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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
 Mean0.037
 SD0.234
 Sharpe ratio (Glass type estimate) 0.157
 Sharpe ratio (Hedges UMVUE)0.151
 df21.000
 t0.212
 p0.471
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.293
 Upperbound of 95% confidence interval for Sharpe Ratio1.603
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.297
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.599
Statistics related to Sortino ratio
 Sortino ratio0.305
 Upside Potential Ratio1.729
 Upside part of mean0.208
 Downside part of mean-0.172
 Upside SD0.195
 Downside SD0.121
 N nonnegative terms3.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations22.000
 Mean of predictor0.290
 Mean of criterion0.037
 SD of predictor0.189
 SD of criterion0.234
 Covariance-0.005
 r-0.103
 b (slope, estimate of beta)-0.128
 a (intercept, estimate of alpha)0.074
 Mean Square Error0.057
 DF error20.000
 t(b)-0.465
 p(b)0.552
 t(a)0.382
 p(a)0.457
 Lowerbound of 95% confidence interval for beta-0.703
 Upperbound of 95% confidence interval for beta0.447
 Lowerbound of 95% confidence interval for alpha-0.330
 Upperbound of 95% confidence interval for alpha0.478
 Treynor index (mean / b)-0.287
 Jensen alpha (a)0.074
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.012
 SD0.222
 Sharpe ratio (Glass type estimate) 0.055
 Sharpe ratio (Hedges UMVUE)0.053
 df21.000
 t0.075
 p0.490
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.393
 Upperbound of 95% confidence interval for Sharpe Ratio1.502
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.394
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.501
Statistics related to Sortino ratio
 Sortino ratio0.097
 Upside Potential Ratio1.501
 Upside part of mean0.191
 Downside part of mean-0.179
 Upside SD0.176
 Downside SD0.127
 N nonnegative terms3.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations22.000
 Mean of predictor0.270
 Mean of criterion0.012
 SD of predictor0.181
 SD of criterion0.222
 Covariance-0.004
 r-0.095
 b (slope, estimate of beta)-0.117
 a (intercept, estimate of alpha)0.044
 Mean Square Error0.051
 DF error20.000
 t(b)-0.429
 p(b)0.548
 t(a)0.240
 p(a)0.473
 Lowerbound of 95% confidence interval for beta-0.687
 Upperbound of 95% confidence interval for beta0.453
 Lowerbound of 95% confidence interval for alpha-0.338
 Upperbound of 95% confidence interval for alpha0.425
 Treynor index (mean / b)-0.105
 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%)0.099
 Expected Shortfall on VaR0.123
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.046
 Expected Shortfall on VaR0.090
ORDER STATISTICS
Quartiles of return rates
 Number of observations22.000
 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 low0.136
 Mean of outliers low0.918
 Number of outliers high3.000
 Percentage of outliers high0.136
 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)0.112
 Expected Shortfall (regression method)0.130
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)0.059
 Compounded annual return (geometric extrapolation)0.058
 Calmar ratio (compounded annual return / max draw down)0.395
 Compounded annual return / average of 25% largest draw downs0.395
 Compounded annual return / Expected Shortfall lognormal0.472
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.025
 SD0.162
 Sharpe ratio (Glass type estimate) 0.152
 Sharpe ratio (Hedges UMVUE)0.152
 df486.000
 t0.208
 p0.418
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.285
 Upperbound of 95% confidence interval for Sharpe Ratio1.590
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.286
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.590
Statistics related to Sortino ratio
 Sortino ratio0.213
 Upside Potential Ratio3.826
 Upside part of mean0.445
 Downside part of mean-0.420
 Upside SD0.113
 Downside SD0.116
 N nonnegative terms50.000
 N negative terms437.000
Statistics related to linear regression on benchmark
 N of observations487.000
 Mean of predictor0.296
 Mean of criterion0.025
 SD of predictor0.202
 SD of criterion0.162
 Covariance0.000
 r0.001
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)0.025
 Mean Square Error0.026
 DF error485.000
 t(b)0.014
 p(b)0.495
 t(a)0.205
 p(a)0.419
 Lowerbound of 95% confidence interval for beta-0.071
 Upperbound of 95% confidence interval for beta0.072
 Lowerbound of 95% confidence interval for alpha-0.211
 Upperbound of 95% confidence interval for alpha0.260
 Treynor index (mean / b)49.957
 Jensen alpha (a)0.025
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.012
