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
 Mean0.056
 SD0.269
 Sharpe ratio (Glass type estimate) 0.207
 Sharpe ratio (Hedges UMVUE)0.198
 df17.000
 t0.254
 p0.461
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.397
 Upperbound of 95% confidence interval for Sharpe Ratio1.806
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.404
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.800
Statistics related to Sortino ratio
 Sortino ratio0.461
 Upside Potential Ratio2.027
 Upside part of mean0.245
 Downside part of mean-0.189
 Upside SD0.232
 Downside SD0.121
 N nonnegative terms3.000
 N negative terms15.000
Statistics related to linear regression on benchmark
 N of observations18.000
 Mean of predictor0.272
 Mean of criterion0.056
 SD of predictor0.225
 SD of criterion0.269
 Covariance0.003
 r0.051
 b (slope, estimate of beta)0.060
 a (intercept, estimate of alpha)0.039
 Mean Square Error0.077
 DF error16.000
 t(b)0.203
 p(b)0.475
 t(a)0.164
 p(a)0.480
 Lowerbound of 95% confidence interval for beta-0.571
 Upperbound of 95% confidence interval for beta0.691
 Lowerbound of 95% confidence interval for alpha-0.470
 Upperbound of 95% confidence interval for alpha0.548
 Treynor index (mean / b)0.923
 Jensen alpha (a)0.039
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.025
 SD0.249
 Sharpe ratio (Glass type estimate) 0.100
 Sharpe ratio (Hedges UMVUE)0.095
 df17.000
 t0.122
 p0.481
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.502
 Upperbound of 95% confidence interval for Sharpe Ratio1.699
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.505
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.696
Statistics related to Sortino ratio
 Sortino ratio0.196
 Upside Potential Ratio1.745
 Upside part of mean0.221
 Downside part of mean-0.197
 Upside SD0.206
 Downside SD0.127
 N nonnegative terms3.000
 N negative terms15.000
Statistics related to linear regression on benchmark
 N of observations18.000
 Mean of predictor0.246
 Mean of criterion0.025
 SD of predictor0.217
 SD of criterion0.249
 Covariance0.003
 r0.058
 b (slope, estimate of beta)0.067
 a (intercept, estimate of alpha)0.008
 Mean Square Error0.066
 DF error16.000
 t(b)0.233
 p(b)0.471
 t(a)0.038
 p(a)0.495
 Lowerbound of 95% confidence interval for beta-0.541
 Upperbound of 95% confidence interval for beta0.674
 Lowerbound of 95% confidence interval for alpha-0.460
 Upperbound of 95% confidence interval for alpha0.476
 Treynor index (mean / b)0.372
 Jensen alpha (a)0.008
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.110
 Expected Shortfall on VaR0.136
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.049
 Expected Shortfall on VaR0.094
ORDER STATISTICS
Quartiles of return rates
 Number of observations18.000
 Minimum0.888
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.276
 Mean of quarter 10.954
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.076
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.167
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.167
 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)0.117
 Expected Shortfall (regression method)0.133
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)0.072
 Compounded annual return (geometric extrapolation)0.071
 Calmar ratio (compounded annual return / max draw down)0.480
 Compounded annual return / average of 25% largest draw downs0.480
 Compounded annual return / Expected Shortfall lognormal0.525
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.039
 SD0.176
 Sharpe ratio (Glass type estimate) 0.218
 Sharpe ratio (Hedges UMVUE)0.218
 df529.000
 t0.271
 p0.393
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.361
 Upperbound of 95% confidence interval for Sharpe Ratio1.797
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.361
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.797
Statistics related to Sortino ratio
 Sortino ratio0.311
 Upside Potential Ratio4.473
 Upside part of mean0.554
 Downside part of mean-0.515
 Upside SD0.125
 Downside SD0.124
 N nonnegative terms54.000
 N negative terms476.000
Statistics related to linear regression on benchmark
 N of observations530.000
 Mean of predictor0.178
 Mean of criterion0.039
 SD of predictor0.209
 SD of criterion0.176
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.003
 a (intercept, estimate of alpha)0.039
 Mean Square Error0.031
 DF error528.000
 t(b)-0.069
 p(b)0.527
 t(a)0.274
 p(a)0.392
 Lowerbound of 95% confidence interval for beta-0.075
 Upperbound of 95% confidence interval for beta0.070
 Lowerbound of 95% confidence interval for alpha-0.241
 Upperbound of 95% confidence interval for alpha0.319
 Treynor index (mean / b)-15.244
 Jensen alpha (a)0.039
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.023
 SD0.176
 Sharpe ratio (Glass type estimate) 0.130
 Sharpe ratio (Hedges UMVUE)0.130
 df529.000
