JCI - Detail Report

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Left Skewed (Negative Asymmetry) with a Skewness factor of -0.99. Further, an Excess Kurtosis of 67.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -6.77%	70	0.72%	0.72%
-6.77% to -5.06%	82	0.85%	1.57%
-5.06% to -3.35%	205	2.12%	3.69%
-3.35% to -1.64%	895	9.25%	12.94%
-1.64% to 0.07%	3676	38.01%	50.95%
0.07% to 1.78%	3396	35.11%	86.06%
1.78% to 3.49%	979	10.12%	96.18%
3.49% to 5.20%	236	2.44%	98.62%
5.20% to 6.91%	70	0.72%	99.35%
Greater than 6.91%	63	0.65%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.21%	2.35%	82.86%	68.27%
±2σ	-4.49%	4.63%	96.17%	95.45%
±3σ	-6.77%	6.91%	98.62%	99.73%

Descriptive Statistics

Mean	0.067%
Standard Error	0.023%
Median	0.024%
Mode	0.000%
Standard Deviation	2.280%
Sample Variance	5.200%
Kurtosis	67.99
Skewness	-0.99
Range	99.264%
Minimum	-53.446%
Maximum	45.818%
Count	9672

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	1.465%	4860	50.25%	0.736%
Negative	-1.430%	4527	46.80%	-0.669%
Zero	0.000%	285	2.95%	0.000%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.57. Further, an Excess Kurtosis of 59.05 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -3.75%	0	0.00%	0.00%
-3.75% to -2.19%	0	0.00%	0.00%
-2.19% to -0.64%	0	0.00%	0.00%
-0.64% to 0.92%	576	5.95%	5.95%
0.92% to 2.48%	5878	60.77%	66.72%
2.48% to 4.04%	2108	21.79%	88.51%
4.04% to 5.60%	605	6.25%	94.77%
5.60% to 7.16%	240	2.48%	97.25%
7.16% to 8.72%	108	1.12%	98.37%
Greater than 8.72%	158	1.63%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.40%	4.56%	91.22%	68.27%
±2σ	-1.67%	6.64%	96.60%	95.45%
±3σ	-3.75%	8.72%	98.37%	99.73%

Descriptive Statistics

Mean	2.482%
Standard Error	0.021%
Median	1.938%
Mode	1.515%
Standard Deviation	2.078%
Sample Variance	4.318%
Kurtosis	59.05
Skewness	5.57
Range	42.283%
Minimum	0.267%
Maximum	42.550%
Count	9673

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	2.482%	9673	100.00%	2.482%
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 1.03. Further, an Excess Kurtosis of 15.22 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -5.49%	65	0.67%	0.67%
-5.49% to -4.12%	88	0.91%	1.58%
-4.12% to -2.76%	279	2.88%	4.47%
-2.76% to -1.39%	1100	11.37%	15.84%
-1.39% to -0.03%	3247	33.57%	49.41%
-0.03% to 1.33%	3407	35.22%	84.63%
1.33% to 2.70%	1054	10.90%	95.52%
2.70% to 4.06%	262	2.71%	98.23%
4.06% to 5.42%	96	0.99%	99.22%
Greater than 5.42%	75	0.78%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.85%	1.79%	79.46%	68.27%
±2σ	-3.67%	3.60%	95.51%	95.45%
±3σ	-5.49%	5.42%	98.55%	99.73%

Descriptive Statistics

Mean	-0.031%
Standard Error	0.018%
Median	0.000%
Mode	0.000%
Standard Deviation	1.818%
Sample Variance	3.306%
Kurtosis	15.22
Skewness	1.03
Range	40.427%
Minimum	-15.065%
Maximum	25.362%
Count	9673

