Markets Data Volatility Heatmap Portfolio Calculator

CAL Deep Analytical Report

Caleres, Inc. | Category: Equity Micro Cap | Ann. Div Yield: 2.25% ($0.28) | Last Updated: 2026-02-22 | Data Range: 1980-03-01 → 2026-02-01 (552 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% 4.78% 4.37% 4.33% 12.52 13.66 11.99 14.27
Weekly 6.28% 7.26% 6.33% 10.91% 9.61% 9.54% 11.88 14.40 10.79 15.85
Monthly 12.80% 19.81% 14.15% 21.96% 20.01% 19.86% 10.71 15.98 8.77 19.52
Quarterly 20.95% 43.70% 23.18% 33.86% 34.66% 34.40% 9.25 18.50 6.54 26.16
Annual — — — — 69.32% 68.80% 6.54 26.16 3.27 52.33
Option Time Horizon — — — — 32.86% 32.61% 9.42 18.17 6.78 25.23
Calculation Notes: Computed at 2026-02-22T14:23 UTC  |  Reference Contract: Call option expiring 2026-05-15 (82 days)  |  Spot Price (S): $13.08  |  Strike (K): $15.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $1.0250 (Bid $0.9000 / Ask $1.1500)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 2.25%  |  Binomial IV (Annual): 69.32% (CRR binomial tree, American, n=20 steps)  |  BS IV: 68.86% (European Black-Scholes)  |  Yahoo IV (Annual): 68.80% → 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 0.71. Further, an Excess Kurtosis of 18.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -8.75%710.61%0.61%
-8.75% to -6.54%940.81%1.43%
-6.54% to -4.34%3452.99%4.42%
-4.34% to -2.14%11469.92%14.34%
-2.14% to 0.07%452539.19%53.53%
0.07% to 2.27%370532.09%85.62%
2.27% to 4.47%11339.81%95.43%
4.47% to 6.67%3182.75%98.18%
6.67% to 8.88%1060.92%99.10%
Greater than 8.88%1040.90%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.87%3.00% 81.01%68.27%
±2σ -5.81%5.94% 95.55%95.45%
±3σ -8.75%8.88% 98.48%99.73%
Descriptive Statistics
Mean0.065%
Standard Error0.027%
Median0.000%
Mode0.000%
Standard Deviation2.937%
Sample Variance8.626%
Kurtosis18.94
Skewness0.71
Range73.567%
Minimum-32.924%
Maximum40.643%
Count11547
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.070% 5407 46.83% 0.969%
Negative -1.949% 5357 46.39% -0.904%
Zero 0.000% 783 6.78% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 5.41%
20 1 Month 5.21%
60 1 Quarter 5.56%
250 1 Year 5.63%
750 3 Years 4.50%
1,250 5 Years 4.78%
2,500 10 Years 4.73%
5,000 20 Years 4.67%
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 4.46. Further, an Excess Kurtosis of 43.92 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 1.20%148012.82%12.82%
1.20% to 3.35%595751.58%64.40%
3.35% to 5.50%259222.45%86.85%
5.50% to 7.64%8727.55%94.40%
7.64% to 9.79%3062.65%97.05%
9.79% to 11.94%1331.15%98.20%
Greater than 11.94%2081.80%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.49%6.21% 88.63%68.27%
±2σ -2.37%9.07% 96.38%95.45%
±3σ -5.24%11.94% 98.20%99.73%
Descriptive Statistics
Mean3.350%
Standard Error0.027%
Median2.652%
Mode2.222%
Standard Deviation2.862%
Sample Variance8.192%
Kurtosis43.92
Skewness4.46
Range59.959%
Minimum0.168%
Maximum60.127%
Count11548
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 3.350% 11548 100.00% 3.350%
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 1.12. Further, an Excess Kurtosis of 25.40 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 -3.96%3162.74%4.39%
-3.96% to -1.96%121010.48%14.87%
-1.96% to 0.03%453539.27%54.14%
0.03% to 2.02%359931.17%85.30%
2.02% to 4.01%116410.08%95.38%
4.01% to 6.00%3382.93%98.31%
6.00% to 7.99%1000.87%99.18%
Greater than 7.99%950.82%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -2.63%2.68% 80.42%68.27%
±2σ -5.28%5.34% 95.59%95.45%
±3σ -7.94%7.99% 98.54%99.73%
Descriptive Statistics
Mean0.027%
Standard Error0.025%
Median0.000%
Mode0.000%
Standard Deviation2.655%
Sample Variance7.049%
Kurtosis25.40
Skewness1.12
Range82.474%
Minimum-29.730%
Maximum52.744%
Count11548
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.895% 5298 45.88% 0.869%
Negative -1.817% 5357 46.39% -0.843%
Zero 0.000% 893 7.73% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Right Skewed (Positive Asymmetry) with a Skewness factor of 0.61. Further, an Excess Kurtosis of 8.76 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -18.54%170.71%0.71%
