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Featured Strategy QUANT AI Gold and Silver +33.1% Cumul. Return since Sep 23, 2025 Hypothetical

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Advanced Statistics: GoldenStocks Short Only

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
 Mean-0.025
 SD0.082
 Sharpe ratio (Glass type estimate) -0.299
 Sharpe ratio (Hedges UMVUE)-0.296
 df68.000
 t-0.717
 p0.762
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.117
 Upperbound of 95% confidence interval for Sharpe Ratio0.521
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.115
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.523
Statistics related to Sortino ratio
 Sortino ratio-0.567
 Upside Potential Ratio1.214
 Upside part of mean0.053
 Downside part of mean-0.077
 Upside SD0.070
 Downside SD0.043
 N nonnegative terms14.000
 N negative terms55.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.289
 Mean of criterion-0.025
 SD of predictor0.383
 SD of criterion0.082
 Covariance-0.012
 r-0.375
 b (slope, estimate of beta)-0.081
 a (intercept, estimate of alpha)-0.001
 Mean Square Error0.006
 DF error67.000
 t(b)-3.312
 p(b)0.999
 t(a)-0.041
 p(a)0.516
 Lowerbound of 95% confidence interval for beta-0.129
 Upperbound of 95% confidence interval for beta-0.032
 Lowerbound of 95% confidence interval for alpha-0.067
 Upperbound of 95% confidence interval for alpha0.064
 Treynor index (mean / b)0.306
 Jensen alpha (a)-0.001
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.079
 Sharpe ratio (Glass type estimate) -0.350
 Sharpe ratio (Hedges UMVUE)-0.346
 df68.000
 t-0.840
 p0.798
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.168
 Upperbound of 95% confidence interval for Sharpe Ratio0.470
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.166
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.473
Statistics related to Sortino ratio
 Sortino ratio-0.627
 Upside Potential Ratio1.137
 Upside part of mean0.050
 Downside part of mean-0.078
 Upside SD0.065
 Downside SD0.044
 N nonnegative terms14.000
 N negative terms55.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.222
 Mean of criterion-0.028
 SD of predictor0.349
 SD of criterion0.079
 Covariance-0.012
 r-0.439
 b (slope, estimate of beta)-0.100
 a (intercept, estimate of alpha)-0.006
 Mean Square Error0.005
 DF error67.000
 t(b)-4.004
 p(b)1.000
 t(a)-0.184
 p(a)0.573
 Lowerbound of 95% confidence interval for beta-0.150
 Upperbound of 95% confidence interval for beta-0.050
 Lowerbound of 95% confidence interval for alpha-0.066
 Upperbound of 95% confidence interval for alpha0.055
 Treynor index (mean / b)0.278
 Jensen alpha (a)-0.006
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.039
 Expected Shortfall on VaR0.048
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.020
 Expected Shortfall on VaR0.035
ORDER STATISTICS
Quartiles of return rates
 Number of observations69.000
 Minimum0.944
 Quartile 10.997
 Median1.000
 Quartile 31.002
 Maximum1.148
 Mean of quarter 10.986
 Mean of quarter 20.999
 Mean of quarter 31.001
 Mean of quarter 41.021
 Inter Quartile Range0.005
 Number outliers low5.000
 Percentage of outliers low0.072
 Mean of outliers low0.964
 Number of outliers high5.000
 Percentage of outliers high0.072
 Mean of outliers high1.060
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.967
 VaR(95%) (moments method)0.014
 Expected Shortfall (moments method)0.430
 Extreme Value Index (regression method)0.843
 VaR(95%) (regression method)0.012
 Expected Shortfall (regression method)0.078
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations8.000
 Minimum0.002
 Quartile 10.005
 Median0.014
 Quartile 30.030
 Maximum0.076
 Mean of quarter 10.003
 Mean of quarter 20.008
 Mean of quarter 30.018
 Mean of quarter 40.068
 Inter Quartile Range0.024
 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 high0.076
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)0.017
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.217
 Compounded annual return / average of 25% largest draw downs0.241
 Compounded annual return / Expected Shortfall lognormal0.340
