GSPC 资产分析 - DOR 信号与波动率

Timeframe	C-C DoR σ (Historical)	H-L DoR σ (Historical)	O-C DoR σ (Historical)	5Y ATRP (Avg)
日度	1.04%	0.88%	0.98%	1.31%
周度	2.38%	2.17%	2.41%	3.20%
月度	4.31%	4.53%	4.38%	6.94%
季度	6.87%	7.61%	6.88%	12.48%
Annual	—	—	—	—
Option Time Horizon	—	—	—	—

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.57. Further, an Excess 峰度 of 19.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.08%	110	0.68%	0.68%
-3.08% to -2.30%	181	1.12%	1.80%
-2.30% to -1.52%	540	3.34%	5.15%
-1.52% to -0.74%	1722	10.66%	15.81%
-0.74% to 0.03%	5387	33.36%	49.17%
0.03% to 0.81%	5675	35.15%	84.32%
0.81% to 1.59%	1794	11.11%	95.43%
1.59% to 2.37%	487	3.02%	98.45%
2.37% to 3.15%	140	0.87%	99.31%
Greater than 3.15%	111	0.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.00%	1.07%	78.83%	68.27%
±2σ	-2.04%	2.11%	95.29%	95.45%
±3σ	-3.08%	3.15%	98.63%	99.73%

Descriptive Statistics

均值	0.034%
Standard Error	0.008%
中位数	0.047%
Mode	0.000%
Standard Deviation	1.039%
Sample Variance	1.079%
峰度	19.52
偏度	-0.57
Range	32.047%
Minimum	-20.467%
Maximum	11.580%
Count	16147

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	0.690%	8550	52.95%	0.365%
负向	-0.709%	7546	46.73%	-0.331%
Zero	0.000%	51	0.32%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	1.02%
20	1 Month	1.33%
60	1 Quarter	1.39%
250	1 Year	1.09%
750	3 Years	1.15%
1,250	5 Years	1.31%
2,500	10 Years	1.25%
5,000	20 Years	1.34%
12,500	50 Years	1.32%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 3.97. Further, an Excess 峰度 of 53.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -1.24%	0	0.00%	0.00%
-1.24% to -0.58%	0	0.00%	0.00%
-0.58% to 0.08%	0	0.00%	0.00%
0.08% to 0.74%	3415	21.15%	21.15%
0.74% to 1.40%	5801	35.92%	57.07%
1.40% to 2.06%	4520	27.99%	85.06%
2.06% to 2.72%	1484	9.19%	94.25%
2.72% to 3.38%	526	3.26%	97.51%
3.38% to 4.05%	207	1.28%	98.79%
Greater than 4.05%	195	1.21%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.52%	2.28%	80.53%	68.27%
±2σ	-0.36%	3.17%	96.76%	95.45%
±3σ	-1.24%	4.05%	98.79%	99.73%

Descriptive Statistics

均值	1.403%
Standard Error	0.007%
中位数	1.275%
Mode	0.609%
Standard Deviation	0.881%
Sample Variance	0.777%
峰度	53.36
偏度	3.97
Range	25.593%
Minimum	0.146%
Maximum	25.739%
Count	16148

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.403%	16148	100.00%	1.403%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.44. Further, an Excess 峰度 of 37.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.97%	100	0.62%	0.62%
-2.97% to -2.23%	143	0.89%	1.50%
-2.23% to -1.49%	487	3.02%	4.52%
-1.49% to -0.76%	1832	11.35%	15.87%
-0.76% to -0.02%	5785	35.82%	51.69%
-0.02% to 0.72%	5211	32.27%	83.96%
0.72% to 1.46%	1724	10.68%	94.64%
1.46% to 2.19%	570	3.53%	98.17%
2.19% to 2.93%	180	1.11%	99.28%
Greater than 2.93%	116	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.00%	0.96%	78.88%	68.27%
±2σ	-1.98%	1.95%	95.41%	95.45%
±3σ	-2.97%	2.93%	98.66%	99.73%

