Markets Data Volatility Heatmap Portfolio Calculator

CAL Deep Analytical Report

Caleres, Inc. | Category: Equity Micro Cap | Ann. Div Yield: 2.61% ($0.28) | Last Updated: 2026-03-24 | Data Range: 1980-03-01 → 2026-03-01 (553 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 2.94% 2.86% 2.65% 4.75% 4.16% 4.14% 11.20 12.18 10.75 12.69
Weekly 6.30% 7.28% 6.35% 10.92% 9.16% 9.11% 10.66 12.80 9.72 14.03
Monthly 12.79% 19.80% 14.14% 21.70% 19.07% 18.97% 9.65 14.13 7.98 17.10
Quarterly 20.95% 43.69% 23.17% 34.88% 33.03% 32.86% 8.39 16.25 6.03 22.61
Annual — — — — 66.06% 65.72% 6.03 22.61 3.12 43.77
Option Time Horizon — — — — 24.93% 24.81% 9.10 14.99 7.09 19.23
Calculation Notes: Computed at 2026-03-23T16:40 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $11.68  |  Strike (K): $12.50 (first OTM call ≥ spot)  |  Observed Mid-Price: $0.8500 (Bid $0.7500 / Ask $0.9500)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.61%  |  Binomial IV (Annual): 66.06% (CRR binomial tree, American, n=20 steps)  |  BS IV: 66.80% (European Black-Scholes)  |  Yahoo IV (Annual): 65.72% → 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
2025-12-26 $0.0700
2025-09-12 $0.0700
2025-06-05 $0.0700
2025-03-27 $0.0700
2024-12-27 $0.0700
2024-09-13 $0.0700
2024-06-05 $0.0700
2024-03-27 $0.0700
2023-12-20 $0.0700
2023-09-07 $0.0700
2023-06-08 $0.0700
2023-03-22 $0.0700
2022-12-21 $0.0700
2022-09-08 $0.0700
2022-06-09 $0.0700
2022-03-23 $0.0700
2021-12-21 $0.0700
2021-09-09 $0.0700
2021-06-10 $0.0700
2021-03-24 $0.0700
2020-12-21 $0.0700
2020-09-10 $0.0700
2020-06-11 $0.0700
2020-03-17 $0.0700
2019-12-23 $0.0700
2019-09-11 $0.0700
2019-06-14 $0.0700
2019-03-25 $0.0700
2018-12-21 $0.0700
2018-09-14 $0.0700
2018-06-15 $0.0700
2018-03-16 $0.0700
2017-12-22 $0.0700
2017-09-15 $0.0700
2017-06-15 $0.0700
2017-03-17 $0.0700
2016-12-22 $0.0700
2016-09-15 $0.0700
2016-06-15 $0.0700
2016-03-17 $0.0700
2015-12-23 $0.0700
2015-09-15 $0.0700
2015-06-16 $0.0700
2015-03-19 $0.0700
2014-12-19 $0.0700
2014-09-15 $0.0700
2014-06-16 $0.0700
2014-03-20 $0.0700
2013-12-19 $0.0700
2013-09-18 $0.0700
2013-06-13 $0.0700
2013-03-21 $0.0700
2012-12-17 $0.0700
2012-09-12 $0.0700
2012-06-14 $0.0700
2012-03-14 $0.0700
2011-12-15 $0.0700
2011-09-14 $0.0700
2011-06-15 $0.0700
2011-03-16 $0.0700
2010-12-16 $0.0700
2010-09-15 $0.0700
2010-06-16 $0.0700
2010-03-17 $0.0700
2009-12-17 $0.0700
2009-09-16 $0.0700
2009-06-17 $0.0700
2009-03-18 $0.0700
2008-12-17 $0.0700
2008-09-17 $0.0700
2008-06-18 $0.0700
2008-03-18 $0.0700
2007-12-18 $0.0700
2007-09-19 $0.0700
2007-06-14 $0.0700
2007-03-15 $0.0700
2006-12-19 $0.0533
2006-09-19 $0.0533
2006-06-14 $0.0533
2006-03-15 $0.0533
2005-12-19 $0.0444
2005-09-19 $0.0444
2005-06-15 $0.0444
2005-03-16 $0.0444
2004-12-20 $0.0444
2004-09-17 $0.0444
2004-06-09 $0.0444
2004-03-17 $0.0444
2003-12-17 $0.0444
2003-09-17 $0.0444
2003-05-30 $0.0444
2003-03-14 $0.0444
2002-12-12 $0.0444
2002-09-19 $0.0444
2002-05-30 $0.0444
2002-03-14 $0.0444
2001-12-13 $0.0444
2001-09-20 $0.0444
2001-05-31 $0.0444
2001-03-15 $0.0444
2000-12-14 $0.0444
2000-09-21 $0.0444
2000-06-01 $0.0444
2000-03-09 $0.0444
1999-12-09 $0.0444
1999-09-16 $0.0444