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.004
 SD0.219
 Sharpe ratio (Glass type estimate) -0.018
 Sharpe ratio (Hedges UMVUE)-0.018
 df1507.000
 t-0.042
 p0.501
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.834
 Upperbound of 95% confidence interval for Sharpe Ratio0.799
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.834
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.799
Statistics related to Sortino ratio
 Sortino ratio-0.025
 Upside Potential Ratio3.454
 Upside part of mean0.524
 Downside part of mean-0.528
 Upside SD0.158
 Downside SD0.152
 N nonnegative terms588.000
 N negative terms920.000
Statistics related to linear regression on benchmark
 N of observations1508.000
 Mean of predictor0.424
 Mean of criterion-0.004
 SD of predictor0.604
 SD of criterion0.219
 Covariance-0.087
 r-0.660
 b (slope, estimate of beta)-0.239
 a (intercept, estimate of alpha)0.098
 Mean Square Error0.027
 DF error1506.000
 t(b)-34.085
 p(b)0.830
 t(a)1.421
 p(a)0.482
 Lowerbound of 95% confidence interval for beta-0.253
 Upperbound of 95% confidence interval for beta-0.226
 Lowerbound of 95% confidence interval for alpha-0.037
 Upperbound of 95% confidence interval for alpha0.232
 Treynor index (mean / b)0.016
 Jensen alpha (a)0.098
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.219
 Sharpe ratio (Glass type estimate) -0.127
 Sharpe ratio (Hedges UMVUE)-0.127
 df1507.000
 t-0.304
 p0.505
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.944
 Upperbound of 95% confidence interval for Sharpe Ratio0.690
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.944
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.690
Statistics related to Sortino ratio
 Sortino ratio-0.175
 Upside Potential Ratio3.218
 Upside part of mean0.512
 Downside part of mean-0.540
 Upside SD0.150
 Downside SD0.159
 N nonnegative terms588.000
 N negative terms920.000
Statistics related to linear regression on benchmark
 N of observations1508.000
 Mean of predictor0.243
 Mean of criterion-0.028
 SD of predictor0.600
 SD of criterion0.219
 Covariance-0.087
 r-0.664
 b (slope, estimate of beta)-0.242
 a (intercept, estimate of alpha)0.031
 Mean Square Error0.027
 DF error1506.000
 t(b)-34.464
 p(b)0.832
 t(a)0.456
 p(a)0.494
 Lowerbound of 95% confidence interval for beta-0.256
 Upperbound of 95% confidence interval for beta-0.229
 Lowerbound of 95% confidence interval for alpha-0.103
 Upperbound of 95% confidence interval for alpha0.165
 Treynor index (mean / b)0.115
 Jensen alpha (a)0.031
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.022
 Expected Shortfall on VaR0.028
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 observations1508.000
 Minimum0.861
 Quartile 11.000
 Median1.000
 Quartile 31.001
 Maximum1.159
 Mean of quarter 10.992
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.008
 Inter Quartile Range0.001
 Number outliers low156.000
 Percentage of outliers low0.103
 Mean of outliers low0.983
 Number of outliers high186.000
 Percentage of outliers high0.123
 Mean of outliers high1.015
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)1.280
 VaR(95%) (moments method)0.005
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)0.888
 VaR(95%) (regression method)0.004
 Expected Shortfall (regression method)0.040
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations33.000
 Minimum0.000
 Quartile 10.004
 Median0.010
 Quartile 30.022
 Maximum0.155
 Mean of quarter 10.001
 Mean of quarter 20.007
 Mean of quarter 30.015
 Mean of quarter 40.086
 Inter Quartile Range0.018
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high5.000
 Percentage of outliers high0.152
 Mean of outliers high0.119
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.273
 VaR(95%) (moments method)0.071
 Expected Shortfall (moments method)0.125
 Extreme Value Index (regression method)-0.523
 VaR(95%) (regression method)0.094
 Expected Shortfall (regression method)0.111
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.017
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.106
 Compounded annual return / average of 25% largest draw downs0.190
