Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +33.3% Cumul. Return since Sep 23, 2025 Hypothetical

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Advanced Statistics: ETF Timer

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
 Mean0.095
 SD0.266
 Sharpe ratio (Glass type estimate) 0.357
 Sharpe ratio (Hedges UMVUE)0.356
 df202.000
 t1.469
 p0.072
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.121
 Upperbound of 95% confidence interval for Sharpe Ratio0.834
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.122
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.834
Statistics related to Sortino ratio
 Sortino ratio0.461
 Upside Potential Ratio1.555
 Upside part of mean0.320
 Downside part of mean-0.225
 Upside SD0.169
 Downside SD0.206
 N nonnegative terms114.000
 N negative terms89.000
Statistics related to linear regression on benchmark
 N of observations203.000
 Mean of predictor0.075
 Mean of criterion0.095
 SD of predictor0.186
 SD of criterion0.266
 Covariance0.018
 r0.360
 b (slope, estimate of beta)0.515
 a (intercept, estimate of alpha)0.056
 Mean Square Error0.062
 DF error201.000
 t(b)5.477
 p(b)0.276
 t(a)0.924
 p(a)0.459
 Lowerbound of 95% confidence interval for beta0.330
 Upperbound of 95% confidence interval for beta0.701
 Lowerbound of 95% confidence interval for alpha-0.064
 Upperbound of 95% confidence interval for alpha0.176
 Treynor index (mean / b)0.184
 Jensen alpha (a)0.056
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.045
 SD0.352
 Sharpe ratio (Glass type estimate) 0.128
 Sharpe ratio (Hedges UMVUE)0.128
 df202.000
 t0.528
 p0.299
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.349
 Upperbound of 95% confidence interval for Sharpe Ratio0.605
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.349
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.605
Statistics related to Sortino ratio
 Sortino ratio0.144
 Upside Potential Ratio0.977
 Upside part of mean0.306
 Downside part of mean-0.260
 Upside SD0.159
 Downside SD0.313
 N nonnegative terms114.000
 N negative terms89.000
Statistics related to linear regression on benchmark
 N of observations203.000
 Mean of predictor0.057
 Mean of criterion0.045
 SD of predictor0.188
 SD of criterion0.352
 Covariance0.017
 r0.258
 b (slope, estimate of beta)0.481
 a (intercept, estimate of alpha)0.018
 Mean Square Error0.116
 DF error201.000
 t(b)3.784
 p(b)0.338
 t(a)0.211
 p(a)0.491
 Lowerbound of 95% confidence interval for beta0.231
 Upperbound of 95% confidence interval for beta0.732
 Lowerbound of 95% confidence interval for alpha-0.146
 Upperbound of 95% confidence interval for alpha0.181
 Treynor index (mean / b)0.094
 Jensen alpha (a)0.018
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.151
 Expected Shortfall on VaR0.185
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.038
 Expected Shortfall on VaR0.087
ORDER STATISTICS
Quartiles of return rates
 Number of observations203.000
 Minimum0.309
 Quartile 10.982
 Median1.010
 Quartile 31.042
 Maximum1.201
 Mean of quarter 10.935
 Mean of quarter 20.998
 Mean of quarter 31.025
 Mean of quarter 41.088
 Inter Quartile Range0.060
 Number outliers low5.000
 Percentage of outliers low0.025
 Mean of outliers low0.740
 Number of outliers high10.000
 Percentage of outliers high0.049
 Mean of outliers high1.160
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.468
 VaR(95%) (moments method)0.059
 Expected Shortfall (moments method)0.127
 Extreme Value Index (regression method)0.373
 VaR(95%) (regression method)0.057
 Expected Shortfall (regression method)0.109
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations21.000
 Minimum0.001
 Quartile 10.020
 Median0.050
 Quartile 30.142
 Maximum0.691
 Mean of quarter 10.009
 Mean of quarter 20.041
 Mean of quarter 30.102
 Mean of quarter 40.341
 Inter Quartile Range0.123
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high2.000
 Percentage of outliers high0.095
 Mean of outliers high0.517
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.142
 VaR(95%) (moments method)0.327
 Expected Shortfall (moments method)0.480
 Extreme Value Index (regression method)0.527
 VaR(95%) (regression method)0.437
 Expected Shortfall (regression method)0.992
