Markets Data Volatility Heatmap Portfolio Calculator

AA Deep Analytical Report

Alcoa Corporation | Category: Equity Large Cap | Ann. Div Yield: 0.71% ($0.40) | Last Updated: 2026-03-24 | Data Range: 1962-01-01 → 2026-03-01 (771 months)
Quick Overview
Timeframe C-C DoR σ
(Historical)		 H-L DoR σ
(Historical)		 O-C DoR σ
(Historical)		 5Y ATRP
(Avg)		 Binomial IV
(Period)		 Yahoo IV
(Period)		 1σ Lower
(68.27%)		 1σ Upper 2σ Lower
(95.45%)		 2σ Upper
Daily 2.36% 1.94% 1.99% 4.94% 4.41% 4.44% 53.82 58.79 51.50 61.44
Weekly 5.31% 5.13% 5.30% 11.77% 9.71% 9.77% 51.04 61.99 46.32 68.31
Monthly 10.56% 12.86% 11.73% 24.22% 20.22% 20.35% 45.95 68.85 37.54 84.28
Quarterly 18.24% 26.51% 20.61% 44.69% 35.01% 35.24% 39.63 79.83 27.93 113.30
Annual — — — — 70.03% 70.48% 27.93 113.30 13.86 228.23
Option Time Horizon — — — — 26.43% 26.60% 43.18 73.27 33.15 95.43
Calculation Notes: Computed at 2026-03-23T16:35 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $56.25  |  Strike (K): $60.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $4.5750 (Bid $4.4500 / Ask $4.7000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 0.71%  |  Binomial IV (Annual): 70.03% (CRR binomial tree, American, n=20 steps)  |  BS IV: 70.87% (European Black-Scholes)  |  Yahoo IV (Annual): 70.48% → period-scaled as σperiod = σannual·√h  |  Price bands: Upper = S·e+σ√h, Lower = S·e−σ√h
Historical Dividend Payouts
Ex-Dividend Date Amount
2026-03-10 $0.1000
2025-11-04 $0.1000
2025-08-12 $0.1000
2025-05-20 $0.1000
2025-03-04 $0.1000
2024-10-29 $0.1000
2024-08-12 $0.1000
2024-05-20 $0.1000
2024-03-04 $0.1000
2023-10-30 $0.1000
2023-08-07 $0.1000
2023-05-15 $0.1000
2023-03-06 $0.1000
2022-10-31 $0.1000
2022-08-08 $0.1000
2022-05-16 $0.1000
2022-03-07 $0.1000
2021-10-28 $0.1000
2016-11-02 $0.0900
2016-08-03 $0.0721
2016-05-04 $0.0721
2016-02-03 $0.0721
2015-11-04 $0.0721
2015-08-05 $0.0721
2015-05-07 $0.0721
2015-02-04 $0.0721
2014-11-05 $0.0721
2014-08-06 $0.0721
2014-05-08 $0.0721
2014-02-05 $0.0721
2013-11-06 $0.0721
2013-08-07 $0.0721
2013-05-09 $0.0721
2013-02-06 $0.0721
2012-10-31 $0.0721
2012-08-01 $0.0721
2012-05-10 $0.0721
2012-02-01 $0.0721
2011-11-02 $0.0721
2011-08-03 $0.0721
2011-05-12 $0.0721
2011-02-02 $0.0721
2010-11-03 $0.0721
2010-08-04 $0.0721
2010-05-05 $0.0721
2010-02-03 $0.0721
2009-11-04 $0.0721
2009-08-05 $0.0721
2009-05-06 $0.0721
2009-02-04 $0.4085
2008-11-05 $0.4085
2008-08-06 $0.4085
2008-04-30 $0.4085
2008-02-06 $0.4085
2007-10-31 $0.4085
2007-08-01 $0.4085
2007-05-02 $0.4085
2007-01-31 $0.4085
2006-12-21 $0.3604
2006-11-01 $0.3604
2006-08-02 $0.3604
2006-05-03 $0.3604
2006-02-01 $0.3604
2005-11-02 $0.3604
2005-08-03 $0.3604
2005-05-04 $0.3604
2005-02-02 $0.3604
2004-11-03 $0.3604
2004-08-04 $0.3604
2004-05-06 $0.3604
2004-02-04 $0.3604
2003-11-05 $0.3604
2003-08-06 $0.3604
2003-04-30 $0.3604
2003-02-05 $0.3604
2002-11-06 $0.3604
2002-07-31 $0.3604
2002-05-01 $0.3604
2002-02-06 $0.3604
2001-10-31 $0.3604