 Compounded annual return / Expected Shortfall lognormal0.593
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.069
 SD0.029
 Sharpe ratio (Glass type estimate) -2.354
 Sharpe ratio (Hedges UMVUE)-2.340
 df130.000
 t-1.664
 p0.572
 Lowerbound of 95% confidence interval for Sharpe Ratio-5.136
 Upperbound of 95% confidence interval for Sharpe Ratio0.437
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-5.127
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.446
Statistics related to Sortino ratio
 Sortino ratio-3.196
 Upside Potential Ratio1.733
 Upside part of mean0.038
 Downside part of mean-0.107
 Upside SD0.020
 Downside SD0.022
 N nonnegative terms8.000
 N negative terms123.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.958
 Mean of criterion-0.069
 SD of predictor0.699
 SD of criterion0.029
 Covariance-0.000
 r-0.009
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.069
 Mean Square Error0.001
 DF error129.000
 t(b)-0.104
 p(b)0.506
 t(a)-1.616
 p(a)0.589
 Lowerbound of 95% confidence interval for beta-0.008
 Upperbound of 95% confidence interval for beta0.007
 Lowerbound of 95% confidence interval for alpha-0.153
 Upperbound of 95% confidence interval for alpha0.015
 Treynor index (mean / b)179.370
 Jensen alpha (a)-0.069
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.070
 SD0.029
 Sharpe ratio (Glass type estimate) -2.369
 Sharpe ratio (Hedges UMVUE)-2.355
 df130.000
 t-1.675
 p0.573
 Lowerbound of 95% confidence interval for Sharpe Ratio-5.151
 Upperbound of 95% confidence interval for Sharpe Ratio0.423
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-5.141
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.432
Statistics related to Sortino ratio
 Sortino ratio-3.196
 Upside Potential Ratio1.713
 Upside part of mean0.037
 Downside part of mean-0.107
 Upside SD0.020
 Downside SD0.022
 N nonnegative terms8.000
 N negative terms123.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.714
 Mean of criterion-0.070
 SD of predictor0.691
 SD of criterion0.029
 Covariance-0.000
 r-0.011
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.069
 Mean Square Error0.001
 DF error129.000
 t(b)-0.121
 p(b)0.507
 t(a)-1.631
 p(a)0.590
 Lowerbound of 95% confidence interval for beta-0.008
 Upperbound of 95% confidence interval for beta0.007
 Lowerbound of 95% confidence interval for alpha-0.153
 Upperbound of 95% confidence interval for alpha0.015
 Treynor index (mean / b)153.687
 Jensen alpha (a)-0.069
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.003
 Expected Shortfall on VaR0.004
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.001
 Expected Shortfall on VaR0.003
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.986
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.014
 Mean of quarter 10.999
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.001
 Inter Quartile Range0.000
 Number outliers low22.000
 Percentage of outliers low0.168
 Mean of outliers low0.998
 Number of outliers high14.000
 Percentage of outliers high0.107
 Mean of outliers high1.001
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.755
 VaR(95%) (moments method)0.001
 Expected Shortfall (moments method)0.004
 Extreme Value Index (regression method)0.651
 VaR(95%) (regression method)0.001
 Expected Shortfall (regression method)0.003
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.013
 Quartile 10.013
 Median0.013
 Quartile 30.014
 Maximum0.014
 Mean of quarter 10.013
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.014
 Inter Quartile Range0.001
 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)-0.026
 Compounded annual return (geometric extrapolation)-0.025
 Calmar ratio (compounded annual return / max draw down)-1.807
 Compounded annual return / average of 25% largest draw downs-1.807
 Compounded annual return / Expected Shortfall lognormal-6.335

Advanced Statistics: GoldenStocks Short Only

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
 Mean-0.025
 SD0.082
 Sharpe ratio (Glass type estimate) -0.299
 Sharpe ratio (Hedges UMVUE)-0.296
 df68.000
 t-0.717
 p0.762
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.117