Descriptive Statistics

均值	-0.019%
Standard Error	0.008%
中位数	-0.043%
Mode	0.000%
Standard Deviation	0.983%
Sample Variance	0.967%
峰度	37.12
偏度	1.44
Range	35.472%
Minimum	-9.738%
Maximum	25.734%
Count	16148

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	0.687%	7559	46.81%	0.322%
负向	-0.644%	8532	52.84%	-0.340%
Zero	0.000%	57	0.35%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.52. Further, an Excess 峰度 of 9.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.97%	21	0.63%	0.63%
-6.97% to -5.19%	36	1.07%	1.70%
-5.19% to -3.40%	140	4.18%	5.88%
-3.40% to -1.62%	407	12.14%	18.02%
-1.62% to 0.17%	999	29.80%	47.82%
0.17% to 1.95%	1184	35.32%	83.14%
1.95% to 3.74%	414	12.35%	95.50%
3.74% to 5.52%	97	2.89%	98.39%
5.52% to 7.30%	36	1.07%	99.46%
Greater than 7.30%	18	0.54%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.21%	2.55%	77.63%	68.27%
±2σ	-4.59%	4.92%	95.17%	95.45%
±3σ	-6.97%	7.30%	98.84%	99.73%

Descriptive Statistics

均值	0.167%
Standard Error	0.041%
中位数	0.271%
Mode	1.262%
Standard Deviation	2.379%
Sample Variance	5.659%
峰度	9.48
偏度	-0.52
Range	44.725%
Minimum	-27.328%
Maximum	17.397%
Count	3352

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.650%	1878	56.03%	0.924%
负向	-1.728%	1469	43.83%	-0.757%
Zero	0.000%	5	0.15%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	3.78%
12	1 Quarter	3.44%
52	1 Year	2.56%
156	3 Years	2.77%
260	5 Years	3.20%
520	10 Years	3.02%
1,040	20 Years	3.23%
2,600	50 Years	3.18%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 4.07. Further, an Excess 峰度 of 38.16 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.19%	0	0.00%	0.00%
-3.19% to -1.56%	0	0.00%	0.00%
-1.56% to 0.06%	0	0.00%	0.00%
0.06% to 1.68%	495	14.76%	14.76%
1.68% to 3.31%	1614	48.14%	62.90%
3.31% to 4.93%	759	22.64%	85.54%
4.93% to 6.55%	293	8.74%	94.27%
6.55% to 8.18%	100	2.98%	97.26%
8.18% to 9.80%	41	1.22%	98.48%
Greater than 9.80%	51	1.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.14%	5.47%	86.55%	68.27%
±2σ	-1.02%	7.64%	96.63%	95.45%
±3σ	-3.19%	9.80%	98.48%	99.73%

Descriptive Statistics

均值	3.307%
Standard Error	0.037%
中位数	2.779%
Mode	1.747%
Standard Deviation	2.165%
Sample Variance	4.687%
峰度	38.16
偏度	4.07
Range	39.326%
Minimum	0.571%
Maximum	39.897%
Count	3353

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.307%	3353	100.00%	3.307%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.73. Further, an Excess 峰度 of 22.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.32%	14	0.42%	0.42%
-7.32% to -5.51%	25	0.75%	1.16%
-5.51% to -3.71%	93	2.77%	3.94%
-3.71% to -1.90%	427	12.73%	16.67%
-1.90% to -0.10%	1263	37.67%	54.34%
-0.10% to 1.71%	953	28.42%	82.76%
1.71% to 3.51%	384	11.45%	94.21%
3.51% to 5.32%	130	3.88%	98.09%
5.32% to 7.12%	41	1.22%	99.31%
Greater than 7.12%	23	0.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.50%	2.31%	78.26%	68.27%
±2σ	-4.91%	4.72%	95.41%	95.45%
±3σ	-7.32%	7.12%	98.90%	99.73%

