Markets Data Volatility Heatmap Portfolio Calculator

AJG Deep Analytical Report

Arthur J. Gallagher & Co. | Category: Equity Mega Cap | Ann. Div Yield: 1.19% ($2.60) | Last Updated: 2026-02-22 | Data Range: 1984-06-01 → 2026-02-01 (501 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 1.64% 1.46% 1.43% 1.96% 2.20% 2.34% 211.79 221.33 207.18 226.26
Weekly 3.54% 3.53% 3.49% 4.65% 4.85% 5.16% 206.27 227.26 196.51 238.55
Monthly 7.13% 7.26% 7.07% 10.33% 10.09% 10.74% 195.73 239.50 176.94 264.92
Quarterly 11.87% 12.23% 10.68% 16.66% 17.48% 18.61% 181.79 257.86 152.64 307.10
Annual — — — — 34.95% 37.21% 152.64 307.10 107.62 435.59
Option Time Horizon — — — — 13.44% 14.31% 189.27 247.67 165.46 283.30
Calculation Notes: Computed at 2026-02-22T14:19 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $216.51  |  Strike (K): $220.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $10.4500 (Bid $10.0000 / Ask $10.9000)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 1.19%  |  Binomial IV (Annual): 34.95% (CRR binomial tree, American, n=20 steps)  |  BS IV: 35.19% (European Black-Scholes)  |  Yahoo IV (Annual): 37.21% → 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
2025-12-05 $0.6500
2025-09-05 $0.6500
2025-06-06 $0.6500
2025-03-07 $0.6500
2024-12-06 $0.6000
2024-09-06 $0.6000
2024-06-07 $0.6000
2024-02-29 $0.6000
2023-11-30 $0.5500
2023-08-31 $0.5500
2023-06-01 $0.5500
2023-03-02 $0.5500
2022-12-01 $0.5100
2022-09-01 $0.5100
2022-06-02 $0.5100
2022-03-03 $0.5100
2021-12-02 $0.4800
2021-09-02 $0.4800
2021-06-03 $0.4800
2021-03-04 $0.4800
2020-12-03 $0.4500
2020-09-03 $0.4500
2020-06-04 $0.4500
2020-03-05 $0.4500
2019-12-05 $0.4300
2019-09-05 $0.4300
2019-06-06 $0.4300
2019-02-28 $0.4300
2018-12-06 $0.4100
2018-09-06 $0.4100
2018-05-31 $0.4100
2018-03-01 $0.4100
2017-11-30 $0.3900
2017-08-30 $0.3900
2017-05-31 $0.3900
2017-03-01 $0.3900
2016-11-30 $0.3800
2016-08-31 $0.3800
2016-06-01 $0.3800
2016-03-02 $0.3800
2015-12-02 $0.3700
2015-09-02 $0.3700
2015-06-03 $0.3700
2015-03-02 $0.3700
2014-12-03 $0.3600
2014-09-03 $0.3600
2014-06-04 $0.3600
2014-02-28 $0.3600
2013-12-02 $0.3500
2013-08-30 $0.3500
2013-05-31 $0.3500
2013-02-28 $0.3500
2012-11-29 $0.3400
2012-09-26 $0.3400
2012-06-27 $0.3400
2012-03-28 $0.3400
2011-12-28 $0.3300
2011-09-28 $0.3300
2011-06-28 $0.3300
2011-03-29 $0.3300
2010-12-29 $0.3200
2010-09-28 $0.3200
2010-06-28 $0.3200
2010-03-29 $0.3200
2009-12-29 $0.3200
2009-09-28 $0.3200
2009-06-26 $0.3200
2009-03-27 $0.3200
2008-12-29 $0.3200
2008-09-26 $0.3200
2008-06-26 $0.3200
2008-03-27 $0.3200
2007-12-27 $0.3100
2007-09-26 $0.3100
2007-06-27 $0.3100
2007-03-28 $0.3100
2006-12-27 $0.3000
2006-09-27 $0.3000
2006-06-28 $0.3000
2006-03-29 $0.3000
2005-12-28 $0.2800
2005-09-28 $0.2800
2005-06-28 $0.2800
2005-03-29 $0.2800
2004-12-29 $0.2500
2004-09-28 $0.2500
2004-06-28 $0.2500
2004-03-29 $0.2500
2003-12-29 $0.1800
2003-09-26 $0.1800
2003-06-26 $0.1800
2003-03-27 $0.1800
2002-12-27 $0.1500
2002-09-26 $0.1500
2002-06-26 $0.1500
2002-03-26 $0.1300
2001-12-27 $0.1300
2001-09-26 $0.1300
2001-06-27 $0.1300
2001-03-28 $0.1300