 Upperbound of 95% confidence interval for Sharpe Ratio0.521
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.115
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.523
Statistics related to Sortino ratio
 Sortino ratio-0.567
 Upside Potential Ratio1.214
 Upside part of mean0.053
 Downside part of mean-0.077
 Upside SD0.070
 Downside SD0.043
 N nonnegative terms14.000
 N negative terms55.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.289
 Mean of criterion-0.025
 SD of predictor0.383
 SD of criterion0.082
 Covariance-0.012
 r-0.375
 b (slope, estimate of beta)-0.081
 a (intercept, estimate of alpha)-0.001
 Mean Square Error0.006
 DF error67.000
 t(b)-3.312
 p(b)0.999
 t(a)-0.041
 p(a)0.516
 Lowerbound of 95% confidence interval for beta-0.129
 Upperbound of 95% confidence interval for beta-0.032
 Lowerbound of 95% confidence interval for alpha-0.067
 Upperbound of 95% confidence interval for alpha0.064
 Treynor index (mean / b)0.306
 Jensen alpha (a)-0.001
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.079
 Sharpe ratio (Glass type estimate) -0.350
 Sharpe ratio (Hedges UMVUE)-0.346
 df68.000
 t-0.840
 p0.798
 Lowerbound of 95% confidence interval for Sharpe Ratio-1.168
 Upperbound of 95% confidence interval for Sharpe Ratio0.470
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-1.166
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.473
Statistics related to Sortino ratio
 Sortino ratio-0.627
 Upside Potential Ratio1.137
 Upside part of mean0.050
 Downside part of mean-0.078
 Upside SD0.065
 Downside SD0.044
 N nonnegative terms14.000
 N negative terms55.000
Statistics related to linear regression on benchmark
 N of observations69.000
 Mean of predictor0.222
 Mean of criterion-0.028
 SD of predictor0.349
 SD of criterion0.079
 Covariance-0.012
 r-0.439
 b (slope, estimate of beta)-0.100
 a (intercept, estimate of alpha)-0.006
 Mean Square Error0.005
 DF error67.000
 t(b)-4.004
 p(b)1.000
 t(a)-0.184
 p(a)0.573
 Lowerbound of 95% confidence interval for beta-0.150
 Upperbound of 95% confidence interval for beta-0.050
 Lowerbound of 95% confidence interval for alpha-0.066
 Upperbound of 95% confidence interval for alpha0.055
 Treynor index (mean / b)0.278
 Jensen alpha (a)-0.006
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.039
 Expected Shortfall on VaR0.048
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.020
 Expected Shortfall on VaR0.035
ORDER STATISTICS
Quartiles of return rates
 Number of observations69.000
 Minimum0.944
 Quartile 10.997
 Median1.000
 Quartile 31.002
 Maximum1.148
 Mean of quarter 10.986
 Mean of quarter 20.999
 Mean of quarter 31.001
 Mean of quarter 41.021
 Inter Quartile Range0.005
 Number outliers low5.000
 Percentage of outliers low0.072
 Mean of outliers low0.964
 Number of outliers high5.000
 Percentage of outliers high0.072
 Mean of outliers high1.060
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.967
 VaR(95%) (moments method)0.014
 Expected Shortfall (moments method)0.430
 Extreme Value Index (regression method)0.843
 VaR(95%) (regression method)0.012
 Expected Shortfall (regression method)0.078
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations8.000
 Minimum0.002
 Quartile 10.005
 Median0.014
 Quartile 30.030
 Maximum0.076
 Mean of quarter 10.003
 Mean of quarter 20.008
 Mean of quarter 30.018
 Mean of quarter 40.068
 Inter Quartile Range0.024
 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 high0.076
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)0.017
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.217
 Compounded annual return / average of 25% largest draw downs0.241
 Compounded annual return / Expected Shortfall lognormal0.340
ANALYSIS BASED ON DAILY VALUES, FULL HISTORY (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.004
 SD0.219
 Sharpe ratio (Glass type estimate) -0.018
 Sharpe ratio (Hedges UMVUE)-0.018
 df1507.000
 t-0.042
 p0.501
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.834
 Upperbound of 95% confidence interval for Sharpe Ratio0.799
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.834