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	1.273%	4517	46.70%	0.594%
Negative	-1.254%	4822	49.85%	-0.625%
Zero	0.000%	334	3.45%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Left Skewed (Extreme Negative Tail Risk) with a Skewness factor of -1.42. Further, an Excess Kurtosis of 19.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -14.22%	17	0.85%	0.85%
-14.22% to -10.59%	15	0.75%	1.60%
-10.59% to -6.95%	46	2.30%	3.89%
-6.95% to -3.32%	225	11.23%	15.13%
-3.32% to 0.32%	701	35.00%	50.12%
0.32% to 3.95%	680	33.95%	84.07%
3.95% to 7.59%	232	11.58%	95.66%
7.59% to 11.22%	54	2.70%	98.35%
11.22% to 14.86%	19	0.95%	99.30%
Greater than 14.86%	14	0.70%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.53%	5.16%	80.83%	68.27%
±2σ	-9.37%	10.01%	95.51%	95.45%
±3σ	-14.22%	14.86%	98.45%	99.73%

Descriptive Statistics

Mean	0.318%
Standard Error	0.108%
Median	0.312%
Mode	0.000%
Standard Deviation	4.846%
Sample Variance	23.485%
Kurtosis	19.45
Skewness	-1.42
Range	86.659%
Minimum	-53.986%
Maximum	32.673%
Count	2003

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.339%	1069	53.37%	1.782%
Negative	-3.199%	917	45.78%	-1.465%
Zero	0.000%	17	0.85%	0.000%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 6.52. Further, an Excess Kurtosis of 67.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -11.66%	0	0.00%	0.00%
-11.66% to -7.11%	0	0.00%	0.00%
-7.11% to -2.57%	0	0.00%	0.00%
-2.57% to 1.97%	36	1.80%	1.80%
1.97% to 6.52%	1328	66.27%	68.06%
6.52% to 11.06%	442	22.06%	90.12%
11.06% to 15.60%	108	5.39%	95.51%
15.60% to 20.15%	39	1.95%	97.46%
20.15% to 24.69%	22	1.10%	98.55%
Greater than 24.69%	29	1.45%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.46%	12.57%	92.47%	68.27%
±2σ	-5.60%	18.63%	97.21%	95.45%
±3σ	-11.66%	24.69%	98.55%	99.73%

Descriptive Statistics

Mean	6.517%
Standard Error	0.135%
Median	5.040%
Mode	5.263%
Standard Deviation	6.058%
Sample Variance	36.700%
Kurtosis	67.95
Skewness	6.52
Range	97.867%
Minimum	1.075%
Maximum	98.942%
Count	2004

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.517%	2004	100.00%	6.517%
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 3.60. Further, an Excess Kurtosis of 54.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -14.86%	7	0.35%	0.35%
-14.86% to -11.18%	14	0.70%	1.05%
-11.18% to -7.50%	54	2.69%	3.74%
-7.50% to -3.81%	234	11.68%	15.42%
-3.81% to -0.13%	749	37.38%	52.79%
-0.13% to 3.55%	654	32.63%	85.43%
3.55% to 7.24%	205	10.23%	95.66%
7.24% to 10.92%	51	2.54%	98.20%
10.92% to 14.60%	17	0.85%	99.05%
Greater than 14.60%	19	0.95%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.04%	4.78%	82.09%	68.27%
±2σ	-9.95%	9.69%	95.76%	95.45%
±3σ	-14.86%	14.60%	98.70%	99.73%

Descriptive Statistics

Mean	-0.130%
Standard Error	0.110%
Median	-0.351%
Mode	0.000%
Standard Deviation	4.910%
Sample Variance	24.110%
Kurtosis	54.17
Skewness	3.60
Range	106.288%
Minimum	-20.149%
Maximum	86.139%
Count	2004