 t0.162
 p0.436
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.449
 Upperbound of 95% confidence interval for Sharpe Ratio1.709
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.449
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.709
Statistics related to Sortino ratio
 Sortino ratio0.182
 Upside Potential Ratio4.323
 Upside part of mean0.546
 Downside part of mean-0.523
 Upside SD0.123
 Downside SD0.126
 N nonnegative terms54.000
 N negative terms476.000
Statistics related to linear regression on benchmark
 N of observations530.000
 Mean of predictor0.156
 Mean of criterion0.023
 SD of predictor0.209
 SD of criterion0.176
 Covariance-0.000
 r-0.002
 b (slope, estimate of beta)-0.002
 a (intercept, estimate of alpha)0.023
 Mean Square Error0.031
 DF error528.000
 t(b)-0.056
 p(b)0.522
 t(a)0.164
 p(a)0.435
 Lowerbound of 95% confidence interval for beta-0.074
 Upperbound of 95% confidence interval for beta0.070
 Lowerbound of 95% confidence interval for alpha-0.256
 Upperbound of 95% confidence interval for alpha0.303
 Treynor index (mean / b)-11.231
 Jensen alpha (a)0.023
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.015
 Expected Shortfall on VaR0.019
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.005
 Expected Shortfall on VaR0.011
ORDER STATISTICS
Quartiles of return rates
 Number of observations530.000
 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 41.006
 Inter Quartile Range0.000
 Number outliers low43.000
 Percentage of outliers low0.081
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.102
 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)0.004
 Expected Shortfall (regression method)0.013
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)0.071
 Compounded annual return (geometric extrapolation)0.069
 Calmar ratio (compounded annual return / max draw down)0.273
 Compounded annual return / average of 25% largest draw downs0.273
 Compounded annual return / Expected Shortfall lognormal3.580
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 predictor-0.048
 Mean of criterion-0.044
 SD of predictor0.260
 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 predictor-0.081
 Mean of criterion-0.044
 SD of predictor0.260
 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)-5594744689745814.000
 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)151801489384712675590394148290560.000
 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
 Mean0.056
 SD0.269
 Sharpe ratio (Glass type estimate) 0.207
 Sharpe ratio (Hedges UMVUE)0.198
 df17.000
 t0.254
 p0.461
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.397
 Upperbound of 95% confidence interval for Sharpe Ratio1.806
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.404
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.800
Statistics related to Sortino ratio
 Sortino ratio0.461
 Upside Potential Ratio2.027
 Upside part of mean0.245
 Downside part of mean-0.189
 Upside SD0.232
 Downside SD0.121
 N nonnegative terms3.000
 N negative terms15.000
Statistics related to linear regression on benchmark
 N of observations18.000
 Mean of predictor0.272
 Mean of criterion0.056
 SD of predictor0.225
 SD of criterion0.269
 Covariance0.003
 r0.051
 b (slope, estimate of beta)0.060
 a (intercept, estimate of alpha)0.039
 Mean Square Error0.077
 DF error16.000
 t(b)0.203
 p(b)0.475
 t(a)0.164
 p(a)0.480
 Lowerbound of 95% confidence interval for beta-0.571
 Upperbound of 95% confidence interval for beta0.691
 Lowerbound of 95% confidence interval for alpha-0.470
 Upperbound of 95% confidence interval for alpha0.548
 Treynor index (mean / b)0.923
 Jensen alpha (a)0.039
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.025
 SD0.249
 Sharpe ratio (Glass type estimate) 0.100
 Sharpe ratio (Hedges UMVUE)0.095
 df17.000
 t0.122
 p0.481
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.502
 Upperbound of 95% confidence interval for Sharpe Ratio1.699
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.505
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.696
Statistics related to Sortino ratio
 Sortino ratio0.196
 Upside Potential Ratio1.745
 Upside part of mean0.221
 Downside part of mean-0.197
 Upside SD0.206
 Downside SD0.127
 N nonnegative terms3.000
 N negative terms15.000
Statistics related to linear regression on benchmark
 N of observations18.000
 Mean of predictor0.246
 Mean of criterion0.025
 SD of predictor0.217
 SD of criterion0.249
 Covariance0.003
 r0.058
 b (slope, estimate of beta)0.067
 a (intercept, estimate of alpha)0.008
 Mean Square Error0.066
 DF error16.000
 t(b)0.233
 p(b)0.471
 t(a)0.038
 p(a)0.495
 Lowerbound of 95% confidence interval for beta-0.541
 Upperbound of 95% confidence interval for beta0.674
 Lowerbound of 95% confidence interval for alpha-0.460
 Upperbound of 95% confidence interval for alpha0.476