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.799
Statistics related to Sortino ratio
 Sortino ratio-0.025
 Upside Potential Ratio3.454
 Upside part of mean0.524
 Downside part of mean-0.528
 Upside SD0.158
 Downside SD0.152
 N nonnegative terms588.000
 N negative terms920.000
Statistics related to linear regression on benchmark
 N of observations1508.000
 Mean of predictor0.424
 Mean of criterion-0.004
 SD of predictor0.604
 SD of criterion0.219
 Covariance-0.087
 r-0.660
 b (slope, estimate of beta)-0.239
 a (intercept, estimate of alpha)0.098
 Mean Square Error0.027
 DF error1506.000
 t(b)-34.085
 p(b)0.830
 t(a)1.421
 p(a)0.482
 Lowerbound of 95% confidence interval for beta-0.253
 Upperbound of 95% confidence interval for beta-0.226
 Lowerbound of 95% confidence interval for alpha-0.037
 Upperbound of 95% confidence interval for alpha0.232
 Treynor index (mean / b)0.016
 Jensen alpha (a)0.098
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.028
 SD0.219
 Sharpe ratio (Glass type estimate) -0.127
 Sharpe ratio (Hedges UMVUE)-0.127
 df1507.000
 t-0.304
 p0.505
 Lowerbound of 95% confidence interval for Sharpe Ratio-0.944
 Upperbound of 95% confidence interval for Sharpe Ratio0.690
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-0.944
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.690
Statistics related to Sortino ratio
 Sortino ratio-0.175
 Upside Potential Ratio3.218
 Upside part of mean0.512
 Downside part of mean-0.540
 Upside SD0.150
 Downside SD0.159
 N nonnegative terms588.000
 N negative terms920.000
Statistics related to linear regression on benchmark
 N of observations1508.000
 Mean of predictor0.243
 Mean of criterion-0.028
 SD of predictor0.600
 SD of criterion0.219
 Covariance-0.087
 r-0.664
 b (slope, estimate of beta)-0.242
 a (intercept, estimate of alpha)0.031
 Mean Square Error0.027
 DF error1506.000
 t(b)-34.464
 p(b)0.832
 t(a)0.456
 p(a)0.494
 Lowerbound of 95% confidence interval for beta-0.256
 Upperbound of 95% confidence interval for beta-0.229
 Lowerbound of 95% confidence interval for alpha-0.103
 Upperbound of 95% confidence interval for alpha0.165
 Treynor index (mean / b)0.115
 Jensen alpha (a)0.031
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.022
 Expected Shortfall on VaR0.028
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 observations1508.000
 Minimum0.861
 Quartile 11.000
 Median1.000
 Quartile 31.001
 Maximum1.159
 Mean of quarter 10.992
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.008
 Inter Quartile Range0.001
 Number outliers low156.000
 Percentage of outliers low0.103
 Mean of outliers low0.983
 Number of outliers high186.000
 Percentage of outliers high0.123
 Mean of outliers high1.015
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)1.280
 VaR(95%) (moments method)0.005
 Expected Shortfall (moments method)NA
 Extreme Value Index (regression method)0.888
 VaR(95%) (regression method)0.004
 Expected Shortfall (regression method)0.040
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations33.000
 Minimum0.000
 Quartile 10.004
 Median0.010
 Quartile 30.022
 Maximum0.155
 Mean of quarter 10.001
 Mean of quarter 20.007
 Mean of quarter 30.015
 Mean of quarter 40.086
 Inter Quartile Range0.018
 Number outliers low0.000
 Percentage of outliers low0.000
 Mean of outliers lowNA
 Number of outliers high5.000
 Percentage of outliers high0.152
 Mean of outliers high0.119
Risk estimates based on draw downs (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.273
 VaR(95%) (moments method)0.071
 Expected Shortfall (moments method)0.125
 Extreme Value Index (regression method)-0.523
 VaR(95%) (regression method)0.094
 Expected Shortfall (regression method)0.111
COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.017
 Compounded annual return (geometric extrapolation)0.016
 Calmar ratio (compounded annual return / max draw down)0.106
 Compounded annual return / average of 25% largest draw downs0.190
 Compounded annual return / Expected Shortfall lognormal0.593
ANALYSIS BASED ON DAILY VALUES, LAST 6 MONTHS (Back)
RATIO STATISTICS
Ratio statistics of excess return rates