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.208
 Compounded annual return (geometric extrapolation)0.093
 Calmar ratio (compounded annual return / max draw down)0.135
 Compounded annual return / average of 25% largest draw downs0.274
 Compounded annual return / Expected Shortfall lognormal0.503
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.135
 SD0.396
 Sharpe ratio (Glass type estimate) 0.342
 Sharpe ratio (Hedges UMVUE)0.342
 df4433.000
 t1.408
 p0.080
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.134
 Upperbound of 95% confidence interval for Sharpe Ratio0.819
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.134
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.819
Statistics related to Sortino ratio
 Sortino ratio0.472
 Upside Potential Ratio4.600
 Upside part of mean1.319
 Downside part of mean-1.184
 Upside SD0.273
 Downside SD0.287
 N nonnegative terms2182.000
 N negative terms2252.000
Statistics related to linear regression on benchmark
 N of observations4434.000
 Mean of predictor0.113
 Mean of criterion0.135
 SD of predictor0.335
 SD of criterion0.396
 Covariance-0.026
 r-0.193
 b (slope, estimate of beta)-0.229
 a (intercept, estimate of alpha)0.161
 Mean Square Error0.151
 DF error4432.000
 t(b)-13.121
 p(b)1.000
 t(a)1.708
 p(a)0.044
 Lowerbound of 95% confidence interval for beta-0.263
 Upperbound of 95% confidence interval for beta-0.194
 Lowerbound of 95% confidence interval for alpha-0.024
 Upperbound of 95% confidence interval for alpha0.346
 Treynor index (mean / b)-0.593
 Jensen alpha (a)0.161
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.044
 SD0.452
 Sharpe ratio (Glass type estimate) 0.098
 Sharpe ratio (Hedges UMVUE)0.098
 df4433.000
 t0.405
 p0.343
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.378
 Upperbound of 95% confidence interval for Sharpe Ratio0.575
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.378
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.575
Statistics related to Sortino ratio
 Sortino ratio0.119
 Upside Potential Ratio3.427
 Upside part of mean1.286
 Downside part of mean-1.241
 Upside SD0.252
 Downside SD0.375
 N nonnegative terms2182.000
 N negative terms2252.000
Statistics related to linear regression on benchmark
 N of observations4434.000
 Mean of predictor0.057
 Mean of criterion0.044
 SD of predictor0.335
 SD of criterion0.452
 Covariance-0.026
 r-0.173
 b (slope, estimate of beta)-0.234
 a (intercept, estimate of alpha)0.058
 Mean Square Error0.198
 DF error4432.000
 t(b)-11.720
 p(b)1.000
 t(a)0.534
 p(a)0.297
 Lowerbound of 95% confidence interval for beta-0.273
 Upperbound of 95% confidence interval for beta-0.195
 Lowerbound of 95% confidence interval for alpha-0.154
 Upperbound of 95% confidence interval for alpha0.270
 Treynor index (mean / b)-0.190
 Jensen alpha (a)0.058
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.045
 Expected Shortfall on VaR0.056
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.010
 Expected Shortfall on VaR0.023
ORDER STATISTICS
Quartiles of return rates
 Number of observations4434.000
 Minimum0.318
 Quartile 10.996
 Median1.000
 Quartile 31.005
 Maximum1.361
 Mean of quarter 10.983
 Mean of quarter 20.999
 Mean of quarter 31.002
 Mean of quarter 41.018
 Inter Quartile Range0.009
 Number outliers low268.000
 Percentage of outliers low0.060
 Mean of outliers low0.957
 Number of outliers high256.000
 Percentage of outliers high0.058
 Mean of outliers high1.045
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.636
 VaR(95%) (moments method)0.015
 Expected Shortfall (moments method)0.044
 Extreme Value Index (regression method)0.483
 VaR(95%) (regression method)0.013
 Expected Shortfall (regression method)0.028
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations124.000
 Minimum0.000
 Quartile 10.003
 Median0.007
 Quartile 30.029
 Maximum0.697
 Mean of quarter 10.001
 Mean of quarter 20.005
 Mean of quarter 30.016
 Mean of quarter 40.127
 Inter Quartile Range0.026
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high18.000
 Percentage of outliers high0.145
 Mean of outliers high0.188
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.644
 VaR(95%) (moments method)0.120