1999-06-03 $0.0444
1999-03-11 $0.0444
1998-12-10 $0.0444
1998-09-24 $0.0444
1998-06-04 $0.0444
1998-03-12 $0.0444
1997-12-11 $0.0444
1997-09-18 $0.1111
1997-05-29 $0.1111
1997-03-13 $0.1111
1996-12-12 $0.1111
1996-09-19 $0.1111
1996-05-30 $0.1111
1996-03-14 $0.1111
1995-12-14 $0.1111
1995-09-14 $0.1111
1995-05-30 $0.1778
1995-03-07 $0.1778
1994-12-06 $0.1778
1994-09-13 $0.1778
1994-05-31 $0.1778
1994-03-08 $0.1778
1993-12-07 $0.1778
1993-09-14 $0.1778
1993-06-01 $0.1778
1993-03-09 $0.1778
1992-12-08 $0.1778
1992-09-15 $0.1778
1992-06-02 $0.1778
1992-03-10 $0.1778
1991-12-10 $0.1778
1991-09-23 $0.1778
1991-05-28 $0.1778
1991-03-12 $0.1778
1990-12-11 $0.1778
1990-09-18 $0.1778
1990-06-05 $0.1778
1990-03-06 $0.1778
1989-12-12 $0.1778
1989-09-19 $0.1778
1989-06-06 $0.1778
1989-03-07 $0.1778
1988-12-06 $0.1733
1988-09-13 $0.1733
1988-06-07 $0.1733
1988-03-08 $0.1733
1987-12-08 $0.1733
1987-09-08 $0.1667
1987-06-09 $0.1667
1987-03-10 $0.1667
1986-12-09 $0.1667
1986-09-09 $0.1600
1986-06-10 $0.1600
1986-03-11 $0.1600
1985-12-10 $0.1600
1985-09-10 $0.1511
1985-06-11 $0.1511
1985-03-12 $0.1511
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.73. Further, an Excess Kurtosis of 18.87 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.77%710.61%0.61%
-8.77% to -6.56%940.81%1.43%
-6.56% to -4.35%3452.98%4.41%
-4.35% to -2.14%11459.90%14.31%
-2.14% to 0.06%454039.25%53.55%
0.06% to 2.27%371132.08%85.63%
2.27% to 4.48%11329.79%95.42%
4.48% to 6.69%3182.75%98.17%
6.69% to 8.90%1070.92%99.09%
Greater than 8.90%1050.91%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.88%3.01% 81.06%68.27%
±2σ -5.82%5.95% 95.57%95.45%
±3σ -8.77%8.90% 98.48%99.73%
Descriptive Statistics
Mean0.064%
Standard Error0.027%
Median0.000%
Mode0.000%
Standard Deviation2.944%
Sample Variance8.665%
Kurtosis18.87
Skewness0.73
Range73.567%
Minimum-32.924%
Maximum40.643%
Count11568
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.074% 5413 46.79% 0.970%
Negative -1.951% 5371 46.43% -0.906%
Zero 0.000% 784 6.78% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 9.25%
20 1 Month 6.44%
60 1 Quarter 5.79%
250 1 Year 5.74%
750 3 Years 4.55%
1,250 5 Years 4.75%
2,500 10 Years 4.76%
5,000 20 Years 4.68%
12,500 50 Years 3.45%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.45. Further, an Excess Kurtosis of 43.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.24%00.00%0.00%
-5.24% to -3.09%00.00%0.00%
-3.09% to -0.94%00.00%0.00%
-0.94% to 1.21%148312.82%12.82%
1.21% to 3.35%596451.55%64.37%
3.35% to 5.50%260122.48%86.85%
5.50% to 7.65%8697.51%94.36%
7.65% to 9.80%3102.68%97.04%
9.80% to 11.95%1331.15%98.19%
Greater than 11.95%2091.81%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.49%6.22% 88.60%68.27%
±2σ -2.37%9.08% 96.39%95.45%
±3σ -5.24%11.95% 98.19%99.73%
Descriptive Statistics
Mean3.355%
Standard Error0.027%
Median2.656%
Mode2.222%
Standard Deviation2.864%
Sample Variance8.203%
Kurtosis43.72
Skewness4.45
Range59.959%
Minimum0.168%
Maximum60.127%
Count11569
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.355% 11569 100.00% 3.355%