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	3.398%	898	44.81%	1.523%
Negative	-3.058%	1083	54.04%	-1.653%
Zero	0.000%	23	1.15%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Highly Left Skewed (Extreme Negative Tail Risk) with a Skewness factor of -1.18. Further, an Excess Kurtosis of 6.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -26.00%	5	1.08%	1.08%
-26.00% to -19.18%	5	1.08%	2.17%
-19.18% to -12.35%	11	2.39%	4.56%
-12.35% to -5.53%	56	12.15%	16.70%
-5.53% to 1.30%	145	31.45%	48.16%
1.30% to 8.12%	152	32.97%	81.13%
8.12% to 14.95%	65	14.10%	95.23%
14.95% to 21.77%	17	3.69%	98.92%
21.77% to 28.60%	4	0.87%	99.78%
Greater than 28.60%	1	0.22%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.80%	10.40%	77.66%	68.27%
±2σ	-16.90%	19.50%	95.23%	95.45%
±3σ	-26.00%	28.60%	98.70%	99.73%

Descriptive Statistics

Mean	1.296%
Standard Error	0.424%
Median	1.598%
Mode	-0.601%
Standard Deviation	9.100%
Sample Variance	82.808%
Kurtosis	6.72
Skewness	-1.18
Range	94.250%
Minimum	-58.742%
Maximum	35.508%
Count	461

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	6.598%	273	59.22%	3.907%
Negative	-6.438%	187	40.56%	-2.612%
Zero	0.000%	1	0.22%	0.000%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.67. Further, an Excess Kurtosis of 27.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -26.92%	0	0.00%	0.00%
-26.92% to -16.41%	0	0.00%	0.00%
-16.41% to -5.90%	0	0.00%	0.00%
-5.90% to 4.61%	2	0.43%	0.43%
4.61% to 15.12%	312	67.53%	67.97%
15.12% to 25.63%	111	24.03%	91.99%
25.63% to 36.14%	17	3.68%	95.67%
36.14% to 46.65%	8	1.73%	97.40%
46.65% to 57.16%	1	0.22%	97.62%
Greater than 57.16%	11	2.38%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.11%	29.13%	93.72%	68.27%
±2σ	-12.90%	43.15%	96.97%	95.45%
±3σ	-26.92%	57.16%	97.62%	99.73%

Descriptive Statistics

Mean	15.121%
Standard Error	0.652%
Median	11.434%
Mode	6.841%
Standard Deviation	14.013%
Sample Variance	196.360%
Kurtosis	27.85
Skewness	4.67
Range	125.992%
Minimum	1.887%
Maximum	127.879%
Count	462

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	15.121%	462	100.00%	15.121%
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 2.39. Further, an Excess Kurtosis of 13.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -29.01%	0	0.00%	0.00%
-29.01% to -21.85%	1	0.22%	0.22%
-21.85% to -14.69%	10	2.16%	2.38%
-14.69% to -7.54%	72	15.58%	17.97%
-7.54% to -0.38%	175	37.88%	55.84%
-0.38% to 6.78%	135	29.22%	85.06%
6.78% to 13.93%	48	10.39%	95.45%
13.93% to 21.09%	10	2.16%	97.62%
21.09% to 28.25%	4	0.87%	98.48%
Greater than 28.25%	7	1.52%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.92%	9.16%	79.65%	68.27%
±2σ	-19.47%	18.71%	97.19%	95.45%
±3σ	-29.01%	28.25%	98.48%	99.73%

Descriptive Statistics

Mean	-0.380%
Standard Error	0.444%
Median	-1.153%
Mode	0.000%
Standard Deviation	9.543%
Sample Variance	91.063%
Kurtosis	13.96
Skewness	2.39
Range	96.634%
Minimum	-23.192%
Maximum	73.442%
Count	462

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	7.267%	192	41.56%	3.020%
Negative	-5.883%	267	57.79%	-3.400%
Zero	0.000%	3	0.65%	0.000%