 Expected Shortfall (moments method)0.377
 Extreme Value Index (regression method)0.599
 VaR(95%) (regression method)0.125
 Expected Shortfall (regression method)0.355
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.205
 Compounded annual return (geometric extrapolation)0.093
 Calmar ratio (compounded annual return / max draw down)0.133
 Compounded annual return / average of 25% largest draw downs0.726
 Compounded annual return / Expected Shortfall lognormal1.659
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.004
 SD0.205
 Sharpe ratio (Glass type estimate) 0.019
 Sharpe ratio (Hedges UMVUE)0.019
 df130.000
 t0.014
 p0.499
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.752
 Upperbound of 95% confidence interval for Sharpe Ratio2.791
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.753
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.791
Statistics related to Sortino ratio
 Sortino ratio0.028
 Upside Potential Ratio8.983
 Upside part of mean1.280
 Downside part of mean-1.276
 Upside SD0.147
 Downside SD0.142
 N nonnegative terms69.000
 N negative terms62.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.112
 Mean of criterion0.004
 SD of predictor0.137
 SD of criterion0.205
 Covariance0.021
 r0.758
 b (slope, estimate of beta)1.139
 a (intercept, estimate of alpha)-0.124
 Mean Square Error0.018
 DF error129.000
 t(b)13.195
 p(b)0.069
 t(a)-0.652
 p(a)0.536
 Lowerbound of 95% confidence interval for beta0.968
 Upperbound of 95% confidence interval for beta1.310
 Lowerbound of 95% confidence interval for alpha-0.501
 Upperbound of 95% confidence interval for alpha0.252
 Treynor index (mean / b)0.003
 Jensen alpha (a)-0.124
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.017
 SD0.205
 Sharpe ratio (Glass type estimate) -0.082
 Sharpe ratio (Hedges UMVUE)-0.082
 df130.000
 t-0.058
 p0.503
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.854
 Upperbound of 95% confidence interval for Sharpe Ratio2.690
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.854
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.690
Statistics related to Sortino ratio
 Sortino ratio-0.117
 Upside Potential Ratio8.813
 Upside part of mean1.269
 Downside part of mean-1.286
 Upside SD0.145
 Downside SD0.144
 N nonnegative terms69.000
 N negative terms62.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.103
 Mean of criterion-0.017
 SD of predictor0.137
 SD of criterion0.205
 Covariance0.021
 r0.760
 b (slope, estimate of beta)1.142
 a (intercept, estimate of alpha)-0.135
 Mean Square Error0.018
 DF error129.000
 t(b)13.290
 p(b)0.068
 t(a)-0.711
 p(a)0.540
 Lowerbound of 95% confidence interval for beta0.972
 Upperbound of 95% confidence interval for beta1.312
 Lowerbound of 95% confidence interval for alpha-0.509
 Upperbound of 95% confidence interval for alpha0.240
 Treynor index (mean / b)-0.015
 Jensen alpha (a)-0.135
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%)0.011
 Expected Shortfall on VaR0.020
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.963
 Quartile 10.992
 Median1.001
 Quartile 31.007
 Maximum1.040
 Mean of quarter 10.985
 Mean of quarter 20.996
 Mean of quarter 31.004
 Mean of quarter 41.016
 Inter Quartile Range0.015
 Number outliers low2.000
 Percentage of outliers low0.015
 Mean of outliers low0.964
 Number of outliers high2.000
 Percentage of outliers high0.015
 Mean of outliers high1.035
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.253
 VaR(95%) (moments method)0.016
 Expected Shortfall (moments method)0.019
 Extreme Value Index (regression method)-0.119
 VaR(95%) (regression method)0.015
 Expected Shortfall (regression method)0.018
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations7.000
 Minimum0.001
 Quartile 10.005
 Median0.028
 Quartile 30.056
 Maximum0.158
 Mean of quarter 10.003
 Mean of quarter 20.017
 Mean of quarter 30.040
 Mean of quarter 40.115
 Inter Quartile Range0.051
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.143
 Mean of outliers high0.158
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)0.027
 Compounded annual return (geometric extrapolation)0.027
 Calmar ratio (compounded annual return / max draw down)0.174
 Compounded annual return / average of 25% largest draw downs0.239