 SD0.163
 Sharpe ratio (Glass type estimate) 0.071
 Sharpe ratio (Hedges UMVUE)0.071
 df486.000
 t0.096
 p0.462
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.367
 Upperbound of 95% confidence interval for Sharpe Ratio1.508
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.367
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.508
Statistics related to Sortino ratio
 Sortino ratio0.097
 Upside Potential Ratio3.688
 Upside part of mean0.439
 Downside part of mean-0.427
 Upside SD0.111
 Downside SD0.119
 N nonnegative terms50.000
 N negative terms437.000
Statistics related to linear regression on benchmark
 N of observations487.000
 Mean of predictor0.276
 Mean of criterion0.012
 SD of predictor0.202
 SD of criterion0.163
 Covariance0.000
 r0.002
 b (slope, estimate of beta)0.001
 a (intercept, estimate of alpha)0.011
 Mean Square Error0.027
 DF error485.000
 t(b)0.034
 p(b)0.486
 t(a)0.093
 p(a)0.463
 Lowerbound of 95% confidence interval for beta-0.071
 Upperbound of 95% confidence interval for beta0.073
 Lowerbound of 95% confidence interval for alpha-0.225
 Upperbound of 95% confidence interval for alpha0.247
 Treynor index (mean / b)9.184
 Jensen alpha (a)0.011
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 VaR0.012
ORDER STATISTICS
Quartiles of return rates
 Number of observations487.000
 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 low0.078
 Mean of outliers low0.981
 Number of outliers high50.000
 Percentage of outliers high0.103
 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)0.016
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)0.059
 Compounded annual return (geometric extrapolation)0.057
 Calmar ratio (compounded annual return / max draw down)0.225
 Compounded annual return / average of 25% largest draw downs0.225
 Compounded annual return / Expected Shortfall lognormal2.787
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 predictor0.334
 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) -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 predictor0.299
 Mean of criterion-0.044
 SD of predictor0.264
 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)-8778065153634389.000
 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)260540995445395062036497315135488.000
 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
 Mean0.037
 SD0.234
 Sharpe ratio (Glass type estimate) 0.157
 Sharpe ratio (Hedges UMVUE)0.151
 df21.000
 t0.212
 p0.471
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.293
 Upperbound of 95% confidence interval for Sharpe Ratio1.603
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.297
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.599
Statistics related to Sortino ratio
 Sortino ratio0.305
 Upside Potential Ratio1.729
 Upside part of mean0.208
 Downside part of mean-0.172
 Upside SD0.195
 Downside SD0.121
 N nonnegative terms3.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations22.000
 Mean of predictor0.290
 Mean of criterion0.037
 SD of predictor0.189
 SD of criterion0.234
 Covariance-0.005
 r-0.103
 b (slope, estimate of beta)-0.128
 a (intercept, estimate of alpha)0.074
 Mean Square Error0.057
 DF error20.000
 t(b)-0.465
 p(b)0.552
 t(a)0.382
 p(a)0.457
 Lowerbound of 95% confidence interval for beta-0.703
 Upperbound of 95% confidence interval for beta0.447
 Lowerbound of 95% confidence interval for alpha-0.330
 Upperbound of 95% confidence interval for alpha0.478
 Treynor index (mean / b)-0.287
 Jensen alpha (a)0.074
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.012
 SD0.222
 Sharpe ratio (Glass type estimate) 0.055
 Sharpe ratio (Hedges UMVUE)0.053
 df21.000
 t0.075
 p0.490
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.393
 Upperbound of 95% confidence interval for Sharpe Ratio1.502
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.394
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.501
Statistics related to Sortino ratio
 Sortino ratio0.097
 Upside Potential Ratio1.501
 Upside part of mean0.191
 Downside part of mean-0.179
 Upside SD0.176
 Downside SD0.127
 N nonnegative terms3.000
 N negative terms19.000
Statistics related to linear regression on benchmark
 N of observations22.000
 Mean of predictor0.270
 Mean of criterion0.012
 SD of predictor0.181
 SD of criterion0.222
 Covariance-0.004
 r-0.095
 b (slope, estimate of beta)-0.117
 a (intercept, estimate of alpha)0.044
 Mean Square Error0.051
 DF error20.000
 t(b)-0.429
 p(b)0.548
 t(a)0.240
 p(a)0.473
 Lowerbound of 95% confidence interval for beta-0.687
 Upperbound of 95% confidence interval for beta0.453