Close-to-Close Returns

Gram-Charlier Analysis: Data reveals Left Skewed (Negative Asymmetry) with a Skewness factor of -0.77. Further, an Excess Kurtosis of 2.10 proves the distribution possesses Fat Tails (Higher Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -46.48%	2	1.30%	1.30%
-46.48% to -33.83%	2	1.30%	2.60%
-33.83% to -21.18%	6	3.90%	6.49%
-21.18% to -8.53%	18	11.69%	18.18%
-8.53% to 4.12%	48	31.17%	49.35%
4.12% to 16.77%	45	29.22%	78.57%
16.77% to 29.43%	24	15.58%	94.16%
29.43% to 42.08%	8	5.19%	99.35%
42.08% to 54.73%	1	0.65%	100.00%
Greater than 54.73%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.74%	20.99%	75.32%	68.27%
±2σ	-29.61%	37.86%	96.10%	95.45%
±3σ	-46.48%	54.73%	98.70%	99.73%

Descriptive Statistics

Mean	4.123%
Standard Error	1.359%
Median	4.655%
Mode	-61.186%
Standard Deviation	16.868%
Sample Variance	284.533%
Kurtosis	2.10
Skewness	-0.77
Range	108.875%
Minimum	-61.186%
Maximum	47.689%
Count	154

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	13.270%	101	65.58%	8.703%
Negative	-13.308%	53	34.42%	-4.580%
Zero	0.000%	0	0.00%	0.000%

High-to-Low Returns

Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.93. Further, an Excess Kurtosis of 31.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -67.91%	0	0.00%	0.00%
-67.91% to -43.17%	0	0.00%	0.00%
-43.17% to -18.43%	0	0.00%	0.00%
-18.43% to 6.31%	1	0.65%	0.65%
6.31% to 31.05%	109	70.32%	70.97%
31.05% to 55.79%	33	21.29%	92.26%
55.79% to 80.53%	5	3.23%	95.48%
80.53% to 105.26%	2	1.29%	96.77%
105.26% to 130.00%	0	0.00%	96.77%
Greater than 130.00%	5	3.23%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.94%	64.03%	94.19%	68.27%
±2σ	-34.93%	97.02%	96.77%	95.45%
±3σ	-67.91%	130.00%	96.77%	99.73%

Descriptive Statistics

Mean	31.046%
Standard Error	2.650%
Median	22.449%
Mode	41.071%
Standard Deviation	32.986%
Sample Variance	1088.080%
Kurtosis	31.91
Skewness	4.93
Range	297.507%
Minimum	1.887%
Maximum	299.394%
Count	155

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	31.046%	155	100.00%	31.046%
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 3.02. Further, an Excess Kurtosis of 16.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	Frequency	Prob	Cum. Prob
Less than -60.28%	0	0.00%	0.00%
-60.28% to -45.42%	0	0.00%	0.00%
-45.42% to -30.57%	1	0.65%	0.65%
-30.57% to -15.71%	26	16.77%	17.42%
-15.71% to -0.85%	71	45.81%	63.23%
-0.85% to 14.01%	36	23.23%	86.45%
14.01% to 28.86%	14	9.03%	95.48%
28.86% to 43.72%	3	1.94%	97.42%
43.72% to 58.58%	1	0.65%	98.06%
Greater than 58.58%	3	1.94%	100.00%

Standard Deviation Interval Analysis

SD	Lower Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.66%	18.96%	81.29%	68.27%
±2σ	-40.47%	38.77%	97.42%	95.45%
±3σ	-60.28%	58.58%	98.06%	99.73%

Descriptive Statistics

Mean	-0.851%
Standard Error	1.591%
Median	-3.859%
Mode	-8.877%
Standard Deviation	19.809%
Sample Variance	392.378%
Kurtosis	16.36
Skewness	3.02
Range	168.632%
Minimum	-31.770%
Maximum	136.862%
Count	155

Frequency Breakdown

Category	Avg Return	Count	Probability	Freq Adj Return
Positive	17.251%	55	35.48%	6.121%
Negative	-10.917%	99	63.87%	-6.973%
Zero	0.000%	1	0.65%	0.000%

JCI Deep Analytical Report