 Compounded annual return / Expected Shortfall lognormal1.064

Advanced Statistics: ETF Timer

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
 Mean0.095
 SD0.266
 Sharpe ratio (Glass type estimate) 0.357
 Sharpe ratio (Hedges UMVUE)0.356
 df202.000
 t1.469
 p0.072
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.121
 Upperbound of 95% confidence interval for Sharpe Ratio0.834
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.122
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.834
Statistics related to Sortino ratio
 Sortino ratio0.461
 Upside Potential Ratio1.555
 Upside part of mean0.320
 Downside part of mean-0.225
 Upside SD0.169
 Downside SD0.206
 N nonnegative terms114.000
 N negative terms89.000
Statistics related to linear regression on benchmark
 N of observations203.000
 Mean of predictor0.075
 Mean of criterion0.095
 SD of predictor0.186
 SD of criterion0.266
 Covariance0.018
 r0.360
 b (slope, estimate of beta)0.515
 a (intercept, estimate of alpha)0.056
 Mean Square Error0.062
 DF error201.000
 t(b)5.477
 p(b)0.276
 t(a)0.924
 p(a)0.459
 Lowerbound of 95% confidence interval for beta0.330
 Upperbound of 95% confidence interval for beta0.701
 Lowerbound of 95% confidence interval for alpha-0.064
 Upperbound of 95% confidence interval for alpha0.176
 Treynor index (mean / b)0.184
 Jensen alpha (a)0.056
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.045
 SD0.352
 Sharpe ratio (Glass type estimate) 0.128
 Sharpe ratio (Hedges UMVUE)0.128
 df202.000
 t0.528
 p0.299
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.349
 Upperbound of 95% confidence interval for Sharpe Ratio0.605
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.349
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.605
Statistics related to Sortino ratio
 Sortino ratio0.144
 Upside Potential Ratio0.977
 Upside part of mean0.306
 Downside part of mean-0.260
 Upside SD0.159
 Downside SD0.313
 N nonnegative terms114.000
 N negative terms89.000
Statistics related to linear regression on benchmark
 N of observations203.000
 Mean of predictor0.057
 Mean of criterion0.045
 SD of predictor0.188
 SD of criterion0.352
 Covariance0.017
 r0.258
 b (slope, estimate of beta)0.481
 a (intercept, estimate of alpha)0.018
 Mean Square Error0.116
 DF error201.000
 t(b)3.784
 p(b)0.338
 t(a)0.211
 p(a)0.491
 Lowerbound of 95% confidence interval for beta0.231
 Upperbound of 95% confidence interval for beta0.732
 Lowerbound of 95% confidence interval for alpha-0.146
 Upperbound of 95% confidence interval for alpha0.181
 Treynor index (mean / b)0.094
 Jensen alpha (a)0.018
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.151
 Expected Shortfall on VaR0.185
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.038
 Expected Shortfall on VaR0.087
ORDER STATISTICS
Quartiles of return rates
 Number of observations203.000
 Minimum0.309
 Quartile 10.982
 Median1.010
 Quartile 31.042
 Maximum1.201
 Mean of quarter 10.935
 Mean of quarter 20.998
 Mean of quarter 31.025
 Mean of quarter 41.088
 Inter Quartile Range0.060
 Number outliers low5.000
 Percentage of outliers low0.025
 Mean of outliers low0.740
 Number of outliers high10.000
 Percentage of outliers high0.049
 Mean of outliers high1.160
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.468
 VaR(95%) (moments method)0.059
 Expected Shortfall (moments method)0.127
 Extreme Value Index (regression method)0.373
 VaR(95%) (regression method)0.057
 Expected Shortfall (regression method)0.109
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations21.000
 Minimum0.001
 Quartile 10.020
 Median0.050
 Quartile 30.142
 Maximum0.691
 Mean of quarter 10.009
 Mean of quarter 20.041
 Mean of quarter 30.102
 Mean of quarter 40.341
 Inter Quartile Range0.123
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high2.000
 Percentage of outliers high0.095
 Mean of outliers high0.517
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.142
 VaR(95%) (moments method)0.327
 Expected Shortfall (moments method)0.480
 Extreme Value Index (regression method)0.527
 VaR(95%) (regression method)0.437
 Expected Shortfall (regression method)0.992
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.208
