Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +36.6% 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
 Mean0.136
 SD0.396
 Sharpe ratio (Glass type estimate) 0.344
 Sharpe ratio (Hedges UMVUE)0.344
 df4432.000
 t1.415
 p0.079
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.133
 Upperbound of 95% confidence interval for Sharpe Ratio0.821
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.133
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.820
Statistics related to Sortino ratio
 Sortino ratio0.475
 Upside Potential Ratio4.601
 Upside part of mean1.320
 Downside part of mean-1.184
 Upside SD0.273
 Downside SD0.287
 N nonnegative terms2183.000
 N negative terms2250.000
Statistics related to linear regression on benchmark
 N of observations4433.000
 Mean of predictor0.113
 Mean of criterion0.136
 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)0.162
 Mean Square Error0.151
 DF error4431.000
 t(b)-13.127
 p(b)1.000
 t(a)1.716
 p(a)0.043
 Lowerbound of 95% confidence interval for beta-0.263
 Upperbound of 95% confidence interval for beta-0.195
 Lowerbound of 95% confidence interval for alpha-0.023
 Upperbound of 95% confidence interval for alpha0.347
 Treynor index (mean / b)-0.595
 Jensen alpha (a)0.162
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.045
 SD0.452
 Sharpe ratio (Glass type estimate) 0.100
 Sharpe ratio (Hedges UMVUE)0.100
 df4432.000
 t0.411
 p0.341
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.377
 Upperbound of 95% confidence interval for Sharpe Ratio0.576
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.377
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.576
Statistics related to Sortino ratio
 Sortino ratio0.120
 Upside Potential Ratio3.428
 Upside part of mean1.286
 Downside part of mean-1.241
 Upside SD0.252
 Downside SD0.375
 N nonnegative terms2183.000
 N negative terms2250.000
Statistics related to linear regression on benchmark
 N of observations4433.000
 Mean of predictor0.057
 Mean of criterion0.045
 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)0.059
 Mean Square Error0.198
 DF error4431.000
 t(b)-11.725
 p(b)1.000
 t(a)0.540
 p(a)0.294
 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 alpha0.271
 Treynor index (mean / b)-0.193
 Jensen alpha (a)0.059
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 observations4433.000
 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)0.638
 VaR(95%) (moments method)0.015
 Expected Shortfall (moments method)0.045
 Extreme Value Index (regression method)0.485
 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 high17.000
 Percentage of outliers high0.137
 Mean of outliers high0.195
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.650
 VaR(95%) (moments method)0.120
 Expected Shortfall (moments method)0.383
 Extreme Value Index (regression method)0.609
 VaR(95%) (regression method)0.125
 Expected Shortfall (regression method)0.364
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.208
 Compounded annual return (geometric extrapolation)0.093
 Calmar ratio (compounded annual return / max draw down)0.134
 Compounded annual return / average of 25% largest draw downs0.733
 Compounded annual return / Expected Shortfall lognormal1.672
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.023
 SD0.205
 Sharpe ratio (Glass type estimate) 0.112
 Sharpe ratio (Hedges UMVUE)0.112
 df130.000
 t0.079
 p0.497
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.660
 Upperbound of 95% confidence interval for Sharpe Ratio2.884
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.660
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.883
Statistics related to Sortino ratio
 Sortino ratio0.162
 Upside Potential Ratio9.031
 Upside part of mean1.281
 Downside part of mean-1.258
 Upside SD0.147
 Downside SD0.142
 N nonnegative terms70.000
 N negative terms61.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.110
 Mean of criterion0.023
 SD of predictor0.133
 SD of criterion0.205
 Covariance0.021
 r0.768
 b (slope, estimate of beta)1.180
 a (intercept, estimate of alpha)-0.107
 Mean Square Error0.017
 DF error129.000
 t(b)13.607
 p(b)0.065
 t(a)-0.571
 p(a)0.532
 Lowerbound of 95% confidence interval for beta1.008
 Upperbound of 95% confidence interval for beta1.352
 Lowerbound of 95% confidence interval for alpha-0.475
 Upperbound of 95% confidence interval for alpha0.262
 Treynor index (mean / b)0.019
 Jensen alpha (a)-0.107