2000-12-27 $0.1150
2000-09-27 $0.1150
2000-06-28 $0.1150
2000-03-29 $0.1150
1999-12-29 $0.1000
1999-09-28 $0.1000
1999-06-28 $0.1000
1999-03-29 $0.1000
1998-12-29 $0.0875
1998-09-28 $0.0875
1998-06-26 $0.0875
1998-03-27 $0.0875
1997-12-29 $0.0775
1997-09-26 $0.0775
1997-06-26 $0.0775
1997-03-26 $0.0775
1996-12-27 $0.0725
1996-09-26 $0.0725
1996-06-26 $0.0725
1996-03-27 $0.0725
1995-12-27 $0.0625
1995-09-27 $0.0625
1995-06-28 $0.0625
1995-03-27 $0.0625
1994-12-23 $0.0550
1994-09-26 $0.0550
1994-06-24 $0.0550
1994-03-25 $0.0550
1993-12-27 $0.0450
1993-09-24 $0.0450
1993-06-24 $0.0450
1993-03-25 $0.0450
1992-12-24 $0.0400
1992-09-24 $0.0400
1992-06-24 $0.0400
1992-03-25 $0.0400
1991-12-24 $0.0400
1991-09-24 $0.0400
1991-06-24 $0.0400
1991-03-22 $0.0400
1990-12-24 $0.0375
1990-09-24 $0.0375
1990-06-25 $0.0375
1990-03-26 $0.0375
1989-12-22 $0.0325
1989-09-25 $0.0325
1989-06-26 $0.0325
1989-03-27 $0.0325
1988-12-23 $0.0300
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.17. Further, an Excess Kurtosis of 15.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.84%710.72%0.72%
-4.84% to -3.61%991.01%1.73%
-3.61% to -2.38%3023.07%4.80%
-2.38% to -1.16%105510.73%15.53%
-1.16% to 0.07%360436.64%52.17%
0.07% to 1.30%322032.74%84.91%
1.30% to 2.53%101310.30%95.21%
2.53% to 3.76%2922.97%98.18%
3.76% to 4.98%1011.03%99.21%
Greater than 4.98%780.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.56%1.71% 79.66%68.27%
±2σ -3.20%3.35% 94.99%95.45%
±3σ -4.84%4.98% 98.49%99.73%
Descriptive Statistics
Mean0.073%
Standard Error0.017%
Median0.000%
Mode0.000%
Standard Deviation1.637%
Sample Variance2.681%
Kurtosis15.19
Skewness0.17
Range42.536%
Minimum-22.348%
Maximum20.188%
Count9835
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.161% 4884 49.66% 0.577%
Negative -1.156% 4289 43.61% -0.504%
Zero 0.000% 662 6.73% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 3.40%
20 1 Month 4.14%
60 1 Quarter 2.74%
250 1 Year 2.36%
750 3 Years 1.89%
1,250 5 Years 1.96%
2,500 10 Years 1.85%
5,000 20 Years 1.88%
12,500 50 Years 2.01%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.99. Further, an Excess Kurtosis of 34.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.50%00.00%0.00%
-2.50% to -1.40%00.00%0.00%
-1.40% to -0.30%00.00%0.00%
-0.30% to 0.79%128313.04%13.04%
0.79% to 1.89%513452.20%65.24%
1.89% to 2.98%208321.18%86.42%
2.98% to 4.08%7247.36%93.78%
4.08% to 5.17%2932.98%96.76%
5.17% to 6.27%1461.48%98.24%
Greater than 6.27%1731.76%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.43%3.35% 87.15%68.27%
±2σ -1.03%4.81% 95.90%95.45%
±3σ -2.50%6.27% 98.24%99.73%
Descriptive Statistics
Mean1.888%
Standard Error0.015%
Median1.502%
Mode1.449%
Standard Deviation1.461%
Sample Variance2.134%
Kurtosis34.06
Skewness3.99
Range27.917%
Minimum0.146%
Maximum28.063%
Count9836
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.888% 9836 100.00% 1.888%
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 0.11. Further, an Excess Kurtosis of 9.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.33%820.83%0.83%
-4.33% to -3.25%1071.09%1.92%
