Advanced Statistics: Bravo Tango

Advanced Statistics module contributed by Jules Ellis, C2 Member.

Jules has written a very helpful guide for these statistics.

MonthlyDaily (all)Daily (last 6 mo.)
ANALYSIS BASED ON MONTHLY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.068
 SD0.286
 Sharpe ratio (Glass type estimate) 0.239
 Sharpe ratio (Hedges UMVUE)0.226
 df15.000
 t0.275
 p0.455
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.465
 Upperbound of 95% confidence interval for Sharpe Ratio1.934
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.473
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.926
Statistics related to Sortino ratio
 Sortino ratio0.532
 Upside Potential Ratio2.152
 Upside part of mean0.276
 Downside part of mean-0.208
 Upside SD0.246
 Downside SD0.128
 N nonnegative terms3.000
 N negative terms13.000
Statistics related to linear regression on benchmark
 N of observations16.000
 Mean of predictor0.304
 Mean of criterion0.068
 SD of predictor0.197
 SD of criterion0.286
 Covariance0.003
 r0.056
 b (slope, estimate of beta)0.081
 a (intercept, estimate of alpha)0.043
 Mean Square Error0.087
 DF error14.000
 t(b)0.210
 p(b)0.472
 t(a)0.154
 p(a)0.479
 Lowerbound of 95% confidence interval for beta-0.749
 Upperbound of 95% confidence interval for beta0.911
 Lowerbound of 95% confidence interval for alpha-0.561
 Upperbound of 95% confidence interval for alpha0.648
 Treynor index (mean / b)0.840
 Jensen alpha (a)0.043
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.033
 SD0.265
 Sharpe ratio (Glass type estimate) 0.126
 Sharpe ratio (Hedges UMVUE)0.120
 df15.000
 t0.146
 p0.476
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.574
 Upperbound of 95% confidence interval for Sharpe Ratio1.822
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.578
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.818
Statistics related to Sortino ratio
 Sortino ratio0.248
 Upside Potential Ratio1.852
 Upside part of mean0.249
 Downside part of mean-0.216
 Upside SD0.219
 Downside SD0.134
 N nonnegative terms3.000
 N negative terms13.000
Statistics related to linear regression on benchmark
 N of observations16.000
 Mean of predictor0.283
 Mean of criterion0.033
 SD of predictor0.185
 SD of criterion0.265
 Covariance0.003
 r0.067
 b (slope, estimate of beta)0.096
 a (intercept, estimate of alpha)0.006
 Mean Square Error0.075
 DF error14.000
 t(b)0.252
 p(b)0.466
 t(a)0.024
 p(a)0.497
 Lowerbound of 95% confidence interval for beta-0.721
 Upperbound of 95% confidence interval for beta0.913
 Lowerbound of 95% confidence interval for alpha-0.552
 Upperbound of 95% confidence interval for alpha0.565
 Treynor index (mean / b)0.348
 Jensen alpha (a)0.006
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.116
 Expected Shortfall on VaR0.143
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.053
 Expected Shortfall on VaR0.100
ORDER STATISTICS
Quartiles of return rates
 Number of observations16.000
 Minimum0.888
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.276
 Mean of quarter 10.943
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.095
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.188
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.188
 Mean of outliers high1.126
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.090
 VaR(95%) (regression method)0.120
 Expected Shortfall (regression method)0.134
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.076
 Quartile 10.094
 Median0.112
 Quartile 30.130
 Maximum0.148
 Mean of quarter 10.076
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.148
 Inter Quartile Range0.036
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.082
 Compounded annual return (geometric extrapolation)0.081
 Calmar ratio (compounded annual return / max draw down)0.542
 Compounded annual return / average of 25% largest draw downs0.542
 Compounded annual return / Expected Shortfall lognormal0.562
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.049
 SD0.188
 Sharpe ratio (Glass type estimate) 0.264
 Sharpe ratio (Hedges UMVUE)0.263
 df467.000
 t0.307
 p0.379
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.417
 Upperbound of 95% confidence interval for Sharpe Ratio1.944
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.417
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.944
Statistics related to Sortino ratio
 Sortino ratio0.375
 Upside Potential Ratio4.761
 Upside part of mean0.627
 Downside part of mean-0.578
 Upside SD0.133
 Downside SD0.132
 N nonnegative terms54.000
 N negative terms414.000
Statistics related to linear regression on benchmark
 N of observations468.000
 Mean of predictor0.283
