Markets Data Volatility Heatmap Portfolio Calculator

AJG Deep Analytical Report

Arthur J. Gallagher & Co. | Category: Equity Mega Cap | Ann. Div Yield: 1.21% ($2.60) | Last Updated: 2026-03-24 | Data Range: 1984-06-01 → 2026-03-01 (502 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% 1.98% 2.44% 2.55% 210.52 221.05 205.44 226.52
Weekly 3.54% 3.53% 3.49% 4.69% 5.38% 5.62% 204.43 227.64 193.73 240.21
Monthly 7.11% 7.25% 7.04% 10.41% 11.19% 11.70% 192.88 241.27 172.45 269.84
Quarterly 11.88% 12.23% 10.68% 16.66% 19.39% 20.26% 177.71 261.87 146.39 317.89
Annual — — — — 38.77% 40.52% 146.39 317.89 99.34 468.44
Option Time Horizon — — — — 14.63% 15.29% 186.35 249.72 160.98 289.07
Calculation Notes: Computed at 2026-03-23T16:34 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $215.72  |  Strike (K): $220.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $11.1000 (Bid $10.7000 / Ask $11.5000)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 1.21%  |  Binomial IV (Annual): 38.77% (CRR binomial tree, American, n=20 steps)  |  BS IV: 39.09% (European Black-Scholes)  |  Yahoo IV (Annual): 40.52% → 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
2026-03-06 $0.7000
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 15.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.84%700.71%0.71%
-4.84% to -3.61%1011.02%1.73%
-3.61% to -2.38%3043.08%4.82%
-2.38% to -1.16%105510.70%15.52%
-1.16% to 0.07%360936.62%52.14%
0.07% to 1.30%322832.75%84.89%
1.30% to 2.53%101710.32%95.21%
2.53% to 3.76%2942.98%98.19%
3.76% to 4.99%1001.01%99.21%
Greater than 4.99%780.79%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.56%1.71% 79.63%68.27%
±2σ -3.20%3.35% 94.99%95.45%
±3σ -4.84%4.99% 98.50%99.73%
Descriptive Statistics
Mean0.073%
Standard Error0.016%
Median0.000%
Mode0.000%
Standard Deviation1.638%
Sample Variance2.683%
Kurtosis15.14
Skewness0.17
Range42.536%
Minimum-22.348%
Maximum20.188%
Count9856
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.161% 4897 49.69% 0.577%
Negative -1.157% 4297 43.60% -0.504%
Zero 0.000% 662 6.72% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.87%
20 1 Month 3.03%
60 1 Quarter 3.11%
250 1 Year 2.43%
750 3 Years 1.91%
1,250 5 Years 1.98%
2,500 10 Years 1.86%
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 3.98. Further, an Excess Kurtosis of 33.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.49%00.00%0.00%
-2.49% to -1.40%00.00%0.00%
-1.40% to -0.30%00.00%0.00%
-0.30% to 0.80%130713.26%13.26%
0.80% to 1.89%511951.93%65.19%
1.89% to 2.99%209321.23%86.43%
2.99% to 4.08%7237.33%93.76%
4.08% to 5.18%2963.00%96.76%
5.18% 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% 87.13%68.27%
±2σ -1.03%4.81% 95.92%95.45%
±3σ -2.49%6.27% 98.24%99.73%
Descriptive Statistics
Mean1.891%
Standard Error0.015%
Median1.504%
Mode1.449%
Standard Deviation1.461%
Sample Variance2.134%
Kurtosis33.97
Skewness3.98
Range27.917%
Minimum0.146%
Maximum28.063%
Count9857
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.891% 9857 100.00% 1.891%
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 9.10 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%2762.80%4.72%
-2.18% to -1.10%105010.65%15.37%
-1.10% to -0.03%314731.93%47.30%
-0.03% to 1.05%361636.68%83.98%
1.05% to 2.12%107210.88%94.86%
2.12% to 3.20%3193.24%98.09%
3.20% to 4.28%1021.03%99.13%
Greater than 4.28%860.87%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.46%1.41% 79.15%68.27%
±2σ -2.90%2.84% 94.70%95.45%
±3σ -4.33%4.27% 98.30%99.73%
Descriptive Statistics
Mean-0.027%
Standard Error0.014%
Median0.000%
Mode0.000%
Standard Deviation1.434%
Sample Variance2.056%