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 1.11. Further, an Excess Kurtosis of 25.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -7.94%740.64%0.64%
-7.94% to -5.95%1171.01%1.65%
-5.95% to -3.95%3172.74%4.39%
-3.95% to -1.96%121210.48%14.87%
-1.96% to 0.03%454039.24%54.11%
0.03% to 2.02%360731.18%85.29%
2.02% to 4.01%116910.10%95.39%
4.01% to 6.00%3382.92%98.31%
6.00% to 7.99%1000.86%99.18%
Greater than 7.99%950.82%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.63%2.68% 80.40%68.27%
±2σ -5.28%5.34% 95.60%95.45%
±3σ -7.94%7.99% 98.54%99.73%
Descriptive Statistics
Mean0.028%
Standard Error0.025%
Median0.000%
Mode0.000%
Standard Deviation2.655%
Sample Variance7.047%
Kurtosis25.37
Skewness1.11
Range82.474%
Minimum-29.730%
Maximum52.744%
Count11569
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.896% 5311 45.91% 0.870%
Negative -1.817% 5365 46.37% -0.843%
Zero 0.000% 893 7.72% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.63. Further, an Excess Kurtosis of 8.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -18.61%160.67%0.67%
-18.61% to -13.88%241.00%1.67%
-13.88% to -9.15%733.04%4.71%
-9.15% to -4.43%27911.62%16.33%
-4.43% to 0.30%80433.49%49.81%
0.30% to 5.03%84735.28%85.09%
5.03% to 9.75%25210.50%95.59%
9.75% to 14.48%622.58%98.17%
14.48% to 19.21%210.87%99.04%
Greater than 19.21%230.96%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.00%6.60% 79.76%68.27%
±2σ -12.30%12.90% 95.50%95.45%
±3σ -18.61%19.21% 98.38%99.73%
Descriptive Statistics
Mean0.300%
Standard Error0.129%
Median0.321%
Mode0.000%
Standard Deviation6.302%
Sample Variance39.709%
Kurtosis8.69
Skewness0.63
Range91.530%
Minimum-45.614%
Maximum45.916%
Count2401
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.373% 1245 51.85% 2.268%
Negative -4.287% 1102 45.90% -1.968%
Zero 0.000% 54 2.25% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 19.91%
12 1 Quarter 14.03%
52 1 Year 13.34%
156 3 Years 10.70%
260 5 Years 10.92%
520 10 Years 11.02%
1,040 20 Years 10.79%
2,600 50 Years 8.18%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.30. Further, an Excess Kurtosis of 32.22 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -13.23%00.00%0.00%
-13.23% to -7.77%00.00%0.00%
-7.77% to -2.30%00.00%0.00%
-2.30% to 3.16%24710.28%10.28%
3.16% to 8.62%132955.33%65.61%
8.62% to 14.08%52821.98%87.59%
14.08% to 19.55%1666.91%94.50%
19.55% to 25.01%622.58%97.09%
25.01% to 30.47%291.21%98.29%
Greater than 30.47%411.71%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.34%15.90% 90.13%68.27%
±2σ -5.95%23.19% 96.42%95.45%
±3σ -13.23%30.47% 98.29%99.73%
Descriptive Statistics
Mean8.621%
Standard Error0.149%
Median6.692%
Mode7.692%
Standard Deviation7.283%
Sample Variance53.047%
Kurtosis32.22
Skewness4.30
Range99.682%
Minimum0.733%
Maximum100.415%
Count2402
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.621% 2402 100.00% 8.621%
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 1.96. Further, an Excess Kurtosis of 23.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -18.87%170.71%0.71%
-18.87% to -14.11%100.42%1.12%
-14.11% to -9.35%602.50%3.62%
-9.35% to -4.59%28111.70%15.32%
-4.59% to 0.17%92138.34%53.66%
0.17% to 4.93%74531.02%84.68%
4.93% to 9.69%24910.37%95.05%