 Treynor index (mean / b)0.372
 Jensen alpha (a)0.008
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.110
 Expected Shortfall on VaR0.136
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.049
 Expected Shortfall on VaR0.094
ORDER STATISTICS
Quartiles of return rates
 Number of observations18.000
 Minimum0.888
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.276
 Mean of quarter 10.954
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.076
 Inter Quartile Range0.000
 Number outliers low3.000
 Percentage of outliers low0.167
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.167
 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)0.117
 Expected Shortfall (regression method)0.133
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)0.072
 Compounded annual return (geometric extrapolation)0.071
 Calmar ratio (compounded annual return / max draw down)0.480
 Compounded annual return / average of 25% largest draw downs0.480
 Compounded annual return / Expected Shortfall lognormal0.525
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.039
 SD0.176
 Sharpe ratio (Glass type estimate) 0.218
 Sharpe ratio (Hedges UMVUE)0.218
 df529.000
 t0.271
 p0.393
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.361
 Upperbound of 95% confidence interval for Sharpe Ratio1.797
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.361
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.797
Statistics related to Sortino ratio
 Sortino ratio0.311
 Upside Potential Ratio4.473
 Upside part of mean0.554
 Downside part of mean-0.515
 Upside SD0.125
 Downside SD0.124
 N nonnegative terms54.000
 N negative terms476.000
Statistics related to linear regression on benchmark
 N of observations530.000
 Mean of predictor0.178
 Mean of criterion0.039
 SD of predictor0.209
 SD of criterion0.176
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.003
 a (intercept, estimate of alpha)0.039
 Mean Square Error0.031
 DF error528.000
 t(b)-0.069
 p(b)0.527
 t(a)0.274
 p(a)0.392
 Lowerbound of 95% confidence interval for beta-0.075
 Upperbound of 95% confidence interval for beta0.070
 Lowerbound of 95% confidence interval for alpha-0.241
 Upperbound of 95% confidence interval for alpha0.319
 Treynor index (mean / b)-15.244
 Jensen alpha (a)0.039
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.023
 SD0.176
 Sharpe ratio (Glass type estimate) 0.130
 Sharpe ratio (Hedges UMVUE)0.130
 df529.000
 t0.162
 p0.436
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.449
 Upperbound of 95% confidence interval for Sharpe Ratio1.709
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.449
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.709
Statistics related to Sortino ratio
 Sortino ratio0.182
 Upside Potential Ratio4.323
 Upside part of mean0.546
 Downside part of mean-0.523
 Upside SD0.123
 Downside SD0.126
 N nonnegative terms54.000
 N negative terms476.000
Statistics related to linear regression on benchmark
 N of observations530.000
 Mean of predictor0.156
 Mean of criterion0.023
 SD of predictor0.209
 SD of criterion0.176
 Covariance-0.000
 r-0.002
 b (slope, estimate of beta)-0.002
 a (intercept, estimate of alpha)0.023
 Mean Square Error0.031
 DF error528.000
 t(b)-0.056
 p(b)0.522
 t(a)0.164
 p(a)0.435
 Lowerbound of 95% confidence interval for beta-0.074
 Upperbound of 95% confidence interval for beta0.070
 Lowerbound of 95% confidence interval for alpha-0.256
 Upperbound of 95% confidence interval for alpha0.303
 Treynor index (mean / b)-11.231
 Jensen alpha (a)0.023
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.015
 Expected Shortfall on VaR0.019
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.005
 Expected Shortfall on VaR0.011
ORDER STATISTICS
Quartiles of return rates
 Number of observations530.000
 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 41.006
 Inter Quartile Range0.000
 Number outliers low43.000
 Percentage of outliers low0.081
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.102
 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)0.004
 Expected Shortfall (regression method)0.013
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)0.071
 Compounded annual return (geometric extrapolation)0.069
 Calmar ratio (compounded annual return / max draw down)0.273
 Compounded annual return / average of 25% largest draw downs0.273
 Compounded annual return / Expected Shortfall lognormal3.580
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 predictor-0.048
 Mean of criterion-0.044
 SD of predictor0.260
 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 predictor-0.081
 Mean of criterion-0.044
 SD of predictor0.260
 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)-5594744689745814.000
 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)151801489384712675590394148290560.000
 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