2001-08-01 $0.3604
2001-05-02 $0.3604
2001-01-31 $0.3604
2000-11-01 $0.3004
2000-08-02 $0.3004
2000-05-03 $0.3004
2000-02-02 $0.3004
1999-11-03 $0.2415
1999-08-04 $0.2403
1999-05-05 $0.2427
1999-02-04 $0.2427
1998-11-04 $0.1502
1998-08-05 $0.1502
1998-05-06 $0.1502
1998-02-04 $0.2253
1997-11-05 $0.1502
1997-08-06 $0.1502
1997-04-30 $0.1502
1997-02-05 $0.1352
1996-10-30 $0.2001
1996-07-31 $0.1352
1996-05-01 $0.1352
1996-01-31 $0.1352
1995-11-01 $0.1352
1995-08-02 $0.1352
1995-05-01 $0.1352
1995-01-30 $0.1352
1994-10-31 $0.1202
1994-08-01 $0.1202
1994-05-02 $0.1202
1994-01-31 $0.1202
1993-11-01 $0.1202
1993-08-02 $0.1202
1993-05-03 $0.1202
1993-02-01 $0.1202
1992-11-02 $0.1202
1992-08-03 $0.1202
1992-04-27 $0.1202
1992-02-03 $0.1337
1991-10-28 $0.1202
1991-07-29 $0.1202
1991-04-29 $0.1337
1991-01-28 $0.1742
1990-10-29 $0.1202
1990-07-30 $0.2253
1990-04-30 $0.1202
1990-01-29 $0.5407
1989-10-30 $0.1202
1989-07-31 $0.1202
1989-05-01 $0.1202
1989-01-30 $0.4566
1988-10-31 $0.1051
1988-08-01 $0.1051
1988-05-02 $0.0901
1988-02-01 $0.0901
1987-11-17 $0.0511
1987-08-03 $0.0901
1987-04-27 $0.0901
1987-02-03 $0.0901
1986-11-03 $0.0901
1986-07-28 $0.0901
1986-04-28 $0.0901
1986-02-03 $0.0901
1985-10-28 $0.0901
1985-07-29 $0.0901
1985-04-29 $0.0901
1985-01-28 $0.0901
1984-10-29 $0.0901
1984-07-30 $0.0901
1984-04-30 $0.0901
1984-01-30 $0.0901
1983-10-31 $0.0901
1983-08-01 $0.0901
1983-05-02 $0.0901
1983-01-31 $0.0901
1982-10-29 $0.0901
1982-08-02 $0.1352
1982-05-03 $0.1352
1982-02-01 $0.1352
1981-10-30 $0.1352
1981-08-03 $0.1352
1981-05-04 $0.1352
1981-02-02 $0.0676
1980-10-31 $0.1202
1980-07-28 $0.1202
1980-04-28 $0.1202
1980-01-28 $0.1202
1979-10-29 $0.1051
1979-07-30 $0.1051
1979-04-30 $0.0901
1979-01-29 $0.0901
1978-10-30 $0.0751
1978-07-31 $0.0751
1978-05-01 $0.0676
1978-01-30 $0.0676
1977-10-31 $0.0676
1977-08-01 $0.0676
1977-05-02 $0.0676
1977-01-31 $0.0526
1976-11-05 $0.0526
1976-08-09 $0.0526
1976-05-10 $0.0503
1976-02-02 $0.0503
1975-11-07 $0.0503
1975-08-11 $0.0503
1975-05-12 $0.0503
1975-02-07 $0.0503
1974-11-08 $0.0503
1974-08-05 $0.0503
1974-05-06 $0.0503
1974-02-08 $0.0503
1973-11-02 $0.0486
1973-08-06 $0.0486
1973-05-07 $0.0486
1973-01-29 $0.0451
1972-11-03 $0.0451
1972-08-07 $0.0451
1972-05-08 $0.0451
1972-01-31 $0.0451
1971-11-08 $0.0451
1971-08-09 $0.0451
1971-05-10 $0.0451
1971-02-01 $0.0451
1970-11-06 $0.0451
1970-08-10 $0.0451
1970-05-11 $0.0451
1970-02-02 $0.0451
1969-11-07 $0.0451
1969-08-11 $0.0451
1969-05-12 $0.0451
1969-02-03 $0.0451
1968-11-08 $0.0451
1968-08-12 $0.0451
1968-05-13 $0.0451
1968-02-06 $0.0451
1967-11-06 $0.0451
1967-08-08 $0.0451
1967-05-09 $0.0451
1967-02-07 $0.0401
1966-11-04 $0.0401
1966-08-09 $0.0401
1966-05-10 $0.0401
1966-02-08 $0.0350
1965-11-08 $0.0350
1965-08-10 $0.0350
1965-05-10 $0.0350
1965-02-02 $0.0350
1964-11-09 $0.0300
1964-08-11 $0.0300
1964-05-12 $0.0300
1964-02-04 $0.0300
1963-11-12 $0.0300
1963-08-13 $0.0300
1963-05-14 $0.0300
1963-02-05 $0.0300