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.002
 SD0.205
 Sharpe ratio (Glass type estimate) 0.011
 Sharpe ratio (Hedges UMVUE)0.011
 df130.000
 t0.008
 p0.500
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.761
 Upperbound of 95% confidence interval for Sharpe Ratio2.782
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.761
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.782
Statistics related to Sortino ratio
 Sortino ratio0.015
 Upside Potential Ratio8.859
 Upside part of mean1.270
 Downside part of mean-1.268
 Upside SD0.145
 Downside SD0.143
 N nonnegative terms70.000
 N negative terms61.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.101
 Mean of criterion0.002
 SD of predictor0.133
 SD of criterion0.205
 Covariance0.021
 r0.770
 b (slope, estimate of beta)1.183
 a (intercept, estimate of alpha)-0.117
 Mean Square Error0.017
 DF error129.000
 t(b)13.707
 p(b)0.064
 t(a)-0.631
 p(a)0.535
 Lowerbound of 95% confidence interval for beta1.012
 Upperbound of 95% confidence interval for beta1.354
 Lowerbound of 95% confidence interval for alpha-0.484
 Upperbound of 95% confidence interval for alpha0.250
 Treynor index (mean / b)0.002
 Jensen alpha (a)-0.117
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 10.993
 Median1.001
 Quartile 31.007
 Maximum1.040
 Mean of quarter 10.985
 Mean of quarter 20.997
 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)-0.204
 VaR(95%) (moments method)0.016
 Expected Shortfall (moments method)0.019
 Extreme Value Index (regression method)-0.089
 VaR(95%) (regression method)0.015
 Expected Shortfall (regression method)0.018
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations8.000
 Minimum0.001
 Quartile 10.003
 Median0.017
 Quartile 30.046
 Maximum0.158
 Mean of quarter 10.001
 Mean of quarter 20.005
 Mean of quarter 30.034
 Mean of quarter 40.111
 Inter Quartile Range0.043
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.125
 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)0.047
 Compounded annual return (geometric extrapolation)0.047
 Calmar ratio (compounded annual return / max draw down)0.300
 Compounded annual return / average of 25% largest draw downs0.425
 Compounded annual return / Expected Shortfall lognormal1.839

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
 Mean0.136
 SD0.396
 Sharpe ratio (Glass type estimate) 0.344
 Sharpe ratio (Hedges UMVUE)0.344
 df4432.000
 t1.415
 p0.079
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.133
 Upperbound of 95% confidence interval for Sharpe Ratio0.821
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.133
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.820
Statistics related to Sortino ratio
 Sortino ratio0.475
 Upside Potential Ratio4.601
 Upside part of mean1.320
 Downside part of mean-1.184
 Upside SD0.273
 Downside SD0.287
 N nonnegative terms2183.000
 N negative terms2250.000
Statistics related to linear regression on benchmark
 N of observations4433.000
 Mean of predictor0.113
 Mean of criterion0.136
 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)0.162
 Mean Square Error0.151
 DF error4431.000
 t(b)-13.127
 p(b)1.000
 t(a)1.716
 p(a)0.043
 Lowerbound of 95% confidence interval for beta-0.263
 Upperbound of 95% confidence interval for beta-0.195
 Lowerbound of 95% confidence interval for alpha-0.023
 Upperbound of 95% confidence interval for alpha0.347
 Treynor index (mean / b)-0.595
 Jensen alpha (a)0.162
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.045
 SD0.452
 Sharpe ratio (Glass type estimate) 0.100
 Sharpe ratio (Hedges UMVUE)0.100
 df4432.000
 t0.411
 p0.341
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.377
 Upperbound of 95% confidence interval for Sharpe Ratio0.576
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.377
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.576
Statistics related to Sortino ratio
 Sortino ratio0.120
 Upside Potential Ratio3.428
 Upside part of mean1.286
 Downside part of mean-1.241
 Upside SD0.252
 Downside SD0.375
 N nonnegative terms2183.000
 N negative terms2250.000
Statistics related to linear regression on benchmark
 N of observations4433.000
 Mean of predictor0.057
 Mean of criterion0.045
 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)0.059
 Mean Square Error0.198
 DF error4431.000
 t(b)-11.725
 p(b)1.000
 t(a)0.540
 p(a)0.294
 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 alpha0.271
 Treynor index (mean / b)-0.193
 Jensen alpha (a)0.059