9.69% to 14.45%692.87%97.92%
14.45% to 19.21%241.00%98.92%
Greater than 19.21%261.08%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.18%6.51% 80.43%68.27%
±2σ -12.53%12.86% 95.55%95.45%
±3σ -18.87%19.21% 98.21%99.73%
Descriptive Statistics
Mean0.167%
Standard Error0.130%
Median-0.284%
Mode0.000%
Standard Deviation6.347%
Sample Variance40.290%
Kurtosis23.17
Skewness1.96
Range120.278%
Minimum-30.560%
Maximum89.718%
Count2402
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.616% 1127 46.92% 2.166%
Negative -3.913% 1227 51.08% -1.999%
Zero 0.000% 48 2.00% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.35. Further, an Excess Kurtosis of 3.89 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -37.11%30.54%0.54%
-37.11% to -27.52%50.91%1.45%
-27.52% to -17.93%244.35%5.80%
-17.93% to -8.33%7213.04%18.84%
-8.33% to 1.26%17531.70%50.54%
1.26% to 10.86%18733.88%84.42%
10.86% to 20.45%529.42%93.84%
20.45% to 30.04%234.17%98.01%
30.04% to 39.63%71.27%99.28%
Greater than 39.63%40.72%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.53%14.05% 77.36%68.27%
±2σ -24.32%26.84% 95.29%95.45%
±3σ -37.11%39.64% 98.73%99.73%
Descriptive Statistics
Mean1.262%
Standard Error0.544%
Median1.157%
Mode0.000%
Standard Deviation12.791%
Sample Variance163.615%
Kurtosis3.89
Skewness0.35
Range125.722%
Minimum-54.255%
Maximum71.467%
Count552
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.450% 303 54.89% 5.187%
Negative -8.880% 244 44.20% -3.925%
Zero 0.000% 5 0.91% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 22.37%
12 1 Year 24.34%
36 3 Years 22.29%
60 5 Years 21.70%
120 10 Years 23.17%
240 20 Years 22.56%
600 50 Years 17.66%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.22. Further, an Excess Kurtosis of 61.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -38.90%00.00%0.00%
-38.90% to -24.05%00.00%0.00%
-24.05% to -9.20%00.00%0.00%
-9.20% to 5.66%193.44%3.44%
5.66% to 20.51%35263.65%67.09%
20.51% to 35.36%12222.06%89.15%
35.36% to 50.21%386.87%96.02%
50.21% to 65.07%122.17%98.19%
65.07% to 79.92%10.18%98.37%
Greater than 79.92%91.63%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.71%40.31% 92.41%68.27%
±2σ -19.10%60.12% 97.47%95.45%
±3σ -38.90%79.92% 98.37%99.73%
Descriptive Statistics
Mean20.509%
Standard Error0.842%
Median15.692%
Mode6.767%
Standard Deviation19.803%
Sample Variance392.145%
Kurtosis61.81
Skewness6.22
Range274.568%
Minimum2.676%
Maximum277.244%
Count553
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 20.509% 553 100.00% 20.509%
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 2.27. Further, an Excess Kurtosis of 14.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -41.72%10.18%0.18%
-41.72% to -31.11%30.54%0.72%
-31.11% to -20.51%122.17%2.89%
-20.51% to -9.91%6912.48%15.37%
-9.91% to 0.69%23442.31%57.69%
0.69% to 11.30%15327.67%85.35%
11.30% to 21.90%519.22%94.58%
21.90% to 32.50%152.71%97.29%
32.50% to 43.10%91.63%98.92%
Greater than 43.10%61.08%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -13.44%14.83% 80.47%68.27%
±2σ -27.58%28.97% 95.66%95.45%
±3σ -41.72%43.10% 98.73%99.73%
Descriptive Statistics
Mean0.693%
Standard Error0.601%