-3.25% to -2.18%2742.79%4.71%
-2.18% to -1.10%104710.64%15.35%
-1.10% to -0.03%314231.94%47.30%
-0.03% to 1.05%361036.70%84.00%
1.05% to 2.12%107110.89%94.89%
2.12% to 3.20%3163.21%98.10%
3.20% to 4.27%1011.03%99.13%
Greater than 4.27%860.87%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.46%1.41% 79.18%68.27%
±2σ -2.89%2.84% 94.70%95.45%
±3σ -4.33%4.27% 98.29%99.73%
Descriptive Statistics
Mean-0.028%
Standard Error0.014%
Median0.000%
Mode0.000%
Standard Deviation1.433%
Sample Variance2.054%
Kurtosis9.13
Skewness0.11
Range29.038%
Minimum-15.271%
Maximum13.767%
Count9836
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.057% 4322 43.94% 0.464%
Negative -1.032% 4690 47.68% -0.492%
Zero 0.000% 824 8.38% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.17. Further, an Excess Kurtosis of 7.18 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.29%140.65%0.65%
-10.29% to -7.64%221.02%1.66%
-7.64% to -4.98%723.32%4.99%
-4.98% to -2.32%22410.34%15.33%
-2.32% to 0.34%78036.01%51.34%
0.34% to 2.99%70732.64%83.98%
2.99% to 5.65%24611.36%95.34%
5.65% to 8.31%472.17%97.51%
8.31% to 10.96%331.52%99.03%
Greater than 10.96%210.97%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.21%3.88% 78.49%68.27%
±2σ -6.75%7.42% 94.83%95.45%
±3σ -10.29%10.96% 98.38%99.73%
Descriptive Statistics
Mean0.335%
Standard Error0.076%
Median0.226%
Mode0.000%
Standard Deviation3.543%
Sample Variance12.554%
Kurtosis7.18
Skewness0.17
Range49.703%
Minimum-25.510%
Maximum24.193%
Count2166
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.589% 1149 53.05% 1.373%
Negative -2.423% 928 42.84% -1.038%
Zero 0.000% 89 4.11% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 10.81%
12 1 Quarter 6.84%
52 1 Year 5.85%
156 3 Years 4.57%
260 5 Years 4.65%
520 10 Years 4.27%
1,040 20 Years 4.29%
2,600 50 Years 4.50%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.59. Further, an Excess Kurtosis of 22.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.01%00.00%0.00%
-6.01% to -3.37%00.00%0.00%
-3.37% to -0.73%00.00%0.00%
-0.73% to 1.92%25911.95%11.95%
1.92% to 4.56%116053.53%65.48%
4.56% to 7.21%45721.09%86.57%
7.21% to 9.85%1527.01%93.59%
9.85% to 12.50%663.05%96.63%
12.50% to 15.14%331.52%98.15%
Greater than 15.14%401.85%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.04%8.09% 88.60%68.27%
±2σ -2.49%11.61% 95.80%95.45%
±3σ -6.01%15.14% 98.15%99.73%
Descriptive Statistics
Mean4.563%
Standard Error0.076%
Median3.650%
Mode2.410%
Standard Deviation3.526%
Sample Variance12.433%
Kurtosis22.46
Skewness3.59
Range43.264%
Minimum0.515%
Maximum43.779%
Count2167
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.563% 2167 100.00% 4.563%
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 1.09. Further, an Excess Kurtosis of 12.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.59%120.55%0.55%
-10.59% to -7.97%251.15%1.71%
-7.97% to -5.36%502.31%4.01%
-5.36% to -2.74%25811.91%15.92%
-2.74% to -0.12%73834.06%49.98%
-0.12% to 2.49%76035.07%85.05%
2.49% to 5.11%2059.46%94.51%
5.11% to 7.72%803.69%98.20%
7.72% to 10.34%210.97%99.17%
