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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
 Mean0.046
 SD0.254
 Sharpe ratio (Glass type estimate) 0.180
 Sharpe ratio (Hedges UMVUE)0.173
 df19.000
 t0.232
 p0.466
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.342
 Upperbound of 95% confidence interval for Sharpe Ratio1.697
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.347
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.692
Statistics related to Sortino ratio
 Sortino ratio0.398
 Upside Potential Ratio1.922
 Upside part of mean0.221
 Downside part of mean-0.175
 Upside SD0.220
 Downside SD0.115
 N nonnegative terms3.000
 N negative terms17.000
Statistics related to linear regression on benchmark
 N of observations20.000
 Mean of predictor0.262
 Mean of criterion0.046
 SD of predictor0.219
 SD of criterion0.254
 Covariance0.003
 r0.051
 b (slope, estimate of beta)0.059
 a (intercept, estimate of alpha)0.030
 Mean Square Error0.068
 DF error18.000
 t(b)0.215
 p(b)0.475
 t(a)0.141
 p(a)0.483
 Lowerbound of 95% confidence interval for beta-0.515
 Upperbound of 95% confidence interval for beta0.633
 Lowerbound of 95% confidence interval for alpha-0.420
 Upperbound of 95% confidence interval for alpha0.481
 Treynor index (mean / b)0.777
 Jensen alpha (a)0.030
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.018
 SD0.236
 Sharpe ratio (Glass type estimate) 0.076
 Sharpe ratio (Hedges UMVUE)0.073
 df19.000
 t0.098
 p0.486
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.443
 Upperbound of 95% confidence interval for Sharpe Ratio1.593
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.445
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.591
Statistics related to Sortino ratio
 Sortino ratio0.149
 Upside Potential Ratio1.654
 Upside part of mean0.199
 Downside part of mean-0.181
 Upside SD0.196
 Downside SD0.120
 N nonnegative terms3.000
 N negative terms17.000
Statistics related to linear regression on benchmark
 N of observations20.000
 Mean of predictor0.237
 Mean of criterion0.018
 SD of predictor0.211
 SD of criterion0.236
 Covariance0.003
 r0.057
 b (slope, estimate of beta)0.064
 a (intercept, estimate of alpha)0.003
 Mean Square Error0.058
 DF error18.000
 t(b)0.244
 p(b)0.471
 t(a)0.014
 p(a)0.498
 Lowerbound of 95% confidence interval for beta-0.488
 Upperbound of 95% confidence interval for beta0.616
 Lowerbound of 95% confidence interval for alpha-0.412
 Upperbound of 95% confidence interval for alpha0.417
 Treynor index (mean / b)0.279
 Jensen alpha (a)0.003
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.105
 Expected Shortfall on VaR0.129
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.046
 Expected Shortfall on VaR0.089
ORDER STATISTICS
Quartiles of return rates
 Number of observations20.000
 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 low0.150
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.150
 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)0.113
 Expected Shortfall (regression method)0.131
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)0.065
 Compounded annual return (geometric extrapolation)0.064
 Calmar ratio (compounded annual return / max draw down)0.430
 Compounded annual return / average of 25% largest draw downs0.430
 Compounded annual return / Expected Shortfall lognormal0.494
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.031
 SD0.168
 Sharpe ratio (Glass type estimate) 0.183
 Sharpe ratio (Hedges UMVUE)0.182
 df585.000
 t0.238
 p0.406
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.319
 Upperbound of 95% confidence interval for Sharpe Ratio1.684
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.319
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.684
Statistics related to Sortino ratio
 Sortino ratio0.260
 Upside Potential Ratio4.254
 Upside part of mean0.501
 Downside part of mean-0.470
 Upside SD0.119
 Downside SD0.118
 N nonnegative terms54.000
 N negative terms532.000
Statistics related to linear regression on benchmark
 N of observations586.000
 Mean of predictor0.250
 Mean of criterion0.031
 SD of predictor0.209
 SD of criterion0.168
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.003
 a (intercept, estimate of alpha)0.031
 Mean Square Error0.028
 DF error584.000
 t(b)-0.080
 p(b)0.532
 t(a)0.243
 p(a)0.404
 Lowerbound of 95% confidence interval for beta-0.068
 Upperbound of 95% confidence interval for beta0.063
 Lowerbound of 95% confidence interval for alpha-0.222
 Upperbound of 95% confidence interval for alpha0.284
 Treynor index (mean / b)-11.539
 Jensen alpha (a)0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.017
 SD0.168
 Sharpe ratio (Glass type estimate) 0.099
 Sharpe ratio (Hedges UMVUE)0.099