 Mean of criterion0.049
 SD of predictor0.179
 SD of criterion0.188
 Covariance-0.000
 r-0.005
 b (slope, estimate of beta)-0.005
 a (intercept, estimate of alpha)0.051
 Mean Square Error0.035
 DF error466.000
 t(b)-0.098
 p(b)0.539
 t(a)0.314
 p(a)0.377
 Lowerbound of 95% confidence interval for beta-0.100
 Upperbound of 95% confidence interval for beta0.090
 Lowerbound of 95% confidence interval for alpha-0.267
 Upperbound of 95% confidence interval for alpha0.368
 Treynor index (mean / b)-10.358
 Jensen alpha (a)0.051
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.032
 SD0.188
 Sharpe ratio (Glass type estimate) 0.170
 Sharpe ratio (Hedges UMVUE)0.169
 df467.000
 t0.198
 p0.422
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.511
 Upperbound of 95% confidence interval for Sharpe Ratio1.850
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.511
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.850
Statistics related to Sortino ratio
 Sortino ratio0.237
 Upside Potential Ratio4.600
 Upside part of mean0.619
 Downside part of mean-0.587
 Upside SD0.131
 Downside SD0.134
 N nonnegative terms54.000
 N negative terms414.000
Statistics related to linear regression on benchmark
 N of observations468.000
 Mean of predictor0.267
 Mean of criterion0.032
 SD of predictor0.179
 SD of criterion0.188
 Covariance-0.000
 r-0.004
 b (slope, estimate of beta)-0.004
 a (intercept, estimate of alpha)0.033
 Mean Square Error0.035
 DF error466.000
 t(b)-0.081
 p(b)0.532
 t(a)0.204
 p(a)0.419
 Lowerbound of 95% confidence interval for beta-0.099
 Upperbound of 95% confidence interval for beta0.091
 Lowerbound of 95% confidence interval for alpha-0.285
 Upperbound of 95% confidence interval for alpha0.351
 Treynor index (mean / b)-8.122
 Jensen alpha (a)0.033
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 VaR0.021
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 observations468.000
 Minimum0.946
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.071
 Mean of quarter 10.994
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.007
 Inter Quartile Range0.000
 Number outliers low43.000
 Percentage of outliers low0.092
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.115
 Mean of outliers high1.016
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.843
 VaR(95%) (moments method)0.001
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.136
 VaR(95%) (regression method)0.005
 Expected Shortfall (regression method)0.014
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations5.000
 Minimum0.001
 Quartile 10.002
 Median0.014
 Quartile 30.143
 Maximum0.254
 Mean of quarter 10.002
 Mean of quarter 20.014
 Mean of quarter 30.143
 Mean of quarter 40.254
 Inter Quartile Range0.141
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.080
 Compounded annual return (geometric extrapolation)0.079
 Calmar ratio (compounded annual return / max draw down)0.311
 Compounded annual return / average of 25% largest draw downs0.311
 Compounded annual return / Expected Shortfall lognormal3.833
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 predictor0.147
 Mean of criterion-0.044
 SD of predictor0.168
 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 predictor0.133
 Mean of criterion-0.044
 SD of predictor0.169
 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)-5590458281060146.000
 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)103402757803782683632333439893504.000
 Jensen alpha (a)-0.044
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.000
 Expected Shortfall on VaR0.000
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.000
 Expected Shortfall on VaR0.000
ORDER STATISTICS
Quartiles of return rates
 Number of observations172.000
 Minimum1.000
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.000
 Mean of quarter 11.000
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.000
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations0.000
 MinimumNA
 Quartile 1NA
 MedianNA
 Quartile 3NA
 MaximumNA
 Mean of quarter 1NA
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 4NA
 Inter Quartile Range0.000
 Number outliers low0.000
 Percentage of outliers lowNA
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers highNA
 Mean of outliers highNA
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.000
 Compounded annual return (geometric extrapolation)0.000
 Calmar ratio (compounded annual return / max draw down)NA
 Compounded annual return / average of 25% largest draw downsNA
 Compounded annual return / Expected Shortfall lognormal0.000

Advanced Statistics: Bravo Tango

Advanced Statistics module contributed by Jules Ellis, C2 Member.