1962-11-13 $0.0300
1962-08-14 $0.0300
1962-05-15 $0.0300
1962-02-06 $0.0300
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.15. Further, an Excess Kurtosis of 8.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -7.03%1110.69%0.69%
-7.03% to -5.26%1420.88%1.57%
-5.26% to -3.49%5093.15%4.72%
-3.49% to -1.72%187011.57%16.29%
-1.72% to 0.05%587736.37%52.66%
0.05% to 1.82%495030.63%83.29%
1.82% to 3.59%182311.28%94.57%
3.59% to 5.36%5533.42%97.99%
5.36% to 7.13%1931.19%99.19%
Greater than 7.13%1310.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.31%2.41% 77.91%68.27%
±2σ -4.67%4.77% 95.05%95.45%
±3σ -7.03%7.13% 98.50%99.73%
Descriptive Statistics
Mean0.050%
Standard Error0.019%
Median0.000%
Mode0.000%
Standard Deviation2.359%
Sample Variance5.566%
Kurtosis8.58
Skewness0.15
Range52.326%
Minimum-24.107%
Maximum28.219%
Count16159
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.765% 7670 47.47% 0.838%
Negative -1.641% 7751 47.97% -0.787%
Zero 0.000% 738 4.57% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 6.80%
20 1 Month 6.90%
60 1 Quarter 5.83%
250 1 Year 4.91%
750 3 Years 4.45%
1,250 5 Years 4.94%
2,500 10 Years 4.66%
5,000 20 Years 4.12%
12,500 50 Years 3.15%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.21. Further, an Excess Kurtosis of 25.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -3.12%00.00%0.00%
-3.12% to -1.67%00.00%0.00%
-1.67% to -0.21%00.00%0.00%
-0.21% to 1.25%294318.21%18.21%
1.25% to 2.70%709443.90%62.11%
2.70% to 4.16%363322.48%84.59%
4.16% to 5.62%14288.84%93.43%
5.62% to 7.07%5513.41%96.84%
7.07% to 8.53%2271.40%98.24%
Greater than 8.53%2841.76%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.76%4.64% 83.53%68.27%
±2σ -1.18%6.59% 95.93%95.45%
±3σ -3.12%8.53% 98.24%99.73%
Descriptive Statistics
Mean2.702%
Standard Error0.015%
Median2.236%
Mode1.370%
Standard Deviation1.942%
Sample Variance3.772%
Kurtosis25.43
Skewness3.21
Range40.661%
Minimum0.148%
Maximum40.809%
Count16160
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.702% 16160 100.00% 2.702%
Negative 0.000% 0 0.00% 0.000%
Zero 0.000% 0 0.00% 0.000%
Open-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.50. Further, an Excess Kurtosis of 7.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.91%1030.64%0.64%
-5.91% to -4.42%1761.09%1.73%
-4.42% to -2.93%5923.66%5.39%
-2.93% to -1.44%193611.98%17.37%
-1.44% to 0.05%560934.71%52.08%
0.05% to 1.54%503031.13%83.21%
1.54% to 3.03%188411.66%94.86%
3.03% to 4.52%5333.30%98.16%
4.52% to 6.01%1741.08%99.24%
Greater than 6.01%1230.76%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.94%2.04% 76.70%68.27%
±2σ -3.93%4.02% 95.08%95.45%
±3σ -5.91%6.01% 98.60%99.73%
Descriptive Statistics
Mean0.048%
Standard Error0.016%
Median0.000%
Mode0.000%
Standard Deviation1.987%
Sample Variance3.947%
Kurtosis7.04
Skewness0.50
Range38.836%
Minimum-14.424%
Maximum24.412%
Count16160
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.493% 7770 48.08% 0.718%