Median-0.939%
Mode0.000%
Standard Deviation14.137%
Sample Variance199.850%
Kurtosis14.45
Skewness2.27
Range166.193%
Minimum-42.924%
Maximum123.269%
Count553
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 11.228% 245 44.30% 4.974%
Negative -7.892% 300 54.25% -4.281%
Zero 0.000% 8 1.45% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.62. Further, an Excess Kurtosis of 2.50 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -59.41%00.00%0.00%
-59.41% to -43.70%31.63%1.63%
-43.70% to -27.98%63.26%4.89%
-27.98% to -12.27%2312.50%17.39%
-12.27% to 3.45%6535.33%52.72%
3.45% to 19.16%5630.43%83.15%
19.16% to 34.88%168.70%91.85%
34.88% to 50.59%105.43%97.28%
50.59% to 66.31%31.63%98.91%
Greater than 66.31%21.09%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -17.50%24.40% 76.09%68.27%
±2σ -38.46%45.35% 94.02%95.45%
±3σ -59.41%66.31% 98.91%99.73%
Descriptive Statistics
Mean3.448%
Standard Error1.545%
Median2.298%
Mode-55.019%
Standard Deviation20.953%
Sample Variance439.014%
Kurtosis2.50
Skewness0.62
Range152.806%
Minimum-55.019%
Maximum97.787%
Count184
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 16.720% 103 55.98% 9.360%
Negative -13.428% 81 44.02% -5.911%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 41.80%
12 3 Years 36.75%
20 5 Years 34.88%
40 10 Years 40.15%
80 20 Years 38.63%
200 50 Years 31.46%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.93. Further, an Excess Kurtosis of 65.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -90.52%00.00%0.00%
-90.52% to -57.76%00.00%0.00%
-57.76% to -24.99%00.00%0.00%
-24.99% to 7.78%21.08%1.08%
7.78% to 40.54%12467.03%68.11%
40.54% to 73.31%4423.78%91.89%
73.31% to 106.08%84.32%96.22%
106.08% to 138.84%31.62%97.84%
138.84% to 171.61%21.08%98.92%
Greater than 171.61%21.08%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.15%84.23% 95.14%68.27%
±2σ -46.84%127.92% 97.84%95.45%
±3σ -90.52%171.61% 98.92%99.73%
Descriptive Statistics
Mean40.543%
Standard Error3.212%
Median30.000%
Mode27.660%
Standard Deviation43.689%
Sample Variance1908.772%
Kurtosis65.79
Skewness6.93
Range489.818%
Minimum6.015%
Maximum495.833%
Count185
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 40.543% 185 100.00% 40.543%
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 1.98. Further, an Excess Kurtosis of 7.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -67.97%00.00%0.00%
-67.97% to -50.59%00.00%0.00%
-50.59% to -33.22%63.24%3.24%
-33.22% to -15.84%2614.05%17.30%
-15.84% to 1.54%7641.08%58.38%
1.54% to 18.92%5328.65%87.03%
18.92% to 36.30%137.03%94.05%
36.30% to 53.68%52.70%96.76%
53.68% to 71.06%21.08%97.84%
Greater than 71.06%42.16%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -21.63%24.71% 79.46%68.27%
±2σ -44.80%47.89% 95.68%95.45%
±3σ -67.97%71.06% 97.84%99.73%
Descriptive Statistics
Mean1.542%
Standard Error1.704%
Median-1.478%
Mode-47.783%
Standard Deviation23.172%
Sample Variance536.919%
Kurtosis7.59
Skewness1.98
Range172.303%
Minimum-47.783%
Maximum124.520%
Count185
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 18.851% 83 44.87% 8.458%
Negative -12.666% 101 54.59% -6.915%
Zero 0.000% 1 0.54% 0.000%