Statistics related to Sharpe ratio
 Mean-0.069
 SD0.029
 Sharpe ratio (Glass type estimate) -2.354
 Sharpe ratio (Hedges UMVUE)-2.340
 df130.000
 t-1.664
 p0.572
 Lowerbound of 95% confidence interval for Sharpe Ratio-5.136
 Upperbound of 95% confidence interval for Sharpe Ratio0.437
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-5.127
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.446
Statistics related to Sortino ratio
 Sortino ratio-3.196
 Upside Potential Ratio1.733
 Upside part of mean0.038
 Downside part of mean-0.107
 Upside SD0.020
 Downside SD0.022
 N nonnegative terms8.000
 N negative terms123.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.958
 Mean of criterion-0.069
 SD of predictor0.699
 SD of criterion0.029
 Covariance-0.000
 r-0.009
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.069
 Mean Square Error0.001
 DF error129.000
 t(b)-0.104
 p(b)0.506
 t(a)-1.616
 p(a)0.589
 Lowerbound of 95% confidence interval for beta-0.008
 Upperbound of 95% confidence interval for beta0.007
 Lowerbound of 95% confidence interval for alpha-0.153
 Upperbound of 95% confidence interval for alpha0.015
 Treynor index (mean / b)179.370
 Jensen alpha (a)-0.069
Ratio statistics of excess log return rates
Statistics related to Sharpe ratio
 Mean-0.070
 SD0.029
 Sharpe ratio (Glass type estimate) -2.369
 Sharpe ratio (Hedges UMVUE)-2.355
 df130.000
 t-1.675
 p0.573
 Lowerbound of 95% confidence interval for Sharpe Ratio-5.151
 Upperbound of 95% confidence interval for Sharpe Ratio0.423
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation)-5.141
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation)0.432
Statistics related to Sortino ratio
 Sortino ratio-3.196
 Upside Potential Ratio1.713
 Upside part of mean0.037
 Downside part of mean-0.107
 Upside SD0.020
 Downside SD0.022
 N nonnegative terms8.000
 N negative terms123.000
Statistics related to linear regression on benchmark
 N of observations131.000
 Mean of predictor1.714
 Mean of criterion-0.070
 SD of predictor0.691
 SD of criterion0.029
 Covariance-0.000
 r-0.011
 b (slope, estimate of beta)-0.000
 a (intercept, estimate of alpha)-0.069
 Mean Square Error0.001
 DF error129.000
 t(b)-0.121
 p(b)0.507
 t(a)-1.631
 p(a)0.590
 Lowerbound of 95% confidence interval for beta-0.008
 Upperbound of 95% confidence interval for beta0.007
 Lowerbound of 95% confidence interval for alpha-0.153
 Upperbound of 95% confidence interval for alpha0.015
 Treynor index (mean / b)153.687
 Jensen alpha (a)-0.069
Risk estimates for a one-period unit investment (parametric)
assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.003
 Expected Shortfall on VaR0.004
assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.001
 Expected Shortfall on VaR0.003
ORDER STATISTICS
Quartiles of return rates
 Number of observations131.000
 Minimum0.986
 Quartile 11.000
 Median1.000
 Quartile 31.000
 Maximum1.014
 Mean of quarter 10.999
 Mean of quarter 21.000
 Mean of quarter 31.000
 Mean of quarter 41.001
 Inter Quartile Range0.000
 Number outliers low22.000
 Percentage of outliers low0.168
 Mean of outliers low0.998
 Number of outliers high14.000
 Percentage of outliers high0.107
 Mean of outliers high1.001
Risk estimates for a one-period unit investment (based on Extreme Value Theory)
 Extreme Value Index (moments method)0.755
 VaR(95%) (moments method)0.001
 Expected Shortfall (moments method)0.004
 Extreme Value Index (regression method)0.651
 VaR(95%) (regression method)0.001
 Expected Shortfall (regression method)0.003
DRAW DOWN STATISTICS
Quartiles of draw downs
 Number of observations2.000
 Minimum0.013
 Quartile 10.013
 Median0.013
 Quartile 30.014
 Maximum0.014
 Mean of quarter 10.013
 Mean of quarter 2NA
 Mean of quarter 3NA
 Mean of quarter 40.014
 Inter Quartile Range0.001
 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)-0.026
 Compounded annual return (geometric extrapolation)-0.025
 Calmar ratio (compounded annual return / max draw down)-1.807
 Compounded annual return / average of 25% largest draw downs-1.807
 Compounded annual return / Expected Shortfall lognormal-6.335