Mean0.033
 SD0.229
 Sharpe ratio (Glass type estimate) 0.145
 Sharpe ratio (Hedges UMVUE)0.140
 df22.000
 t0.201
 p0.421
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.273
 Upperbound of 95% confidence interval for Sharpe Ratio1.560
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.276
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.556
Statistics related to Sortino ratio
 Sortino ratio0.282
 Upside Potential Ratio1.690
 Upside part of mean0.199
 Downside part of mean-0.166
 Upside SD0.191
 Downside SD0.118
 N nonnegative terms3.000
 N negative terms20.000
Statistics related to linear regression on benchmark
 N of observations23.000
 Mean of predictor0.325
 Mean of criterion0.033
 SD of predictor0.191
 SD of criterion0.229
 Covariance-0.005
 r-0.105
 b (slope, estimate of beta)-0.126
 a (intercept, estimate of alpha)0.074
 Mean Square Error0.054
 DF error21.000
 t(b)-0.486
 p(b)0.567
 t(a)0.394
 p(a)0.445
 Lowerbound of 95% confidence interval for beta-0.668
 Upperbound of 95% confidence interval for beta0.415
 Lowerbound of 95% confidence interval for alpha-0.317
 Upperbound of 95% confidence interval for alpha0.466
 Treynor index (mean / b)-0.263
 Jensen alpha (a)0.074
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.010
 SD0.217
 Sharpe ratio (Glass type estimate) 0.045
 Sharpe ratio (Hedges UMVUE)0.044
 df22.000
 t0.063
 p0.475
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.371
 Upperbound of 95% confidence interval for Sharpe Ratio1.461
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.372
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.460
Statistics related to Sortino ratio
 Sortino ratio0.079
 Upside Potential Ratio1.468
 Upside part of mean0.183
 Downside part of mean-0.173
 Upside SD0.172
 Downside SD0.125
 N nonnegative terms3.000
 N negative terms20.000
Statistics related to linear regression on benchmark
 N of observations23.000
 Mean of predictor0.303
 Mean of criterion0.010
 SD of predictor0.183
 SD of criterion0.217
 Covariance-0.004
 r-0.096
 b (slope, estimate of beta)-0.114
 a (intercept, estimate of alpha)0.044
 Mean Square Error0.049
 DF error21.000
 t(b)-0.443
 p(b)0.561
 t(a)0.250
 p(a)0.465
 Lowerbound of 95% confidence interval for beta-0.651
 Upperbound of 95% confidence interval for beta0.422
 Lowerbound of 95% confidence interval for alpha-0.325
 Upperbound of 95% confidence interval for alpha0.414
 Treynor index (mean / b)-0.086
 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%)0.097
 Expected Shortfall on VaR0.120
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.044
 Expected Shortfall on VaR0.088
ORDER STATISTICS
Quartiles of return rates
 Number of observations23.000
 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 low0.130
 Mean of outliers low0.918
 Number of outliers high3.000
 Percentage of outliers high0.130
 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)0.110
 Expected Shortfall (regression method)0.129
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)0.057
 Compounded annual return (geometric extrapolation)0.055
 Calmar ratio (compounded annual return / max draw down)0.377
 Compounded annual return / average of 25% largest draw downs0.377
 Compounded annual return / Expected Shortfall lognormal0.460
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.022
 SD0.160
 Sharpe ratio (Glass type estimate) 0.140
 Sharpe ratio (Hedges UMVUE)0.140
 df503.000
 t0.195
 p0.423
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.273
 Upperbound of 95% confidence interval for Sharpe Ratio1.553
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.273
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.553
Statistics related to Sortino ratio
 Sortino ratio0.196
 Upside Potential Ratio3.761
 Upside part of mean0.430
 Downside part of mean-0.407
 Upside SD0.111
 Downside SD0.114
 N nonnegative terms50.000
 N negative terms454.000
Statistics related to linear regression on benchmark
 N of observations504.000
 Mean of predictor0.325
 Mean of criterion0.022
 SD of predictor0.201
 SD of criterion0.160
 Covariance0.000
 r0.000
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)0.022
 Mean Square Error0.026
 DF error502.000
 t(b)0.009
 p(b)0.497
 t(a)0.193
 p(a)0.424
 Lowerbound of 95% confidence interval for beta-0.069
 Upperbound of 95% confidence interval for beta0.070
 Lowerbound of 95% confidence interval for alpha-0.205
 Upperbound of 95% confidence interval for alpha0.250
 Treynor index (mean / b)73.625
 Jensen alpha (a)0.022
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.010
 SD0.160
 Sharpe ratio (Glass type estimate) 0.060
 Sharpe ratio (Hedges UMVUE)0.060
 df503.000
 t0.084
 p0.467
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.353
 Upperbound of 95% confidence interval for Sharpe Ratio1.473
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.353
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.473
Statistics related to Sortino ratio
 Sortino ratio0.083
 Upside Potential Ratio3.625
 Upside part of mean0.424
 Downside part of mean-0.414
 Upside SD0.109
 Downside SD0.117
 N nonnegative terms50.000
 N negative terms454.000
Statistics related to linear regression on benchmark
 N of observations504.000
 Mean of predictor0.305
 Mean of criterion0.010
 SD of predictor0.201
 SD of criterion0.160
 Covariance0.000
 r0.001
 b (slope, estimate of beta)0.001
 a (intercept, estimate of alpha)0.009
 Mean Square Error0.026
 DF error502.000
 t(b)0.030
 p(b)0.488
 t(a)0.080
 p(a)0.468
 Lowerbound of 95% confidence interval for beta-0.069
 Upperbound of 95% confidence interval for beta0.071
 Lowerbound of 95% confidence interval for alpha-0.219
 Upperbound of 95% confidence interval for alpha0.237
 Treynor index (mean / b)8.897
 Jensen alpha (a)0.009
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 observations504.000
 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 low0.075
 Mean of outliers low0.981
 Number of outliers high50.000
 Percentage of outliers high0.099
 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)0.015
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)0.057
 Compounded annual return (geometric extrapolation)0.055
 Calmar ratio (compounded annual return / max draw down)0.217
 Compounded annual return / average of 25% largest draw downs0.217
 Compounded annual return / Expected Shortfall lognormal2.736
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 predictor0.643
 Mean of criterion-0.044
 SD of predictor0.227
 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 predictor0.617
 Mean of criterion-0.044
 SD of predictor0.226
 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)-8677010400355519.000
 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)186146690201850415905355660787712.000
 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