Greater than 10.34%180.83%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.61%3.36% 79.05%68.27%
±2σ -7.10%6.85% 95.02%95.45%
±3σ -10.59%10.34% 98.62%99.73%
Descriptive Statistics
Mean-0.125%
Standard Error0.075%
Median-0.116%
Mode0.000%
Standard Deviation3.488%
Sample Variance12.168%
Kurtosis12.00
Skewness1.09
Range53.671%
Minimum-19.481%
Maximum34.190%
Count2167
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.492% 962 44.39% 1.106%
Negative -2.381% 1121 51.73% -1.232%
Zero 0.000% 84 3.88% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.18. Further, an Excess Kurtosis of 2.81 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -19.95%10.20%0.20%
-19.95% to -14.61%81.60%1.80%
-14.61% to -9.26%193.80%5.60%
-9.26% to -3.92%6412.80%18.40%
-3.92% to 1.43%15330.60%49.00%
1.43% to 6.78%16833.60%82.60%
6.78% to 12.12%6012.00%94.60%
12.12% to 17.47%163.20%97.80%
17.47% to 22.81%71.40%99.20%
Greater than 22.81%40.80%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.70%8.56% 76.40%68.27%
±2σ -12.83%15.69% 94.00%95.45%
±3σ -19.95%22.81% 99.00%99.73%
Descriptive Statistics
Mean1.430%
Standard Error0.319%
Median1.716%
Mode0.000%
Standard Deviation7.128%
Sample Variance50.813%
Kurtosis2.81
Skewness0.18
Range64.904%
Minimum-32.669%
Maximum32.235%
Count500
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.724% 296 59.20% 3.389%
Negative -4.920% 199 39.80% -1.958%
Zero 0.000% 5 1.00% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 15.63%
12 1 Year 13.07%
36 3 Years 10.35%
60 5 Years 10.33%
120 10 Years 9.48%
240 20 Years 9.30%
600 50 Years 10.15%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.07. Further, an Excess Kurtosis of 14.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.95%00.00%0.00%
-10.95% to -5.51%00.00%0.00%
-5.51% to -0.07%00.00%0.00%
-0.07% to 5.37%6913.77%13.77%
5.37% to 10.81%25350.50%64.27%
10.81% to 16.26%10821.56%85.83%
16.26% to 21.70%377.39%93.21%
21.70% to 27.14%183.59%96.81%
27.14% to 32.58%81.60%98.40%
Greater than 32.58%81.60%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.56%18.07% 87.82%68.27%
±2σ -3.70%25.33% 96.01%95.45%
±3σ -10.95%32.58% 98.40%99.73%
Descriptive Statistics
Mean10.814%
Standard Error0.324%
Median8.824%
Mode8.456%
Standard Deviation7.256%
Sample Variance52.652%
Kurtosis14.58
Skewness3.07
Range60.929%
Minimum2.383%
Maximum63.312%
Count501
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.814% 501 100.00% 10.814%
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 Right Skewed (Positive Asymmetry) with a Skewness factor of 0.82. Further, an Excess Kurtosis of 4.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -21.86%20.40%0.40%
-21.86% to -16.55%40.80%1.20%
-16.55% to -11.25%152.99%4.19%
-11.25% to -5.95%6813.57%17.76%
-5.95% to -0.65%17234.33%52.10%
-0.65% to 4.65%14829.54%81.64%
4.65% to 9.95%6312.57%94.21%
9.95% to 15.25%132.59%96.81%
15.25% to 20.55%122.40%99.20%
Greater than 20.55%40.80%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.72%6.42% 77.45%68.27%
±2σ -14.79%13.48% 94.21%95.45%
±3σ -21.86%20.55% 98.80%99.73%
Descriptive Statistics
Mean-0.651%
Standard Error0.316%
Median-1.117%