 Compounded annual return (geometric extrapolation)0.093
 Calmar ratio (compounded annual return / max draw down)0.135
 Compounded annual return / average of 25% largest draw downs0.274
 Compounded annual return / Expected Shortfall lognormal0.503
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.135
 SD0.396
 Sharpe ratio (Glass type estimate) 0.342
 Sharpe ratio (Hedges UMVUE)0.342
 df4433.000
 t1.408
 p0.080
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.134
 Upperbound of 95% confidence interval for Sharpe Ratio0.819
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.134
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.819
Statistics related to Sortino ratio
 Sortino ratio0.472
 Upside Potential Ratio4.600
 Upside part of mean1.319
 Downside part of mean-1.184
 Upside SD0.273
 Downside SD0.287
 N nonnegative terms2182.000
 N negative terms2252.000
Statistics related to linear regression on benchmark
 N of observations4434.000
 Mean of predictor0.113
 Mean of criterion0.135
 SD of predictor0.335
 SD of criterion0.396
 Covariance-0.026
 r-0.193
 b (slope, estimate of beta)-0.229
 a (intercept, estimate of alpha)0.161
 Mean Square Error0.151
 DF error4432.000
 t(b)-13.121
 p(b)1.000
 t(a)1.708
 p(a)0.044
 Lowerbound of 95% confidence interval for beta-0.263
 Upperbound of 95% confidence interval for beta-0.194
 Lowerbound of 95% confidence interval for alpha-0.024
 Upperbound of 95% confidence interval for alpha0.346
 Treynor index (mean / b)-0.593
 Jensen alpha (a)0.161
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.044
 SD0.452
 Sharpe ratio (Glass type estimate) 0.098
 Sharpe ratio (Hedges UMVUE)0.098
 df4433.000
 t0.405
 p0.343
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.378
 Upperbound of 95% confidence interval for Sharpe Ratio0.575
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.378
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.575
Statistics related to Sortino ratio
 Sortino ratio0.119
 Upside Potential Ratio3.427
 Upside part of mean1.286
 Downside part of mean-1.241
 Upside SD0.252
 Downside SD0.375
 N nonnegative terms2182.000
 N negative terms2252.000
Statistics related to linear regression on benchmark
 N of observations4434.000
 Mean of predictor0.057
 Mean of criterion0.044
 SD of predictor0.335
 SD of criterion0.452
 Covariance-0.026
 r-0.173
 b (slope, estimate of beta)-0.234
 a (intercept, estimate of alpha)0.058
 Mean Square Error0.198
 DF error4432.000
 t(b)-11.720
 p(b)1.000
 t(a)0.534
 p(a)0.297
 Lowerbound of 95% confidence interval for beta-0.273
 Upperbound of 95% confidence interval for beta-0.195
 Lowerbound of 95% confidence interval for alpha-0.154
 Upperbound of 95% confidence interval for alpha0.270
 Treynor index (mean / b)-0.190
 Jensen alpha (a)0.058
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.045
 Expected Shortfall on VaR0.056
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.010
 Expected Shortfall on VaR0.023
ORDER STATISTICS
Quartiles of return rates
 Number of observations4434.000
 Minimum0.318
 Quartile 10.996
 Median1.000
 Quartile 31.005
 Maximum1.361
 Mean of quarter 10.983
 Mean of quarter 20.999
 Mean of quarter 31.002
 Mean of quarter 41.018
 Inter Quartile Range0.009
 Number outliers low268.000
 Percentage of outliers low0.060
 Mean of outliers low0.957
 Number of outliers high256.000
 Percentage of outliers high0.058
 Mean of outliers high1.045
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.636
 VaR(95%) (moments method)0.015
 Expected Shortfall (moments method)0.044
 Extreme Value Index (regression method)0.483
 VaR(95%) (regression method)0.013
 Expected Shortfall (regression method)0.028
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations124.000
 Minimum0.000
 Quartile 10.003
 Median0.007
 Quartile 30.029
 Maximum0.697
 Mean of quarter 10.001
 Mean of quarter 20.005
 Mean of quarter 30.016
 Mean of quarter 40.127
 Inter Quartile Range0.026
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high18.000
 Percentage of outliers high0.145
 Mean of outliers high0.188
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.644
 VaR(95%) (moments method)0.120
 Expected Shortfall (moments method)0.377
 Extreme Value Index (regression method)0.599