-18.54% to -13.83%230.96%1.67%
-13.83% to -9.12%723.00%4.67%
-9.12% to -4.41%28011.68%16.35%
-4.41% to 0.30%80133.42%49.77%
0.30% to 5.01%84635.29%85.06%
5.01% to 9.72%25110.47%95.54%
9.72% to 14.43%632.63%98.16%
14.43% to 19.14%220.92%99.08%
Greater than 19.14%220.92%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -5.98%6.58% 79.81%68.27%
±2σ -12.26%12.86% 95.54%95.45%
±3σ -18.54%19.14% 98.37%99.73%
Descriptive Statistics
Mean0.303%
Standard Error0.128%
Median0.330%
Mode0.000%
Standard Deviation6.280%
Sample Variance39.434%
Kurtosis8.76
Skewness0.61
Range91.530%
Minimum-45.614%
Maximum45.916%
Count2397
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.360% 1244 51.90% 2.263%
Negative -4.274% 1099 45.85% -1.960%
Zero 0.000% 54 2.25% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 10.35%
12 1 Quarter 11.50%
52 1 Year 12.80%
156 3 Years 10.48%
260 5 Years 10.91%
520 10 Years 10.92%
1,040 20 Years 10.74%
2,600 50 Years 8.16%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.34. Further, an Excess Kurtosis of 32.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -13.19%00.00%0.00%
-13.19% to -7.74%00.00%0.00%
-7.74% to -2.29%00.00%0.00%
-2.29% to 3.15%24410.18%10.18%
3.15% to 8.60%133055.46%65.64%
8.60% to 14.05%52421.85%87.49%
14.05% to 19.49%1707.09%94.58%
19.49% to 24.94%612.54%97.12%
24.94% to 30.39%291.21%98.33%
Greater than 30.39%401.67%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.34%15.86% 90.16%68.27%
±2σ -5.92%23.12% 96.46%95.45%
±3σ -13.19%30.38% 98.33%99.73%
Descriptive Statistics
Mean8.599%
Standard Error0.148%
Median6.676%
Mode7.692%
Standard Deviation7.262%
Sample Variance52.736%
Kurtosis32.67
Skewness4.34
Range99.682%
Minimum0.733%
Maximum100.415%
Count2398
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.599% 2398 100.00% 8.599%
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 1.99. Further, an Excess Kurtosis of 23.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -18.83%160.67%0.67%
-18.83% to -14.08%100.42%1.08%
-14.08% to -9.34%602.50%3.59%
-9.34% to -4.58%28311.80%15.39%
-4.58% to 0.17%91938.32%53.71%
0.17% to 4.92%74431.03%84.74%
4.92% to 9.66%24710.30%95.04%
9.66% to 14.41%692.88%97.91%
14.41% to 19.16%241.00%98.92%
Greater than 19.16%261.08%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.17%6.50% 80.44%68.27%
±2σ -12.50%12.83% 95.58%95.45%
±3σ -18.83%19.16% 98.25%99.73%
Descriptive Statistics
Mean0.165%
Standard Error0.129%
Median-0.295%
Mode0.000%
Standard Deviation6.333%
Sample Variance40.109%
Kurtosis23.39
Skewness1.99
Range120.278%
Minimum-30.560%
Maximum89.718%
Count2398
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 4.609% 1124 46.87% 2.160%
Negative -3.903% 1226 51.13% -1.995%
Zero 0.000% 48 2.00% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.34. Further, an Excess Kurtosis of 3.87 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -37.13%30.54%0.54%
-37.13% to -27.52%50.91%1.45%
-27.52% to -17.92%244.36%5.81%
-17.92% to -8.32%7213.07%18.87%
-8.32% to 1.28%17331.40%50.27%
1.28% to 10.89%18934.30%84.57%
10.89% to 20.49%519.26%93.83%
20.49% to 30.09%234.17%98.00%
30.09% to 39.70%71.27%99.27%
Greater than 39.70%40.73%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.52%14.09% 77.50%68.27%
±2σ -24.32%26.89% 95.28%95.45%
±3σ -37.13%39.70% 98.73%99.73%
Descriptive Statistics
Mean1.285%
Standard Error0.545%
Median1.205%
Mode0.000%
Standard Deviation12.804%
Sample Variance163.930%
Kurtosis3.87
Skewness0.34
Range125.722%
Minimum-54.255%
Maximum71.467%
Count551
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 9.442% 304 55.17% 5.209%
Negative -8.936% 242 43.92% -3.925%
Zero 0.000% 5 0.91% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 21.41%
12 1 Year 23.64%
36 3 Years 22.21%
60 5 Years 21.96%
120 10 Years 23.04%
240 20 Years 22.51%
600 50 Years 17.64%
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 61.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -38.95%00.00%0.00%
-38.95% to -24.09%00.00%0.00%
-24.09% to -9.23%00.00%0.00%
-9.23% to 5.62%183.26%3.26%
5.62% to 20.48%35163.59%66.85%
20.48% to 35.34%12322.28%89.13%
