Intellivestor Statistics – Introduction

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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 Selection
Alpha Timing
Annualised Alpha
Average Change in Alpha
Average Change in Betas
Average Change in Correlation
Change in Alpha
Change in Beta
Change in Correlation
Down Capture Ratio
Down market outperformance
Down returns in down market
Information Ratio
Jensen Alpha
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.


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