Statistics is a general term used to summarize a process that an analyst, mathematician or statistician can use to characterize a data set. If the data set is based on a sample of a larger population, then the analyst can extend inferences onto the population based on the statistical results from the sample.

There is a number of performance measures commonly used when reporting a financial instrument performance. It is important to note that no one measure can adequately describe an instrument’s performance. The investor must have the skill to interpret a number of performance measures to gain more reliable insight into the instrument’s risk and return characteristics.

Some statistical measures include regression analysis, mean, kurtosis, skewness, analysis of variance and variance.

The statistics are broken down into the following categories in the Intellivestor system:

- Comparative
- Descriptive – not really considered statistics; more related to instrument information
- Reward
- Risk
- Rolling – cumulative spread over a set period

The following Comparative Statistics are used in Intellivestor:

Stat Name |

Alpha |

Alpha Selection |

Alpha Timing |

Annualised Alpha |

Average Change in Alpha |

Average Change in Betas |

Average Change in Correlation |

Beta |

Beta- |

Beta+ |

Change in Alpha |

Change in Beta |

Change in Correlation |

Down Capture Ratio |

Down market outperformance |

Down returns in down market |

Information Ratio |

Jensen Alpha |

R-Square |

Tracking Error |

Treynor Ratio |

Up Capture Ratio |

Up market out performance |

Up returns in up market |

In the subsequent posts we will review all of them one by one.