Jules has written a very helpful guide for these statistics.

MonthlyDaily (all)Daily (last 6 mo.)
ANALYSIS BASED ON MONTHLY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.068
 SD0.286
 Sharpe ratio (Glass type estimate) 0.239
 Sharpe ratio (Hedges UMVUE)0.226
 df15.000
 t0.275
 p0.455
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.465
 Upperbound of 95% confidence interval for Sharpe Ratio1.934
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.473
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.926
Statistics related to Sortino ratio
 Sortino ratio0.532
 Upside Potential Ratio2.152
 Upside part of mean0.276
 Downside part of mean-0.208
 Upside SD0.246
 Downside SD0.128
 N nonnegative terms3.000
 N negative terms13.000
Statistics related to linear regression on benchmark
 N of observations16.000
 Mean of predictor0.304
 Mean of criterion0.068
 SD of predictor0.197
 SD of criterion0.286
 Covariance0.003
 r0.056
 b (slope, estimate of beta)0.081
 a (intercept, estimate of alpha)0.043
 Mean Square Error0.087
 DF error14.000
 t(b)0.210
 p(b)0.472
 t(a)0.154
 p(a)0.479
 Lowerbound of 95% confidence interval for beta-0.749
 Upperbound of 95% confidence interval for beta0.911
 Lowerbound of 95% confidence interval for alpha-0.561
 Upperbound of 95% confidence interval for alpha0.648
 Treynor index (mean / b)0.840
 Jensen alpha (a)0.043
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.033
 SD0.265
 Sharpe ratio (Glass type estimate) 0.126
 Sharpe ratio (Hedges UMVUE)0.120
 df15.000
 t0.146
 p0.476
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.574
 Upperbound of 95% confidence interval for Sharpe Ratio1.822
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.578
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.818
Statistics related to Sortino ratio
 Sortino ratio0.248
 Upside Potential Ratio1.852
 Upside part of mean0.249
 Downside part of mean-0.216
 Upside SD0.219
 Downside SD0.134
 N nonnegative terms3.000
 N negative terms13.000
Statistics related to linear regression on benchmark
 N of observations16.000
 Mean of predictor0.283
 Mean of criterion0.033
 SD of predictor0.185
 SD of criterion0.265
 Covariance0.003
 r0.067
 b (slope, estimate of beta)0.096
 a (intercept, estimate of alpha)0.006
 Mean Square Error0.075
 DF error14.000
 t(b)0.252
 p(b)0.466
 t(a)0.024
 p(a)0.497
 Lowerbound of 95% confidence interval for beta-0.721
 Upperbound of 95% confidence interval for beta0.913
 Lowerbound of 95% confidence interval for alpha-0.552
 Upperbound of 95% confidence interval for alpha0.565
 Treynor index (mean / b)0.348
 Jensen alpha (a)0.006
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.116
 Expected Shortfall on VaR0.143
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.053
 Expected Shortfall on VaR0.100
ORDER STATISTICS
Quartiles of return rates
 Number of observations16.000
 Minimum0.888
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.276
 Mean of quarter 10.943
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.095
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.188
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.188
 Mean of outliers high1.126
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)-1.090
 VaR(95%) (regression method)0.120
 Expected Shortfall (regression method)0.134
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.076
 Quartile 10.094
 Median0.112
 Quartile 30.130
 Maximum0.148
 Mean of quarter 10.076
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.148
 Inter Quartile Range0.036
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.082
 Compounded annual return (geometric extrapolation)0.081
 Calmar ratio (compounded annual return / max draw down)0.542
 Compounded annual return / average of 25% largest draw downs0.542
 Compounded annual return / Expected Shortfall lognormal0.562
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.049
 SD0.188
 Sharpe ratio (Glass type estimate) 0.264
 Sharpe ratio (Hedges UMVUE)0.263
 df467.000
 t0.307
 p0.379
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.417
 Upperbound of 95% confidence interval for Sharpe Ratio1.944
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.417
