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For your consideration US Stock Momentum Followed by live capital $2.70 million Hypothetical

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Advanced Statistics: 5+ per month

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
 Mean0.145
 SD0.252
 Sharpe ratio (Glass type estimate) 0.576
 Sharpe ratio (Hedges UMVUE)0.565
 df42.000
 t1.089
 p0.141
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.470
 Upperbound of 95% confidence interval for Sharpe Ratio1.615
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.477
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.608
Statistics related to Sortino ratio
 Sortino ratio2.470
 Upside Potential Ratio3.927
 Upside part of mean0.230
 Downside part of mean-0.085
 Upside SD0.245
 Downside SD0.059
 N nonnegative terms5.000
 N negative terms38.000
Statistics related to linear regression on benchmark
 N of observations43.000
 Mean of predictor0.462
 Mean of criterion0.145
 SD of predictor0.323
 SD of criterion0.252
 Covariance-0.008
 r-0.100
 b (slope, estimate of beta)-0.078
 a (intercept, estimate of alpha)0.181
 Mean Square Error0.064
 DF error41.000
 t(b)-0.644
 p(b)0.739
 t(a)1.247
 p(a)0.110
 Lowerbound of 95% confidence interval for beta-0.322
 Upperbound of 95% confidence interval for beta0.166
 Lowerbound of 95% confidence interval for alpha-0.112
 Upperbound of 95% confidence interval for alpha0.474
 Treynor index (mean / b)-1.859
 Jensen alpha (a)0.181
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.118
 SD0.223
 Sharpe ratio (Glass type estimate) 0.527
 Sharpe ratio (Hedges UMVUE)0.518
 df42.000
 t0.998
 p0.162
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.517
 Upperbound of 95% confidence interval for Sharpe Ratio1.566
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.523
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.559
Statistics related to Sortino ratio
 Sortino ratio1.934
 Upside Potential Ratio3.365
 Upside part of mean0.204
 Downside part of mean-0.087
 Upside SD0.214
 Downside SD0.061
 N nonnegative terms5.000
 N negative terms38.000
Statistics related to linear regression on benchmark
 N of observations43.000
 Mean of predictor0.407
 Mean of criterion0.118
 SD of predictor0.300
 SD of criterion0.223
 Covariance-0.007
 r-0.099
 b (slope, estimate of beta)-0.073
 a (intercept, estimate of alpha)0.147
 Mean Square Error0.050
 DF error41.000
 t(b)-0.636
 p(b)0.736
 t(a)1.156
 p(a)0.127
 Lowerbound of 95% confidence interval for beta-0.307
 Upperbound of 95% confidence interval for beta0.160
 Lowerbound of 95% confidence interval for alpha-0.110
 Upperbound of 95% confidence interval for alpha0.405
 Treynor index (mean / b)-1.600
 Jensen alpha (a)0.147
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.092
 Expected Shortfall on VaR0.115
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.023
 Expected Shortfall on VaR0.045
ORDER STATISTICS
Quartiles of return rates
 Number of observations43.000
 Minimum0.913
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.363
 Mean of quarter 10.985
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.077
 Inter Quartile Range0.000
 Number outliers low5.000
 Percentage of outliers low0.116
 Mean of outliers low0.967
 Number of outliers high5.000
 Percentage of outliers high0.116
 Mean of outliers high1.169
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-5.104
 VaR(95%) (moments method)0.004
 Expected Shortfall (moments method)0.004
 Extreme Value Index (regression method)0.143
 VaR(95%) (regression method)0.030
 Expected Shortfall (regression method)0.075
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.078
 Quartile 10.080
 Median0.082
 Quartile 30.085
 Maximum0.087
 Mean of quarter 10.078
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.087
 Inter Quartile Range0.004
 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)0.219
 Compounded annual return (geometric extrapolation)0.175
 Calmar ratio (compounded annual return / max draw down)2.024
 Compounded annual return / average of 25% largest draw downs2.024
 Compounded annual return / Expected Shortfall lognormal1.519
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.137
 SD0.212
 Sharpe ratio (Glass type estimate) 0.646
 Sharpe ratio (Hedges UMVUE)0.646
 df954.000
 t1.234
 p0.109