Kurtosis9.10
Skewness0.11
Range29.038%
Minimum-15.271%
Maximum13.767%
Count9857
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.058% 4333 43.96% 0.465%
Negative -1.033% 4700 47.68% -0.493%
Zero 0.000% 824 8.36% 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 7.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.30%140.65%0.65%
-10.30% to -7.64%221.01%1.66%
-7.64% to -4.98%723.32%4.98%
-4.98% to -2.32%22610.41%15.39%
-2.32% to 0.33%77835.85%51.24%
0.33% to 2.99%71132.76%84.01%
2.99% to 5.65%24511.29%95.30%
5.65% to 8.31%482.21%97.51%
8.31% to 10.97%331.52%99.03%
Greater than 10.97%210.97%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.21%3.88% 78.43%68.27%
±2σ -6.75%7.42% 94.84%95.45%
±3σ -10.30%10.97% 98.39%99.73%
Descriptive Statistics
Mean0.334%
Standard Error0.076%
Median0.226%
Mode0.000%
Standard Deviation3.544%
Sample Variance12.563%
Kurtosis7.15
Skewness0.17
Range49.703%
Minimum-25.510%
Maximum24.193%
Count2170
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.591% 1151 53.04% 1.374%
Negative -2.426% 930 42.86% -1.040%
Zero 0.000% 89 4.10% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 7.57%
12 1 Quarter 7.73%
52 1 Year 6.04%
156 3 Years 4.63%
260 5 Years 4.69%
520 10 Years 4.30%
1,040 20 Years 4.30%
2,600 50 Years 4.51%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 3.58. Further, an Excess Kurtosis of 22.38 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 -3.36%00.00%0.00%
-3.36% to -0.72%00.00%0.00%
-0.72% to 1.93%26412.16%12.16%
1.93% to 4.57%115653.25%65.41%
4.57% to 7.21%45821.10%86.50%
7.21% to 9.86%1547.09%93.60%
9.86% to 12.50%663.04%96.64%
12.50% to 15.15%331.52%98.16%
Greater than 15.15%401.84%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.04%8.10% 88.53%68.27%
±2σ -2.48%11.62% 95.81%95.45%
±3σ -6.01%15.15% 98.16%99.73%
Descriptive Statistics
Mean4.570%
Standard Error0.076%
Median3.656%
Mode2.410%
Standard Deviation3.526%
Sample Variance12.434%
Kurtosis22.38
Skewness3.58
Range43.264%
Minimum0.515%
Maximum43.779%
Count2171
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.570% 2171 100.00% 4.570%
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 1.08. Further, an Excess Kurtosis of 11.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.60%110.51%0.51%
-10.60% to -7.98%251.15%1.66%
-7.98% to -5.36%522.40%4.05%
-5.36% to -2.74%25811.88%15.94%
-2.74% to -0.12%73934.04%49.98%
-0.12% to 2.49%76135.05%85.03%
2.49% to 5.11%2069.49%94.52%
5.11% to 7.73%803.68%98.20%
7.73% to 10.35%210.97%99.17%
Greater than 10.35%180.83%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.62%3.37% 79.00%68.27%
±2σ -7.11%6.86% 95.03%95.45%
±3σ -10.60%10.35% 98.66%99.73%
Descriptive Statistics
Mean-0.125%
Standard Error0.075%
Median-0.116%
Mode0.000%
Standard Deviation3.490%
Sample Variance12.180%
Kurtosis11.95
Skewness1.08
Range53.671%
Minimum-19.481%
Maximum34.190%
Count2171
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.494% 964 44.40% 1.107%
Negative -2.382% 1123 51.73% -1.232%
Zero 0.000% 84 3.87% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.19. Further, an Excess Kurtosis of 2.83 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -19.91%10.20%0.20%
-19.91% to -14.58%81.60%1.80%
-14.58% to -9.24%183.59%5.39%
-9.24% to -3.91%6613.17%18.56%
-3.91% to 1.43%15330.54%49.10%
1.43% to 6.76%16733.33%82.44%
6.76% to 12.09%6112.18%94.61%
12.09% to 17.43%163.19%97.80%
17.43% to 22.76%71.40%99.20%
Greater than 22.76%40.80%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.69%8.54% 76.45%68.27%
±2σ -12.80%15.65% 94.21%95.45%
±3σ -19.91%22.76% 99.00%99.73%
Descriptive Statistics
Mean1.425%
Standard Error0.318%