 Lowerbound of 95% confidence interval for alpha-0.338
 Upperbound of 95% confidence interval for alpha0.425
 Treynor index (mean / b)-0.105
 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%)0.099
 Expected Shortfall on VaR0.123
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.046
 Expected Shortfall on VaR0.090
ORDER STATISTICS
Quartiles of return rates
 Number of observations22.000
 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 low0.136
 Mean of outliers low0.918
 Number of outliers high3.000
 Percentage of outliers high0.136
 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)0.112
 Expected Shortfall (regression method)0.130
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)0.059
 Compounded annual return (geometric extrapolation)0.058
 Calmar ratio (compounded annual return / max draw down)0.395
 Compounded annual return / average of 25% largest draw downs0.395
 Compounded annual return / Expected Shortfall lognormal0.472
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.025
 SD0.162
 Sharpe ratio (Glass type estimate) 0.152
 Sharpe ratio (Hedges UMVUE)0.152
 df486.000
 t0.208
 p0.418
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.285
 Upperbound of 95% confidence interval for Sharpe Ratio1.590
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.286
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.590
Statistics related to Sortino ratio
 Sortino ratio0.213
 Upside Potential Ratio3.826
 Upside part of mean0.445
 Downside part of mean-0.420
 Upside SD0.113
 Downside SD0.116
 N nonnegative terms50.000
 N negative terms437.000
Statistics related to linear regression on benchmark
 N of observations487.000
 Mean of predictor0.296
 Mean of criterion0.025
 SD of predictor0.202
 SD of criterion0.162
 Covariance0.000
 r0.001
 b (slope, estimate of beta)0.000
 a (intercept, estimate of alpha)0.025
 Mean Square Error0.026
 DF error485.000
 t(b)0.014
 p(b)0.495
 t(a)0.205
 p(a)0.419
 Lowerbound of 95% confidence interval for beta-0.071
 Upperbound of 95% confidence interval for beta0.072
 Lowerbound of 95% confidence interval for alpha-0.211
 Upperbound of 95% confidence interval for alpha0.260
 Treynor index (mean / b)49.957
 Jensen alpha (a)0.025
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.012
 SD0.163
 Sharpe ratio (Glass type estimate) 0.071
 Sharpe ratio (Hedges UMVUE)0.071
 df486.000
 t0.096
 p0.462
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.367
 Upperbound of 95% confidence interval for Sharpe Ratio1.508
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.367
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.508
Statistics related to Sortino ratio
 Sortino ratio0.097
 Upside Potential Ratio3.688
 Upside part of mean0.439
 Downside part of mean-0.427
 Upside SD0.111
 Downside SD0.119
 N nonnegative terms50.000
 N negative terms437.000
Statistics related to linear regression on benchmark
 N of observations487.000
 Mean of predictor0.276
 Mean of criterion0.012
 SD of predictor0.202
 SD of criterion0.163
 Covariance0.000
 r0.002
 b (slope, estimate of beta)0.001
 a (intercept, estimate of alpha)0.011
 Mean Square Error0.027
 DF error485.000
 t(b)0.034
 p(b)0.486
 t(a)0.093
 p(a)0.463
 Lowerbound of 95% confidence interval for beta-0.071
 Upperbound of 95% confidence interval for beta0.073
 Lowerbound of 95% confidence interval for alpha-0.225
 Upperbound of 95% confidence interval for alpha0.247
 Treynor index (mean / b)9.184
 Jensen alpha (a)0.011
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 VaR0.012
ORDER STATISTICS
Quartiles of return rates
 Number of observations487.000
 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 low0.078
 Mean of outliers low0.981
 Number of outliers high50.000
 Percentage of outliers high0.103
 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)0.016
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)0.059
 Compounded annual return (geometric extrapolation)0.057
 Calmar ratio (compounded annual return / max draw down)0.225
 Compounded annual return / average of 25% largest draw downs0.225
 Compounded annual return / Expected Shortfall lognormal2.787
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 predictor0.334
 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) -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 predictor0.299
 Mean of criterion-0.044
 SD of predictor0.264
 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)-8778065153634389.000
 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)260540995445395062036497315135488.000
 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