35.34% to 50.20%386.88%96.01%
50.20% to 65.06%122.17%98.19%
65.06% 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 0.67%40.30% 92.39%68.27%
±2σ -19.14%60.11% 97.46%95.45%
±3σ -38.95%79.92% 98.37%99.73%
Descriptive Statistics
Mean20.484%
Standard Error0.843%
Median15.674%
Mode6.767%
Standard Deviation19.812%
Sample Variance392.516%
Kurtosis61.83
Skewness6.22
Range274.568%
Minimum2.676%
Maximum277.244%
Count552
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 20.484% 552 100.00% 20.484%
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 14.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -41.78%10.18%0.18%
-41.78% to -31.16%30.54%0.72%
-31.16% to -20.55%111.99%2.72%
-20.55% to -9.93%6912.50%15.22%
-9.93% to 0.68%23542.57%57.79%
0.68% to 11.29%15227.54%85.33%
11.29% to 21.91%519.24%94.57%
21.91% to 32.52%152.72%97.28%
32.52% to 43.14%91.63%98.91%
Greater than 43.14%61.09%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -13.47%14.83% 80.43%68.27%
±2σ -27.62%28.98% 95.65%95.45%
±3σ -41.78%43.14% 98.73%99.73%
Descriptive Statistics
Mean0.680%
Standard Error0.602%
Median-0.942%
Mode0.000%
Standard Deviation14.152%
Sample Variance200.274%
Kurtosis14.41
Skewness2.27
Range166.193%
Minimum-42.924%
Maximum123.269%
Count552
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 11.260% 244 44.20% 4.977%
Negative -7.906% 300 54.35% -4.297%
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 -59.33%00.00%0.00%
-59.33% to -43.62%31.63%1.63%
-43.62% to -27.91%63.26%4.89%
-27.91% to -12.20%2312.50%17.39%
-12.20% to 3.51%6535.33%52.72%
3.51% to 19.22%5630.43%83.15%
19.22% to 34.93%168.70%91.85%
34.93% to 50.64%105.43%97.28%
50.64% to 66.35%31.63%98.91%
Greater than 66.35%21.09%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -17.44%24.46% 75.54%68.27%
±2σ -38.38%45.40% 93.48%95.45%
±3σ -59.33%66.35% 98.91%99.73%
Descriptive Statistics
Mean3.509%
Standard Error1.544%
Median2.366%
Mode-55.019%
Standard Deviation20.947%
Sample Variance438.763%
Kurtosis2.50
Skewness0.62
Range152.806%
Minimum-55.019%
Maximum97.787%
Count184
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 16.626% 104 56.52% 9.397%
Negative -13.543% 80 43.48% -5.888%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 36.73%
12 3 Years 35.06%
20 5 Years 33.86%
40 10 Years 39.64%
80 20 Years 38.38%
200 50 Years 31.35%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.94. Further, an Excess Kurtosis of 65.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -90.74%00.00%0.00%
-90.74% to -57.96%00.00%0.00%
-57.96% to -25.19%00.00%0.00%
-25.19% to 7.58%21.08%1.08%
7.58% to 40.36%12567.57%68.65%
40.36% to 73.13%4323.24%91.89%
73.13% to 105.90%84.32%96.22%
105.90% to 138.68%31.62%97.84%
138.68% to 171.45%21.08%98.92%
Greater than 171.45%21.08%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.34%84.06% 95.14%68.27%
±2σ -47.04%127.75% 97.84%95.45%
±3σ -90.74%171.45% 98.92%99.73%
Descriptive Statistics
Mean40.357%
Standard Error3.213%
Median29.651%
Mode27.660%
Standard Deviation43.698%
Sample Variance1909.494%
Kurtosis65.86
Skewness6.94
Range489.818%
Minimum6.015%
Maximum495.833%
Count185
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 40.357% 185 100.00% 40.357%
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 7.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -68.05%00.00%0.00%
-68.05% to -50.66%00.00%0.00%
-50.66% to -33.28%63.24%3.24%
-33.28% to -15.90%2614.05%17.30%
-15.90% to 1.48%7741.62%58.92%
1.48% to 18.87%5228.11%87.03%
18.87% to 36.25%137.03%94.05%
36.25% to 53.63%52.70%96.76%
53.63% to 71.01%21.08%97.84%
Greater than 71.01%42.16%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -21.69%24.66% 79.46%68.27%
±2σ -44.87%47.84% 95.68%95.45%
±3σ -68.05%71.01% 97.84%99.73%
Descriptive Statistics
Mean1.483%
Standard Error1.704%
Median-1.550%
Mode-47.783%
Standard Deviation23.177%
Sample Variance537.174%
Kurtosis7.60
Skewness1.98
Range172.303%
Minimum-47.783%
Maximum124.520%
Count185
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 19.021% 82 44.32% 8.431%
Negative -12.602% 102 55.13% -6.948%
Zero 0.000% 1 0.54% 0.000%