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.944
Statistics related to Sortino ratio
 Sortino ratio0.375
 Upside Potential Ratio4.761
 Upside part of mean0.627
 Downside part of mean-0.578
 Upside SD0.133
 Downside SD0.132
 N nonnegative terms54.000
 N negative terms414.000
Statistics related to linear regression on benchmark
 N of observations468.000
 Mean of predictor0.283
 Mean of criterion0.049
 SD of predictor0.179
 SD of criterion0.188
 Covariance-0.000
 r-0.005
 b (slope, estimate of beta)-0.005
 a (intercept, estimate of alpha)0.051
 Mean Square Error0.035
 DF error466.000
 t(b)-0.098
 p(b)0.539
 t(a)0.314
 p(a)0.377
 Lowerbound of 95% confidence interval for beta-0.100
 Upperbound of 95% confidence interval for beta0.090
 Lowerbound of 95% confidence interval for alpha-0.267
 Upperbound of 95% confidence interval for alpha0.368
 Treynor index (mean / b)-10.358
 Jensen alpha (a)0.051
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.032
 SD0.188
 Sharpe ratio (Glass type estimate) 0.170
 Sharpe ratio (Hedges UMVUE)0.169
 df467.000
 t0.198
 p0.422
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.511
 Upperbound of 95% confidence interval for Sharpe Ratio1.850
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.511
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.850
Statistics related to Sortino ratio
 Sortino ratio0.237
 Upside Potential Ratio4.600
 Upside part of mean0.619
 Downside part of mean-0.587
 Upside SD0.131
 Downside SD0.134
 N nonnegative terms54.000
 N negative terms414.000
Statistics related to linear regression on benchmark
 N of observations468.000
 Mean of predictor0.267
 Mean of criterion0.032
 SD of predictor0.179
 SD of criterion0.188
 Covariance-0.000
 r-0.004
 b (slope, estimate of beta)-0.004
 a (intercept, estimate of alpha)0.033
 Mean Square Error0.035
 DF error466.000
 t(b)-0.081
 p(b)0.532
 t(a)0.204
 p(a)0.419
 Lowerbound of 95% confidence interval for beta-0.099
 Upperbound of 95% confidence interval for beta0.091
 Lowerbound of 95% confidence interval for alpha-0.285
 Upperbound of 95% confidence interval for alpha0.351
 Treynor index (mean / b)-8.122
 Jensen alpha (a)0.033
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 VaR0.021
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 observations468.000
 Minimum0.946
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.071
 Mean of quarter 10.994
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.007
 Inter Quartile Range0.000
 Number outliers low43.000
 Percentage of outliers low0.092
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.115
 Mean of outliers high1.016
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.843
 VaR(95%) (moments method)0.001
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.136
 VaR(95%) (regression method)0.005
 Expected Shortfall (regression method)0.014
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations5.000
 Minimum0.001
 Quartile 10.002
 Median0.014
 Quartile 30.143
 Maximum0.254
 Mean of quarter 10.002
 Mean of quarter 20.014
 Mean of quarter 30.143
 Mean of quarter 40.254
 Inter Quartile Range0.141
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high0.000
 Percentage of outliers high0.000
 Mean of outliers highNA
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)NA
 VaR(95%) (moments method)NA
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)NA
 VaR(95%) (regression method)NA
 Expected Shortfall (regression method)NA
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.080
 Compounded annual return (geometric extrapolation)0.079
 Calmar ratio (compounded annual return / max draw down)0.311
 Compounded annual return / average of 25% largest draw downs0.311
 Compounded annual return / Expected Shortfall lognormal3.833
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 predictor0.147
 Mean of criterion-0.044
 SD of predictor0.168
 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 predictor0.133
 Mean of criterion-0.044
 SD of predictor0.169
 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)-5590458281060146.000
 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)103402757803782683632333439893504.000
 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