Mode0.000%
Standard Deviation7.068%
Sample Variance49.959%
Kurtosis4.97
Skewness0.82
Range71.755%
Minimum-25.000%
Maximum46.755%
Count501
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.279% 214 42.72% 2.255%
Negative -5.144% 283 56.49% -2.906%
Zero 0.000% 4 0.80% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.92. Further, an Excess Kurtosis of 3.11 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -31.47%00.00%0.00%
-31.47% to -22.57%21.20%1.20%
-22.57% to -13.66%52.99%4.19%
-13.66% to -4.76%2414.37%18.56%
-4.76% to 4.15%5633.53%52.10%
4.15% to 13.05%5432.34%84.43%
13.05% to 21.95%158.98%93.41%
21.95% to 30.86%63.59%97.01%
30.86% to 39.76%42.40%99.40%
Greater than 39.76%10.60%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.73%16.02% 76.05%68.27%
±2σ -19.60%27.89% 94.61%95.45%
±3σ -31.47%39.76% 99.40%99.73%
Descriptive Statistics
Mean4.146%
Standard Error0.919%
Median3.524%
Mode-26.852%
Standard Deviation11.872%
Sample Variance140.952%
Kurtosis3.11
Skewness0.92
Range86.852%
Minimum-26.852%
Maximum60.000%
Count167
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.354% 106 63.47% 6.572%
Negative -6.640% 61 36.53% -2.425%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 20.74%
12 3 Years 16.36%
20 5 Years 16.66%
40 10 Years 16.44%
80 20 Years 15.51%
200 50 Years 17.88%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 2.18. Further, an Excess Kurtosis of 5.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -16.89%00.00%0.00%
-16.89% to -7.72%00.00%0.00%
-7.72% to 1.45%00.00%0.00%
1.45% to 10.62%2816.67%16.67%
10.62% to 19.79%7544.64%61.31%
19.79% to 28.96%4225.00%86.31%
28.96% to 38.13%116.55%92.86%
38.13% to 47.30%42.38%95.24%
47.30% to 56.47%21.19%96.43%
Greater than 56.47%63.57%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 7.56%32.02% 87.50%68.27%
±2σ -4.67%44.25% 95.24%95.45%
±3σ -16.89%56.47% 96.43%99.73%
Descriptive Statistics
Mean19.790%
Standard Error0.943%
Median16.125%
Mode15.190%
Standard Deviation12.228%
Sample Variance149.524%
Kurtosis5.49
Skewness2.18
Range65.581%
Minimum5.848%
Maximum71.429%
Count168
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 19.790% 168 100.00% 19.790%
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 0.23. Further, an Excess Kurtosis of 1.69 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -34.05%10.60%0.60%
-34.05% to -26.04%21.19%1.79%
-26.04% to -18.04%74.17%5.95%
-18.04% to -10.03%2011.90%17.86%
-10.03% to -2.02%5733.93%51.79%
-2.02% to 5.99%5029.76%81.55%
5.99% to 13.99%1911.31%92.86%
13.99% to 22.00%74.17%97.02%
22.00% to 30.01%31.79%98.81%
Greater than 30.01%21.19%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -12.70%8.66% 76.79%68.27%
±2σ -23.38%19.33% 92.86%95.45%
±3σ -34.05%30.01% 98.21%99.73%
Descriptive Statistics
Mean-2.021%
Standard Error0.824%
Median-2.418%
Mode-37.500%
Standard Deviation10.677%
Sample Variance114.002%
Kurtosis1.69
Skewness0.23
Range74.209%
Minimum-37.500%
Maximum36.709%
Count168
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.441% 69 41.07% 3.056%
Negative -8.616% 99 58.93% -5.077%
Zero 0.000% 0 0.00% 0.000%