Negative -1.464% 7395 45.76% -0.670%
Zero 0.000% 995 6.16% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.03. Further, an Excess Kurtosis of 4.08 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.69%220.66%0.66%
-15.69% to -11.70%341.01%1.67%
-11.70% to -7.72%1083.22%4.90%
-7.72% to -3.73%42512.69%17.58%
-3.73% to 0.25%112733.64%51.22%
0.25% to 4.24%101330.24%81.46%
4.24% to 8.22%43613.01%94.48%
8.22% to 12.20%1233.67%98.15%
12.20% to 16.19%381.13%99.28%
Greater than 16.19%240.72%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.06%5.56% 75.70%68.27%
±2σ -10.37%10.88% 94.81%95.45%
±3σ -15.69%16.19% 98.63%99.73%
Descriptive Statistics
Mean0.251%
Standard Error0.092%
Median0.095%
Mode0.000%
Standard Deviation5.312%
Sample Variance28.222%
Kurtosis4.08
Skewness0.03
Range73.484%
Minimum-36.708%
Maximum36.776%
Count3350
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.069% 1686 50.33% 2.048%
Negative -3.745% 1607 47.97% -1.796%
Zero 0.000% 57 1.70% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 15.37%
12 1 Quarter 13.60%
52 1 Year 11.42%
156 3 Years 10.62%
260 5 Years 11.77%
520 10 Years 11.10%
1,040 20 Years 9.79%
2,600 50 Years 7.59%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.49. Further, an Excess Kurtosis of 25.16 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.07%00.00%0.00%
-8.07% to -4.22%00.00%0.00%
-4.22% to -0.37%00.00%0.00%
-0.37% to 3.48%51415.34%15.34%
3.48% to 7.33%162848.58%63.92%
7.33% to 11.18%71421.31%85.23%
11.18% to 15.03%2948.77%94.00%
15.03% to 18.88%982.92%96.93%
18.88% to 22.73%431.28%98.21%
Greater than 22.73%601.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.20%12.46% 86.12%68.27%
±2σ -2.94%17.60% 96.03%95.45%
±3σ -8.07%22.73% 98.21%99.73%
Descriptive Statistics
Mean7.331%
Standard Error0.089%
Median6.024%
Mode4.762%
Standard Deviation5.134%
Sample Variance26.361%
Kurtosis25.16
Skewness3.49
Range79.273%
Minimum0.936%
Maximum80.209%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.331% 3351 100.00% 7.331%
Negative 0.000% 0 0.00% 0.000%
Zero 0.000% 0 0.00% 0.000%
Open-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 1.13. Further, an Excess Kurtosis of 9.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.78%150.45%0.45%
-15.78% to -11.81%250.75%1.19%
-11.81% to -7.83%1053.13%4.33%
-7.83% to -3.86%47614.20%18.53%
-3.86% to 0.12%110332.92%51.45%
0.12% to 4.09%105631.51%82.96%
4.09% to 8.07%40512.09%95.05%
8.07% to 12.04%982.92%97.97%
12.04% to 16.01%371.10%99.07%
Greater than 16.01%310.93%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.18%5.42% 77.53%68.27%
±2σ -10.48%10.72% 95.37%95.45%
±3σ -15.78%16.01% 98.63%99.73%
Descriptive Statistics
Mean0.117%
Standard Error0.092%
Median0.000%
Mode0.000%
Standard Deviation5.299%
Sample Variance28.080%
Kurtosis9.36
Skewness1.13
Range84.199%
Minimum-26.892%
Maximum57.307%
Count3351
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.939% 1641 48.97% 1.929%