Median1.708%
Mode0.000%
Standard Deviation7.112%
Sample Variance50.584%
Kurtosis2.83
Skewness0.19
Range64.904%
Minimum-32.669%
Maximum32.235%
Count501
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.724% 296 59.08% 3.382%
Negative -4.900% 200 39.92% -1.956%
Zero 0.000% 5 1.00% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 16.03%
12 1 Year 13.38%
36 3 Years 10.42%
60 5 Years 10.41%
120 10 Years 9.48%
240 20 Years 9.32%
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 14.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -10.93%00.00%0.00%
-10.93% to -5.49%00.00%0.00%
-5.49% to -0.06%00.00%0.00%
-0.06% to 5.38%7214.34%14.34%
5.38% to 10.82%25049.80%64.14%
10.82% to 16.26%10921.71%85.86%
16.26% to 21.69%377.37%93.23%
21.69% to 27.13%183.59%96.81%
27.13% to 32.57%81.59%98.41%
Greater than 32.57%81.59%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 3.57%18.07% 87.85%68.27%
±2σ -3.68%25.32% 96.02%95.45%
±3σ -10.93%32.57% 98.41%99.73%
Descriptive Statistics
Mean10.819%
Standard Error0.324%
Median8.839%
Mode8.456%
Standard Deviation7.250%
Sample Variance52.563%
Kurtosis14.60
Skewness3.07
Range60.929%
Minimum2.383%
Maximum63.312%
Count502
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 10.819% 502 100.00% 10.819%
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 0.81. Further, an Excess Kurtosis of 5.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -21.78%20.40%0.40%
-21.78% to -16.50%40.80%1.20%
-16.50% to -11.22%163.19%4.38%
-11.22% to -5.93%6813.55%17.93%
-5.93% to -0.65%17134.06%51.99%
-0.65% to 4.63%14829.48%81.47%
4.63% to 9.92%6512.95%94.42%
9.92% to 15.20%132.59%97.01%
15.20% to 20.48%112.19%99.20%
Greater than 20.48%40.80%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.69%6.39% 77.29%68.27%
±2σ -14.74%13.44% 94.42%95.45%
±3σ -21.78%20.48% 98.80%99.73%
Descriptive Statistics
Mean-0.650%
Standard Error0.314%
Median-1.114%
Mode0.000%
Standard Deviation7.044%
Sample Variance49.624%
Kurtosis5.02
Skewness0.81
Range71.755%
Minimum-25.000%
Maximum46.755%
Count502
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.253% 215 42.83% 2.250%
Negative -5.144% 283 56.38% -2.900%
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 3.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -31.48%00.00%0.00%
-31.48% to -22.58%21.20%1.20%
-22.58% to -13.67%52.99%4.19%
-13.67% to -4.76%2414.37%18.56%
-4.76% to 4.14%5633.53%52.10%
4.14% to 13.05%5432.34%84.43%
13.05% to 21.96%158.98%93.41%
21.96% to 30.86%63.59%97.01%
30.86% to 39.77%42.40%99.40%
Greater than 39.77%10.60%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.73%16.02% 76.05%68.27%
±2σ -19.61%27.90% 94.61%95.45%
±3σ -31.48%39.77% 99.40%99.73%
Descriptive Statistics
Mean4.144%
Standard Error0.919%
Median3.524%
Mode-26.852%
Standard Deviation11.876%
Sample Variance141.051%
Kurtosis3.10
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 -6.648% 61 36.53% -2.428%
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 -34.07%10.60%0.60%
-34.07% to -26.05%21.19%1.79%
-26.05% 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 14.01%1911.31%92.86%
14.01% to 22.02%74.17%97.02%
22.02% to 30.03%31.79%98.81%
Greater than 30.03%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%19.35% 92.86%95.45%
±3σ -34.07%30.03% 98.21%99.73%
Descriptive Statistics
Mean-2.018%
Standard Error0.824%
Median-2.417%
Mode-37.500%
Standard Deviation10.683%
Sample Variance114.136%
Kurtosis1.69
Skewness0.23
Range74.209%
Minimum-37.500%
Maximum36.709%
Count168
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 7.450% 69 41.07% 3.060%
Negative -8.616% 99 58.93% -5.077%
Zero 0.000% 0 0.00% 0.000%