 df585.000
 t0.129
 p0.449
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.403
 Upperbound of 95% confidence interval for Sharpe Ratio1.601
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.403
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.600
Statistics related to Sortino ratio
 Sortino ratio0.138
 Upside Potential Ratio4.111
 Upside part of mean0.494
 Downside part of mean-0.477
 Upside SD0.117
 Downside SD0.120
 N nonnegative terms54.000
 N negative terms532.000
Statistics related to linear regression on benchmark
 N of observations586.000
 Mean of predictor0.228
 Mean of criterion0.017
 SD of predictor0.209
 SD of criterion0.168
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.002
 a (intercept, estimate of alpha)0.017
 Mean Square Error0.028
 DF error584.000
 t(b)-0.065
 p(b)0.526
 t(a)0.133
 p(a)0.447
 Lowerbound of 95% confidence interval for beta-0.067
 Upperbound of 95% confidence interval for beta0.063
 Lowerbound of 95% confidence interval for alpha-0.236
 Upperbound of 95% confidence interval for alpha0.270
 Treynor index (mean / b)-7.702
 Jensen alpha (a)0.017
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 VaR0.018
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.004
 Expected Shortfall on VaR0.010
ORDER STATISTICS
Quartiles of return rates
 Number of observations586.000
 Minimum0.946
 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 low43.000
 Percentage of outliers low0.073
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.092
 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)0.003
 Expected Shortfall (regression method)0.012
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)0.064
 Compounded annual return (geometric extrapolation)0.062
 Calmar ratio (compounded annual return / max draw down)0.246
 Compounded annual return / average of 25% largest draw downs0.246
 Compounded annual return / Expected Shortfall lognormal3.390
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 predictor0.051
 Mean of criterion-0.044
 SD of predictor0.263
 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 predictor0.017
 Mean of criterion-0.044
 SD of predictor0.263
 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)-5595510669900098.000
 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)671838412302256832354627566436352.000
 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
 Mean0.046
 SD0.254
 Sharpe ratio (Glass type estimate) 0.180
 Sharpe ratio (Hedges UMVUE)0.173
 df19.000
 t0.232
 p0.466
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.342
 Upperbound of 95% confidence interval for Sharpe Ratio1.697
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.347
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.692
Statistics related to Sortino ratio
 Sortino ratio0.398
 Upside Potential Ratio1.922
 Upside part of mean0.221
 Downside part of mean-0.175
 Upside SD0.220
 Downside SD0.115
 N nonnegative terms3.000
 N negative terms17.000
Statistics related to linear regression on benchmark
 N of observations20.000
 Mean of predictor0.262
 Mean of criterion0.046
 SD of predictor0.219
 SD of criterion0.254
 Covariance0.003
 r0.051
 b (slope, estimate of beta)0.059
 a (intercept, estimate of alpha)0.030
 Mean Square Error0.068
 DF error18.000
 t(b)0.215
 p(b)0.475
 t(a)0.141
 p(a)0.483
 Lowerbound of 95% confidence interval for beta-0.515
 Upperbound of 95% confidence interval for beta0.633
 Lowerbound of 95% confidence interval for alpha-0.420
 Upperbound of 95% confidence interval for alpha0.481
 Treynor index (mean / b)0.777
 Jensen alpha (a)0.030
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.018
 SD0.236
 Sharpe ratio (Glass type estimate) 0.076
 Sharpe ratio (Hedges UMVUE)0.073
 df19.000
 t0.098
 p0.486
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.443
 Upperbound of 95% confidence interval for Sharpe Ratio1.593
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.445
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.591
Statistics related to Sortino ratio
 Sortino ratio0.149
 Upside Potential Ratio1.654
 Upside part of mean0.199
 Downside part of mean-0.181
 Upside SD0.196
 Downside SD0.120
 N nonnegative terms3.000
 N negative terms17.000
Statistics related to linear regression on benchmark
 N of observations20.000
 Mean of predictor0.237
 Mean of criterion0.018
 SD of predictor0.211
 SD of criterion0.236
 Covariance0.003
 r0.057
 b (slope, estimate of beta)0.064
 a (intercept, estimate of alpha)0.003
 Mean Square Error0.058
 DF error18.000
 t(b)0.244
 p(b)0.471
 t(a)0.014
 p(a)0.498
 Lowerbound of 95% confidence interval for beta-0.488
 Upperbound of 95% confidence interval for beta0.616
 Lowerbound of 95% confidence interval for alpha-0.412