Negative -3.678% 1651 49.27% -1.812%
Zero 0.000% 59 1.76% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.07. Further, an Excess Kurtosis of 3.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -30.64%50.65%0.65%
-30.64% to -22.71%81.04%1.69%
-22.71% to -14.79%222.86%4.55%
-14.79% to -6.87%10914.16%18.70%
-6.87% to 1.05%24932.34%51.04%
1.05% to 8.98%23530.52%81.56%
8.98% to 16.90%9612.47%94.03%
16.90% to 24.82%293.77%97.79%
24.82% to 32.75%131.69%99.48%
Greater than 32.75%40.52%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -9.51%11.62% 75.19%68.27%
±2σ -20.07%22.18% 94.94%95.45%
±3σ -30.64%32.75% 98.83%99.73%
Descriptive Statistics
Mean1.055%
Standard Error0.381%
Median0.829%
Mode0.000%
Standard Deviation10.564%
Sample Variance111.608%
Kurtosis3.33
Skewness0.07
Range109.613%
Minimum-55.588%
Maximum54.025%
Count770
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.355% 409 53.12% 4.438%
Negative -7.337% 355 46.10% -3.383%
Zero 0.000% 6 0.78% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 22.10%
12 1 Year 21.48%
36 3 Years 21.88%
60 5 Years 24.22%
120 10 Years 24.41%
240 20 Years 21.13%
600 50 Years 16.51%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.97. Further, an Excess Kurtosis of 43.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -21.17%00.00%0.00%
-21.17% to -11.52%00.00%0.00%
-11.52% to -1.88%00.00%0.00%
-1.88% to 7.76%536.87%6.87%
7.76% to 17.40%45859.40%66.28%
17.40% to 27.04%16721.66%87.94%
27.04% to 36.69%526.74%94.68%
36.69% to 46.33%162.08%96.76%
46.33% to 55.97%111.43%98.18%
Greater than 55.97%141.82%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 4.55%30.26% 90.66%68.27%
±2σ -8.31%43.11% 96.24%95.45%
±3σ -21.17%55.97% 98.18%99.73%
Descriptive Statistics
Mean17.402%
Standard Error0.463%
Median14.015%
Mode16.667%
Standard Deviation12.856%
Sample Variance165.283%
Kurtosis43.74
Skewness4.97
Range168.142%
Minimum3.951%
Maximum172.093%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 17.402% 771 100.00% 17.402%
Negative 0.000% 0 0.00% 0.000%
Zero 0.000% 0 0.00% 0.000%
Open-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.79. Further, an Excess Kurtosis of 23.84 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -34.74%00.00%0.00%
-34.74% to -25.95%30.39%0.39%
-25.95% to -17.15%222.85%3.24%
-17.15% to -8.35%10814.01%17.25%
-8.35% to 0.44%28436.84%54.09%
0.44% to 9.24%24131.26%85.34%
9.24% to 18.03%779.99%95.33%
18.03% to 26.83%222.85%98.18%
26.83% to 35.62%70.91%99.09%
Greater than 35.62%70.91%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.29%12.17% 79.64%68.27%
±2σ -23.01%23.89% 96.76%95.45%
±3σ -34.74%35.62% 99.09%99.73%
Descriptive Statistics
Mean0.441%
Standard Error0.422%
Median-0.585%
Mode0.000%
Standard Deviation11.727%
Sample Variance137.534%
Kurtosis23.84
Skewness2.79
Range161.768%
Minimum-34.171%
Maximum127.597%
Count771
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.762% 367 47.60% 4.171%
Negative -7.262% 396 51.36% -3.730%