Descriptive Statistics

均值	-0.096%
Standard Error	0.042%
中位数	-0.267%
Mode	0.000%
Standard Deviation	2.407%
Sample Variance	5.792%
峰度	22.13
偏度	1.73
Range	49.752%
Minimum	-12.147%
Maximum	37.605%
Count	3353

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.804%	1462	43.60%	0.787%
负向	-1.569%	1886	56.25%	-0.883%
Zero	0.000%	5	0.15%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.42. Further, an Excess 峰度 of 1.59 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.23%	4	0.52%	0.52%
-12.23% to -9.00%	13	1.69%	2.20%
-9.00% to -5.76%	40	5.19%	7.39%
-5.76% to -2.53%	86	11.15%	18.55%
-2.53% to 0.70%	214	27.76%	46.30%
0.70% to 3.93%	256	33.20%	79.51%
3.93% to 7.16%	117	15.18%	94.68%
7.16% to 10.39%	30	3.89%	98.57%
10.39% to 13.62%	10	1.30%	99.87%
Greater than 13.62%	1	0.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.61%	5.01%	73.28%	68.27%
±2σ	-7.92%	9.32%	94.16%	95.45%
±3σ	-12.23%	13.62%	99.35%	99.73%

Descriptive Statistics

均值	0.698%
Standard Error	0.155%
中位数	0.987%
Mode	1.132%
Standard Deviation	4.309%
Sample Variance	18.569%
峰度	1.59
偏度	-0.42
Range	38.068%
Minimum	-21.763%
Maximum	16.305%
Count	771

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.371%	464	60.18%	2.029%
负向	-3.353%	306	39.69%	-1.331%
Zero	0.000%	1	0.13%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	7.43%
12	1 Year	5.55%
36	3 Years	6.10%
60	5 Years	6.94%
120	10 Years	6.75%
240	20 Years	6.93%
600	50 Years	6.81%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 3.65. Further, an Excess 峰度 of 23.31 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.43%	0	0.00%	0.00%
-6.43% to -3.03%	0	0.00%	0.00%
-3.03% to 0.37%	0	0.00%	0.00%
0.37% to 3.77%	108	13.99%	13.99%
3.77% to 7.17%	387	50.13%	64.12%
7.17% to 10.57%	173	22.41%	86.53%
10.57% to 13.97%	54	6.99%	93.52%
13.97% to 17.37%	27	3.50%	97.02%
17.37% to 20.77%	13	1.68%	98.70%
Greater than 20.77%	10	1.30%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.64%	11.70%	88.34%	68.27%
±2σ	-1.90%	16.24%	96.11%	95.45%
±3σ	-6.43%	20.77%	98.70%	99.73%

Descriptive Statistics

均值	7.170%
Standard Error	0.163%
中位数	6.003%
Mode	4.261%
Standard Deviation	4.534%
Sample Variance	20.556%
峰度	23.31
偏度	3.65
Range	49.963%
Minimum	2.000%
Maximum	51.963%
Count	772

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.170%	772	100.00%	7.170%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.90. Further, an Excess 峰度 of 3.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.63%	2	0.26%	0.26%
-13.63% to -10.35%	3	0.39%	0.65%
-10.35% to -7.06%	26	3.37%	4.02%
-7.06% to -3.77%	126	16.32%	20.34%
-3.77% to -0.48%	273	35.36%	55.70%
-0.48% to 2.81%	204	26.42%	82.12%
2.81% to 6.10%	81	10.49%	92.62%
6.10% to 9.39%	36	4.66%	97.28%
9.39% to 12.68%	15	1.94%	99.22%
Greater than 12.68%	6	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.87%	3.90%	74.87%	68.27%
±2σ	-9.25%	8.29%	94.43%	95.45%
±3σ	-13.63%	12.67%	98.96%	99.73%

Descriptive Statistics

均值	-0.480%
Standard Error	0.158%
中位数	-0.933%
Mode	-4.088%
Standard Deviation	4.385%
Sample Variance	19.228%
峰度	3.29
偏度	0.90
Range	42.044%
Minimum	-14.227%
Maximum	27.817%
Count	772