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.381
 Upperbound of 95% confidence interval for Sharpe Ratio1.673
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.381
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.673
Statistics related to Sortino ratio
 Sortino ratio1.070
 Upside Potential Ratio3.971
 Upside part of mean0.508
 Downside part of mean-0.371
 Upside SD0.169
 Downside SD0.128
 N nonnegative terms70.000
 N negative terms885.000
Statistics related to linear regression on benchmark
 N of observations955.000
 Mean of predictor0.485
 Mean of criterion0.137
 SD of predictor0.305
 SD of criterion0.212
 Covariance0.002
 r0.031
 b (slope, estimate of beta)0.022
 a (intercept, estimate of alpha)0.127
 Mean Square Error0.045
 DF error953.000
 t(b)0.959
 p(b)0.169
 t(a)1.134
 p(a)0.129
 Lowerbound of 95% confidence interval for beta-0.023
 Upperbound of 95% confidence interval for beta0.066
 Lowerbound of 95% confidence interval for alpha-0.092
 Upperbound of 95% confidence interval for alpha0.346
 Treynor index (mean / b)6.349
 Jensen alpha (a)0.127
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.115
 SD0.210
 Sharpe ratio (Glass type estimate) 0.546
 Sharpe ratio (Hedges UMVUE)0.546
 df954.000
 t1.043
 p0.149
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.481
 Upperbound of 95% confidence interval for Sharpe Ratio1.573
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.481
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.573
Statistics related to Sortino ratio
 Sortino ratio0.865
 Upside Potential Ratio3.730
 Upside part of mean0.495
 Downside part of mean-0.380
 Upside SD0.163
 Downside SD0.133
 N nonnegative terms70.000
 N negative terms885.000
Statistics related to linear regression on benchmark
 N of observations955.000
 Mean of predictor0.438
 Mean of criterion0.115
 SD of predictor0.306
 SD of criterion0.210
 Covariance0.002
 r0.031
 b (slope, estimate of beta)0.022
 a (intercept, estimate of alpha)0.105
 Mean Square Error0.044
 DF error953.000
 t(b)0.968
 p(b)0.167
 t(a)0.953
 p(a)0.170
 Lowerbound of 95% confidence interval for beta-0.022
 Upperbound of 95% confidence interval for beta0.065
 Lowerbound of 95% confidence interval for alpha-0.112
 Upperbound of 95% confidence interval for alpha0.322
 Treynor index (mean / b)5.337
 Jensen alpha (a)0.105
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.021
 Expected Shortfall on VaR0.026
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 observations955.000
 Minimum0.885
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.122
 Mean of quarter 10.995
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.008
 Inter Quartile Range0.000
 Number outliers low49.000
 Percentage of outliers low0.051
 Mean of outliers low0.975
 Number of outliers high71.000
 Percentage of outliers high0.074
 Mean of outliers high1.026
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.734
 VaR(95%) (moments method)0.000
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.082
 VaR(95%) (regression method)0.000
 Expected Shortfall (regression method)0.016
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations12.000
 Minimum0.002
 Quartile 10.015
 Median0.030
 Quartile 30.108
 Maximum0.239
 Mean of quarter 10.004
 Mean of quarter 20.024
 Mean of quarter 30.061
 Mean of quarter 40.184
 Inter Quartile Range0.093
 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)-0.958
 VaR(95%) (moments method)0.211
 Expected Shortfall (moments method)0.226
 Extreme Value Index (regression method)0.536
 VaR(95%) (regression method)0.237
 Expected Shortfall (regression method)0.429
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.215
 Compounded annual return (geometric extrapolation)0.172
 Calmar ratio (compounded annual return / max draw down)0.719
 Compounded annual return / average of 25% largest draw downs0.934
 Compounded annual return / Expected Shortfall lognormal6.622
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 predictor1.110
 Mean of criterion-0.044
 SD of predictor0.503
 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 predictor0.982
 Mean of criterion-0.044
 SD of predictor0.505
 SD of criterion0.000
 Covariance0.000
 r0.000
 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)-8736496510634309.000
 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)-132229441297776472645132580028416.000