 Upperbound of 95% confidence interval for alpha0.417
 Treynor index (mean / b)0.279
 Jensen alpha (a)0.003
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.105
 Expected Shortfall on VaR0.129
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.046
 Expected Shortfall on VaR0.089
ORDER STATISTICS
Quartiles of return rates
 Number of observations20.000
 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 low0.150
 Mean of outliers low0.924
 Number of outliers high3.000
 Percentage of outliers high0.150
 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)0.113
 Expected Shortfall (regression method)0.131
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)0.065
 Compounded annual return (geometric extrapolation)0.064
 Calmar ratio (compounded annual return / max draw down)0.430
 Compounded annual return / average of 25% largest draw downs0.430
 Compounded annual return / Expected Shortfall lognormal0.494
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.031
 SD0.168
 Sharpe ratio (Glass type estimate) 0.183
 Sharpe ratio (Hedges UMVUE)0.182
 df585.000
 t0.238
 p0.406
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.319
 Upperbound of 95% confidence interval for Sharpe Ratio1.684
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.319
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.684
Statistics related to Sortino ratio
 Sortino ratio0.260
 Upside Potential Ratio4.254
 Upside part of mean0.501
 Downside part of mean-0.470
 Upside SD0.119
 Downside SD0.118
 N nonnegative terms54.000
 N negative terms532.000
Statistics related to linear regression on benchmark
 N of observations586.000
 Mean of predictor0.250
 Mean of criterion0.031
 SD of predictor0.209
 SD of criterion0.168
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.003
 a (intercept, estimate of alpha)0.031
 Mean Square Error0.028
 DF error584.000
 t(b)-0.080
 p(b)0.532
 t(a)0.243
 p(a)0.404
 Lowerbound of 95% confidence interval for beta-0.068
 Upperbound of 95% confidence interval for beta0.063
 Lowerbound of 95% confidence interval for alpha-0.222
 Upperbound of 95% confidence interval for alpha0.284
 Treynor index (mean / b)-11.539
 Jensen alpha (a)0.031
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.017
 SD0.168
 Sharpe ratio (Glass type estimate) 0.099
 Sharpe ratio (Hedges UMVUE)0.099
 df585.000
 t0.129
 p0.449
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.403
 Upperbound of 95% confidence interval for Sharpe Ratio1.601
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.403
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.600
Statistics related to Sortino ratio
 Sortino ratio0.138
 Upside Potential Ratio4.111
 Upside part of mean0.494
 Downside part of mean-0.477
 Upside SD0.117
 Downside SD0.120
 N nonnegative terms54.000
 N negative terms532.000
Statistics related to linear regression on benchmark
 N of observations586.000
 Mean of predictor0.228
 Mean of criterion0.017
 SD of predictor0.209
 SD of criterion0.168
 Covariance-0.000
 r-0.003
 b (slope, estimate of beta)-0.002
 a (intercept, estimate of alpha)0.017
 Mean Square Error0.028
 DF error584.000
 t(b)-0.065
 p(b)0.526
 t(a)0.133
 p(a)0.447
 Lowerbound of 95% confidence interval for beta-0.067
 Upperbound of 95% confidence interval for beta0.063
 Lowerbound of 95% confidence interval for alpha-0.236
 Upperbound of 95% confidence interval for alpha0.270
 Treynor index (mean / b)-7.702
 Jensen alpha (a)0.017
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 VaR0.018
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.004
 Expected Shortfall on VaR0.010
ORDER STATISTICS
Quartiles of return rates
 Number of observations586.000
 Minimum0.946
 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 low43.000
 Percentage of outliers low0.073
 Mean of outliers low0.983
 Number of outliers high54.000
 Percentage of outliers high0.092
 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)0.003
 Expected Shortfall (regression method)0.012
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)0.064
 Compounded annual return (geometric extrapolation)0.062
 Calmar ratio (compounded annual return / max draw down)0.246
 Compounded annual return / average of 25% largest draw downs0.246
 Compounded annual return / Expected Shortfall lognormal3.390
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 predictor0.051
 Mean of criterion-0.044
 SD of predictor0.263
 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 predictor0.017
 Mean of criterion-0.044
 SD of predictor0.263
 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)-5595510669900098.000
 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)671838412302256832354627566436352.000
 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