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.547%	311	40.28%	1.429%
负向	-3.204%	460	59.59%	-1.909%
Zero	0.000%	1	0.13%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.31. Further, an Excess 峰度 of 1.01 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.55%	2	0.78%	0.78%
-18.55% to -13.40%	3	1.17%	1.95%
-13.40% to -8.24%	12	4.67%	6.61%
-8.24% to -3.09%	32	12.45%	19.07%
-3.09% to 2.06%	76	29.57%	48.64%
2.06% to 7.21%	81	31.52%	80.16%
7.21% to 12.36%	35	13.62%	93.77%
12.36% to 17.51%	14	5.45%	99.22%
17.51% to 22.67%	1	0.39%	99.61%
Greater than 22.67%	1	0.39%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.81%	8.93%	71.98%	68.27%
±2σ	-11.68%	15.80%	95.33%	95.45%
±3σ	-18.55%	22.67%	98.83%	99.73%

Descriptive Statistics

均值	2.059%
Standard Error	0.428%
中位数	2.313%
Mode	4.091%
Standard Deviation	6.869%
Sample Variance	47.179%
峰度	1.01
偏度	-0.31
Range	48.430%
Minimum	-23.563%
Maximum	24.867%
Count	257

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.919%	166	64.59%	3.823%
负向	-4.982%	91	35.41%	-1.764%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	11.45%
12	3 Years	12.69%
20	5 Years	12.48%
40	10 Years	12.19%
80	20 Years	12.27%
200	50 Years	11.87%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 2.91. Further, an Excess 峰度 of 12.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.96%	0	0.00%	0.00%
-9.96% to -4.25%	0	0.00%	0.00%
-4.25% to 1.46%	0	0.00%	0.00%
1.46% to 7.16%	43	16.67%	16.67%
7.16% to 12.87%	121	46.90%	63.57%
12.87% to 18.58%	62	24.03%	87.60%
18.58% to 24.28%	18	6.98%	94.57%
24.28% to 29.99%	5	1.94%	96.51%
29.99% to 35.70%	2	0.78%	97.29%
Greater than 35.70%	7	2.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.26%	20.48%	88.37%	68.27%
±2σ	-2.35%	28.09%	96.12%	95.45%
±3σ	-9.96%	35.70%	97.29%	99.73%

Descriptive Statistics

均值	12.871%
Standard Error	0.474%
中位数	11.224%
Mode	11.470%
Standard Deviation	7.609%
Sample Variance	57.898%
峰度	12.01
偏度	2.91
Range	52.625%
Minimum	3.740%
Maximum	56.365%
Count	258

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.871%	258	100.00%	12.871%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.96. Further, an Excess 峰度 of 2.56 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.17%	0	0.00%	0.00%
-22.17% to -17.01%	1	0.39%	0.39%
-17.01% to -11.85%	7	2.71%	3.10%
-11.85% to -6.68%	42	16.28%	19.38%
-6.68% to -1.52%	94	36.43%	55.81%
-1.52% to 3.64%	68	26.36%	82.17%
3.64% to 8.81%	28	10.85%	93.02%
8.81% to 13.97%	11	4.26%	97.29%
13.97% to 19.13%	5	1.94%	99.22%
Greater than 19.13%	2	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.40%	5.37%	72.87%	68.27%
±2σ	-15.29%	12.25%	95.74%	95.45%
±3σ	-22.17%	19.13%	99.22%	99.73%

Descriptive Statistics

均值	-1.519%
Standard Error	0.429%
中位数	-2.293%
Mode	-3.467%
Standard Deviation	6.884%
Sample Variance	47.390%
峰度	2.56
偏度	0.96
Range	50.488%
Minimum	-19.451%
Maximum	31.037%
Count	258

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.484%	92	35.66%	1.956%
负向	-5.400%	166	64.34%	-3.474%
Zero	0.000%	0	0.00%	0.000%

^GSPC 深度分析报告