 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: 5+ per month

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
 Mean0.145
 SD0.252
 Sharpe ratio (Glass type estimate) 0.576
 Sharpe ratio (Hedges UMVUE)0.565
 df42.000
 t1.089
 p0.141
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.470
 Upperbound of 95% confidence interval for Sharpe Ratio1.615
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.477
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.608
Statistics related to Sortino ratio
 Sortino ratio2.470
 Upside Potential Ratio3.927
 Upside part of mean0.230
 Downside part of mean-0.085
 Upside SD0.245
 Downside SD0.059
 N nonnegative terms5.000
 N negative terms38.000
Statistics related to linear regression on benchmark
 N of observations43.000
 Mean of predictor0.462
 Mean of criterion0.145
 SD of predictor0.323
 SD of criterion0.252
 Covariance-0.008
 r-0.100
 b (slope, estimate of beta)-0.078
 a (intercept, estimate of alpha)0.181
 Mean Square Error0.064
 DF error41.000
 t(b)-0.644
 p(b)0.739
 t(a)1.247
 p(a)0.110
 Lowerbound of 95% confidence interval for beta-0.322
 Upperbound of 95% confidence interval for beta0.166
 Lowerbound of 95% confidence interval for alpha-0.112
 Upperbound of 95% confidence interval for alpha0.474
 Treynor index (mean / b)-1.859
 Jensen alpha (a)0.181
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.118
 SD0.223
 Sharpe ratio (Glass type estimate) 0.527
 Sharpe ratio (Hedges UMVUE)0.518
 df42.000
 t0.998
 p0.162
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.517
 Upperbound of 95% confidence interval for Sharpe Ratio1.566
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.523
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.559
Statistics related to Sortino ratio
 Sortino ratio1.934
 Upside Potential Ratio3.365
 Upside part of mean0.204
 Downside part of mean-0.087
 Upside SD0.214
 Downside SD0.061
 N nonnegative terms5.000
 N negative terms38.000
Statistics related to linear regression on benchmark
 N of observations43.000
 Mean of predictor0.407
 Mean of criterion0.118
 SD of predictor0.300
 SD of criterion0.223
 Covariance-0.007
 r-0.099
 b (slope, estimate of beta)-0.073
 a (intercept, estimate of alpha)0.147
 Mean Square Error0.050
 DF error41.000
 t(b)-0.636
 p(b)0.736
 t(a)1.156
 p(a)0.127
 Lowerbound of 95% confidence interval for beta-0.307
 Upperbound of 95% confidence interval for beta0.160
 Lowerbound of 95% confidence interval for alpha-0.110
 Upperbound of 95% confidence interval for alpha0.405
 Treynor index (mean / b)-1.600
 Jensen alpha (a)0.147
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.092
 Expected Shortfall on VaR0.115
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.023
 Expected Shortfall on VaR0.045
ORDER STATISTICS
Quartiles of return rates
 Number of observations43.000
 Minimum0.913
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.363
 Mean of quarter 10.985
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.077
 Inter Quartile Range0.000
 Number outliers low5.000
 Percentage of outliers low0.116
 Mean of outliers low0.967
 Number of outliers high5.000
 Percentage of outliers high0.116
 Mean of outliers high1.169
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-5.104
 VaR(95%) (moments method)0.004
 Expected Shortfall (moments method)0.004
 Extreme Value Index (regression method)0.143
 VaR(95%) (regression method)0.030
 Expected Shortfall (regression method)0.075
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.078
 Quartile 10.080
 Median0.082
 Quartile 30.085
 Maximum0.087
 Mean of quarter 10.078
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.087
 Inter Quartile Range0.004
 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)0.219
 Compounded annual return (geometric extrapolation)0.175
 Calmar ratio (compounded annual return / max draw down)2.024
 Compounded annual return / average of 25% largest draw downs2.024
 Compounded annual return / Expected Shortfall lognormal1.519
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.137
 SD0.212
 Sharpe ratio (Glass type estimate) 0.646
 Sharpe ratio (Hedges UMVUE)0.646
 df954.000
 t1.234
 p0.109
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.381
 Upperbound of 95% confidence interval for Sharpe Ratio1.673