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 observations4433.000
 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)0.638
 VaR(95%) (moments method)0.015
 Expected Shortfall (moments method)0.045
 Extreme Value Index (regression method)0.485
 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 high17.000
 Percentage of outliers high0.137
 Mean of outliers high0.195
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.650
 VaR(95%) (moments method)0.120
 Expected Shortfall (moments method)0.383
 Extreme Value Index (regression method)0.609
 VaR(95%) (regression method)0.125
 Expected Shortfall (regression method)0.364
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.208
 Compounded annual return (geometric extrapolation)0.093
 Calmar ratio (compounded annual return / max draw down)0.134
 Compounded annual return / average of 25% largest draw downs0.733
 Compounded annual return / Expected Shortfall lognormal1.672
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean0.023
 SD0.205
 Sharpe ratio (Glass type estimate) 0.112
 Sharpe ratio (Hedges UMVUE)0.112
 df130.000
 t0.079
 p0.497
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.660
 Upperbound of 95% confidence interval for Sharpe Ratio2.884
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.660
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.883
Statistics related to Sortino ratio
 Sortino ratio0.162
 Upside Potential Ratio9.031
 Upside part of mean1.281
 Downside part of mean-1.258
 Upside SD0.147
 Downside SD0.142
 N nonnegative terms70.000
 N negative terms61.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.110
 Mean of criterion0.023
 SD of predictor0.133
 SD of criterion0.205
 Covariance0.021
 r0.768
 b (slope, estimate of beta)1.180
 a (intercept, estimate of alpha)-0.107
 Mean Square Error0.017
 DF error129.000
 t(b)13.607
 p(b)0.065
 t(a)-0.571
 p(a)0.532
 Lowerbound of 95% confidence interval for beta1.008
 Upperbound of 95% confidence interval for beta1.352
 Lowerbound of 95% confidence interval for alpha-0.475
 Upperbound of 95% confidence interval for alpha0.262
 Treynor index (mean / b)0.019
 Jensen alpha (a)-0.107
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean0.002
 SD0.205
 Sharpe ratio (Glass type estimate) 0.011
 Sharpe ratio (Hedges UMVUE)0.011
 df130.000
 t0.008
 p0.500
 Lowerbound of 95% confidence interval for Sharpe Ratio-2.761
 Upperbound of 95% confidence interval for Sharpe Ratio2.782
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-2.761
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)2.782
Statistics related to Sortino ratio
 Sortino ratio0.015
 Upside Potential Ratio8.859
 Upside part of mean1.270
 Downside part of mean-1.268
 Upside SD0.145
 Downside SD0.143
 N nonnegative terms70.000
 N negative terms61.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor0.101
 Mean of criterion0.002
 SD of predictor0.133
 SD of criterion0.205
 Covariance0.021
 r0.770
 b (slope, estimate of beta)1.183
 a (intercept, estimate of alpha)-0.117
 Mean Square Error0.017
 DF error129.000
 t(b)13.707
 p(b)0.064
 t(a)-0.631
 p(a)0.535
 Lowerbound of 95% confidence interval for beta1.012
 Upperbound of 95% confidence interval for beta1.354
 Lowerbound of 95% confidence interval for alpha-0.484
 Upperbound of 95% confidence interval for alpha0.250
 Treynor index (mean / b)0.002
 Jensen alpha (a)-0.117
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 10.993
 Median1.001
 Quartile 31.007
 Maximum1.040
 Mean of quarter 10.985
 Mean of quarter 20.997
 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)-0.204
 VaR(95%) (moments method)0.016
 Expected Shortfall (moments method)0.019
 Extreme Value Index (regression method)-0.089
 VaR(95%) (regression method)0.015
 Expected Shortfall (regression method)0.018
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations8.000
 Minimum0.001
 Quartile 10.003
 Median0.017
 Quartile 30.046
 Maximum0.158
 Mean of quarter 10.001
 Mean of quarter 20.005
 Mean of quarter 30.034
 Mean of quarter 40.111
 Inter Quartile Range0.043
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high1.000
 Percentage of outliers high0.125
 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)0.047
 Compounded annual return (geometric extrapolation)0.047
 Calmar ratio (compounded annual return / max draw down)0.300
 Compounded annual return / average of 25% largest draw downs0.425
 Compounded annual return / Expected Shortfall lognormal1.839