 VaR(95%) (regression method)0.125
 Expected Shortfall (regression method)0.355
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.205
 Compounded annual return (geometric extrapolation)0.093
 Calmar ratio (compounded annual return / max draw down)0.133
 Compounded annual return / average of 25% largest draw downs0.726
 Compounded annual return / Expected Shortfall lognormal1.659
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.004
 SD0.205
 Sharpe ratio (Glass type estimate) 0.019
 Sharpe ratio (Hedges UMVUE)0.019
 df130.000
 t0.014
 p0.499
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.752
 Upperbound of 95% confidence interval for Sharpe Ratio2.791
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.753
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.791
Statistics related to Sortino ratio
 Sortino ratio0.028
 Upside Potential Ratio8.983
 Upside part of mean1.280
 Downside part of mean-1.276
 Upside SD0.147
 Downside SD0.142
 N nonnegative terms69.000
 N negative terms62.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.112
 Mean of criterion0.004
 SD of predictor0.137
 SD of criterion0.205
 Covariance0.021
 r0.758
 b (slope, estimate of beta)1.139
 a (intercept, estimate of alpha)-0.124
 Mean Square Error0.018
 DF error129.000
 t(b)13.195
 p(b)0.069
 t(a)-0.652
 p(a)0.536
 Lowerbound of 95% confidence interval for beta0.968
 Upperbound of 95% confidence interval for beta1.310
 Lowerbound of 95% confidence interval for alpha-0.501
 Upperbound of 95% confidence interval for alpha0.252
 Treynor index (mean / b)0.003
 Jensen alpha (a)-0.124
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.017
 SD0.205
 Sharpe ratio (Glass type estimate) -0.082
 Sharpe ratio (Hedges UMVUE)-0.082
 df130.000
 t-0.058
 p0.503
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.854
 Upperbound of 95% confidence interval for Sharpe Ratio2.690
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.854
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.690
Statistics related to Sortino ratio
 Sortino ratio-0.117
 Upside Potential Ratio8.813
 Upside part of mean1.269
 Downside part of mean-1.286
 Upside SD0.145
 Downside SD0.144
 N nonnegative terms69.000
 N negative terms62.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.103
 Mean of criterion-0.017
 SD of predictor0.137
 SD of criterion0.205
 Covariance0.021
 r0.760
 b (slope, estimate of beta)1.142
 a (intercept, estimate of alpha)-0.135
 Mean Square Error0.018
 DF error129.000
 t(b)13.290
 p(b)0.068
 t(a)-0.711
 p(a)0.540
 Lowerbound of 95% confidence interval for beta0.972
 Upperbound of 95% confidence interval for beta1.312
 Lowerbound of 95% confidence interval for alpha-0.509
 Upperbound of 95% confidence interval for alpha0.240
 Treynor index (mean / b)-0.015
 Jensen alpha (a)-0.135
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%)0.011
 Expected Shortfall on VaR0.020
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.963
 Quartile 10.992
 Median1.001
 Quartile 31.007
 Maximum1.040
 Mean of quarter 10.985
 Mean of quarter 20.996
 Mean of quarter 31.004
 Mean of quarter 41.016
 Inter Quartile Range0.015
 Number outliers low2.000
 Percentage of outliers low0.015
 Mean of outliers low0.964
 Number of outliers high2.000
 Percentage of outliers high0.015
 Mean of outliers high1.035
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)-0.253
 VaR(95%) (moments method)0.016
 Expected Shortfall (moments method)0.019
 Extreme Value Index (regression method)-0.119
 VaR(95%) (regression method)0.015
 Expected Shortfall (regression method)0.018
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations7.000
 Minimum0.001
 Quartile 10.005
 Median0.028
 Quartile 30.056
 Maximum0.158
 Mean of quarter 10.003
 Mean of quarter 20.017
 Mean of quarter 30.040
 Mean of quarter 40.115
 Inter Quartile Range0.051
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.143
 Mean of outliers high0.158
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)0.027
 Compounded annual return (geometric extrapolation)0.027
 Calmar ratio (compounded annual return / max draw down)0.174
 Compounded annual return / average of 25% largest draw downs0.239
 Compounded annual return / Expected Shortfall lognormal1.064