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.381
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.673
Statistics related to Sortino ratio
 Sortino ratio1.070
 Upside Potential Ratio3.971
 Upside part of mean0.508
 Downside part of mean-0.371
 Upside SD0.169
 Downside SD0.128
 N nonnegative terms70.000
 N negative terms885.000
Statistics related to linear regression on benchmark
 N of observations955.000
 Mean of predictor0.485
 Mean of criterion0.137
 SD of predictor0.305
 SD of criterion0.212
 Covariance0.002
 r0.031
 b (slope, estimate of beta)0.022
 a (intercept, estimate of alpha)0.127
 Mean Square Error0.045
 DF error953.000
 t(b)0.959
 p(b)0.169
 t(a)1.134
 p(a)0.129
 Lowerbound of 95% confidence interval for beta-0.023
 Upperbound of 95% confidence interval for beta0.066
 Lowerbound of 95% confidence interval for alpha-0.092
 Upperbound of 95% confidence interval for alpha0.346
 Treynor index (mean / b)6.349
 Jensen alpha (a)0.127
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.115
 SD0.210
 Sharpe ratio (Glass type estimate) 0.546
 Sharpe ratio (Hedges UMVUE)0.546
 df954.000
 t1.043
 p0.149
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.481
 Upperbound of 95% confidence interval for Sharpe Ratio1.573
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.481
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)1.573
Statistics related to Sortino ratio
 Sortino ratio0.865
 Upside Potential Ratio3.730
 Upside part of mean0.495
 Downside part of mean-0.380
 Upside SD0.163
 Downside SD0.133
 N nonnegative terms70.000
 N negative terms885.000
Statistics related to linear regression on benchmark
 N of observations955.000
 Mean of predictor0.438
 Mean of criterion0.115
 SD of predictor0.306
 SD of criterion0.210
 Covariance0.002
 r0.031
 b (slope, estimate of beta)0.022
 a (intercept, estimate of alpha)0.105
 Mean Square Error0.044
 DF error953.000
 t(b)0.968
 p(b)0.167
 t(a)0.953
 p(a)0.170
 Lowerbound of 95% confidence interval for beta-0.022
 Upperbound of 95% confidence interval for beta0.065
 Lowerbound of 95% confidence interval for alpha-0.112
 Upperbound of 95% confidence interval for alpha0.322
 Treynor index (mean / b)5.337
 Jensen alpha (a)0.105
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.021
 Expected Shortfall on VaR0.026
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 observations955.000
 Minimum0.885
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.122
 Mean of quarter 10.995
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.008
 Inter Quartile Range0.000
 Number outliers low49.000
 Percentage of outliers low0.051
 Mean of outliers low0.975
 Number of outliers high71.000
 Percentage of outliers high0.074
 Mean of outliers high1.026
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.734
 VaR(95%) (moments method)0.000
 Expected Shortfall (moments method)0.002
 Extreme Value Index (regression method)0.082
 VaR(95%) (regression method)0.000
 Expected Shortfall (regression method)0.016
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations12.000
 Minimum0.002
 Quartile 10.015
 Median0.030
 Quartile 30.108
 Maximum0.239
 Mean of quarter 10.004
 Mean of quarter 20.024
 Mean of quarter 30.061
 Mean of quarter 40.184
 Inter Quartile Range0.093
 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)-0.958
 VaR(95%) (moments method)0.211
 Expected Shortfall (moments method)0.226
 Extreme Value Index (regression method)0.536
 VaR(95%) (regression method)0.237
 Expected Shortfall (regression method)0.429
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.215
 Compounded annual return (geometric extrapolation)0.172
 Calmar ratio (compounded annual return / max draw down)0.719
 Compounded annual return / average of 25% largest draw downs0.934
 Compounded annual return / Expected Shortfall lognormal6.622
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 predictor1.110
 Mean of criterion-0.044
 SD of predictor0.503
 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 predictor0.982
 Mean of criterion-0.044
 SD of predictor0.505
 SD of criterion0.000
 Covariance0.000
 r0.000
 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)-8736496510634309.000
 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)-132229441297776472645132580028416.000
 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