Zero 0.000% 8 1.04% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.78. Further, an Excess Kurtosis of 4.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -51.66%10.39%0.39%
-51.66% to -37.98%10.39%0.78%
-37.98% to -24.30%103.89%4.67%
-24.30% to -10.61%3814.79%19.46%
-10.61% to 3.07%8633.46%52.92%
3.07% to 16.75%7027.24%80.16%
16.75% to 30.43%3814.79%94.94%
30.43% to 44.11%72.72%97.67%
44.11% to 57.79%31.17%98.83%
Greater than 57.79%31.17%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -15.18%21.31% 73.54%68.27%
±2σ -33.42%39.55% 96.89%95.45%
±3σ -51.66%57.79% 98.44%99.73%
Descriptive Statistics
Mean3.067%
Standard Error1.138%
Median1.969%
Mode-12.131%
Standard Deviation18.242%
Sample Variance332.782%
Kurtosis4.10
Skewness0.78
Range169.299%
Minimum-65.743%
Maximum103.556%
Count257
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 15.248% 141 54.86% 8.366%
Negative -11.739% 116 45.14% -5.299%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 47.14%
12 3 Years 42.07%
20 5 Years 44.69%
40 10 Years 45.48%
80 20 Years 37.98%
200 50 Years 29.10%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.06. Further, an Excess Kurtosis of 37.31 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -46.49%00.00%0.00%
-46.49% to -26.61%00.00%0.00%
-26.61% to -6.73%00.00%0.00%
-6.73% to 13.15%51.94%1.94%
13.15% to 33.03%17367.05%68.99%
33.03% to 52.91%5320.54%89.53%
52.91% to 72.80%124.65%94.19%
72.80% to 92.68%103.88%98.06%
92.68% to 112.56%10.39%98.45%
Greater than 112.56%41.55%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 6.52%59.54% 92.25%68.27%
±2σ -19.98%86.05% 96.90%95.45%
±3σ -46.49%112.56% 98.45%99.73%
Descriptive Statistics
Mean33.033%
Standard Error1.650%
Median25.872%
Mode16.667%
Standard Deviation26.509%
Sample Variance702.739%
Kurtosis37.31
Skewness5.06
Range262.931%
Minimum12.069%
Maximum275.000%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 33.033% 258 100.00% 33.033%
Negative 0.000% 0 0.00% 0.000%
Zero 0.000% 0 0.00% 0.000%
Open-to-Close Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.46. Further, an Excess Kurtosis of 29.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -60.88%00.00%0.00%
-60.88% to -45.43%10.39%0.39%
-45.43% to -29.97%51.94%2.33%
-29.97% to -14.52%3714.34%16.67%
-14.52% to 0.93%10239.53%56.20%
0.93% to 16.39%7328.29%84.50%
16.39% to 31.84%2911.24%95.74%
31.84% to 47.29%62.33%98.06%
47.29% to 62.75%31.16%99.22%
Greater than 62.75%20.78%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -19.67%21.54% 82.17%68.27%
±2σ -40.28%42.14% 97.67%95.45%
±3σ -60.88%62.75% 99.22%99.73%
Descriptive Statistics
Mean0.933%
Standard Error1.283%
Median-1.434%
Mode-49.536%
Standard Deviation20.605%
Sample Variance424.584%
Kurtosis29.29
Skewness3.46
Range243.014%
Minimum-49.536%
Maximum193.478%
Count258
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 15.688% 119 46.12% 7.236%
Negative -11.783% 138 53.49% -6.302%
Zero 0.000% 1 0.39% 0.000%