MCK 资产分析 - DOR 信号与波动率

Quick 总览

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 低er (68.27%)	1σ Upper	2σ 低er (95.45%)	2σ Upper
日度	1.99%	1.63%	1.63%	2.14%	1.87%	2.10%	812.79	843.72	797.75	859.63
周度	4.19%	4.66%	4.51%	4.86%	4.11%	4.62%	794.75	862.87	762.74	899.08
月度	8.41%	9.45%	9.42%	10.66%	8.56%	9.61%	760.19	902.10	697.83	982.71
季度	15.13%	17.23%	18.02%	19.14%	14.82%	16.64%	714.02	960.43	615.65	1113.89
Annual	—	—	—	—	29.65%	33.29%	615.65	1113.89	457.70	1498.30
Option Time Horizon	—	—	—	—	11.30%	12.69%	739.65	927.15	660.63	1038.04

Calculation Notes: Computed at 2026-04-26T02:49 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $828.11 | Strike (K): $840.00 (first OTM call ≥ spot) | Observed Mid-价格: $33.9500 (Bid $31.0000 / Ask $36.9000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.37% | Binomial IV (Annual): 29.65% (CRR binomial tree, American, n=20 steps) | BS IV: 29.87% (European Black-Scholes) | Yahoo IV (Annual): 33.29% → period-scaled as σ_period = σ_annual·√h | 价格 bands: Upper = S·e^+σ√h, 低er = S·e^−σ√h

Historical Dividend Payouts

Ex-Dividend Date	Amount
2026-03-02	$0.8200
2025-12-01	$0.8200
2025-09-02	$0.8200
2025-06-02	$0.7100
2025-03-03	$0.7100
2024-12-02	$0.7100
2024-08-30	$0.7100
2024-06-03	$0.6200
2024-02-29	$0.6200
2023-11-30	$0.6200
2023-08-31	$0.6200
2023-05-31	$0.5400
2023-02-28	$0.5400
2022-11-30	$0.5400
2022-08-31	$0.5400
2022-05-31	$0.4700
2022-02-28	$0.4700
2021-11-30	$0.4700
2021-08-31	$0.4700
2021-05-28	$0.4200
2021-03-01	$0.4200
2020-11-30	$0.4200
2020-08-31	$0.4200
2020-05-29	$0.4100
2020-02-28	$0.4100
2019-11-29	$0.4100
2019-08-30	$0.4100
2019-05-31	$0.3900
2019-02-28	$0.3900
2018-11-30	$0.3900
2018-08-31	$0.3900
2018-05-31	$0.3400
2018-02-28	$0.3400
2017-11-30	$0.3400
2017-08-30	$0.3400
2017-06-01	$0.2800
2017-02-27	$0.2800
2016-11-29	$0.2800
2016-08-30	$0.2800
2016-06-02	$0.2800
2016-02-26	$0.2800
2015-11-27	$0.2800
2015-08-28	$0.2800
2015-06-04	$0.2400
2015-02-26	$0.2400
2014-11-26	$0.2400
2014-08-28	$0.2400
2014-06-05	$0.2400
2014-02-27	$0.2400
2013-11-27	$0.2400
2013-08-29	$0.2400
2013-06-05	$0.2000
2013-02-27	$0.2000
2012-11-29	$0.2000
2012-08-30	$0.2000
2012-06-06	$0.2000
2012-02-28	$0.2000
2011-11-29	$0.2000
2011-08-30	$0.2000
2011-06-08	$0.2000
2011-02-25	$0.1800
2010-11-29	$0.1800
2010-08-30	$0.1800
2010-06-08	$0.1800
2010-02-25	$0.1200
2009-11-27	$0.1200
2009-08-28	$0.1200
2009-06-08	$0.1200
2009-02-26	$0.1200
2008-11-26	$0.1200
2008-08-28	$0.1200
2008-06-04	$0.1200
2008-02-28	$0.0600
2007-11-29	$0.0600
2007-08-29	$0.0600
2007-06-06	$0.0600
2007-02-27	$0.0600
2006-11-29	$0.0600
2006-08-30	$0.0600
2006-06-07	$0.0600
2006-02-27	$0.0600
2005-11-29	$0.0600
2005-08-30	$0.0600
2005-06-08	$0.0600
2005-02-25	$0.0600
2004-11-29	$0.0600
2004-08-30	$0.0600
2004-06-07	$0.0600
2004-02-26	$0.0600
2003-11-26	$0.0600
2003-08-27	$0.0600
2003-06-05	$0.0600
2003-02-27	$0.0600
2002-11-27	$0.0600
2002-08-28	$0.0600
2002-06-06	$0.0600
2002-02-27	$0.0600
2001-11-29	$0.0600
2001-08-29	$0.0600
2001-05-31	$0.0600
2001-02-27	$0.0600
2000-11-29	$0.0600
2000-08-30	$0.0600
2000-05-30	$0.0600
2000-02-28	$0.0600
1999-11-29	$0.0600
1999-08-30	$0.0600
1999-05-27	$0.0600
1999-02-25	$0.0600
1998-11-27	$0.1250
1998-08-28	$0.1250
1998-05-28	$0.1250
1998-02-26	$0.1250
1997-11-26	$0.1250
1997-08-28	$0.1250
1997-05-29	$0.1250
1997-02-27	$0.1250
1996-11-27	$0.1250
1996-08-29	$0.1250
1996-05-30	$0.1250
1996-02-28	$0.1250
1995-11-29	$0.1250
1995-08-30	$0.1250
1995-05-25	$0.0625
1995-02-23	$0.0625
1994-12-09	$0.1250

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals 高ly Left Skewed (Extreme 负向 Tail Risk) with a 偏度 factor of -1.80. Further, an Excess 峰度 of 50.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.90%	52	0.66%	0.66%
-5.90% to -4.41%	71	0.90%	1.55%
-4.41% to -2.91%	207	2.62%	4.17%
-2.91% to -1.42%	842	10.64%	14.81%
-1.42% to 0.07%	2777	35.09%	49.90%
0.07% to 1.57%	2807	35.47%	85.37%
1.57% to 3.06%	819	10.35%	95.72%
3.06% to 4.56%	201	2.54%	98.26%
4.56% to 6.05%	66	0.83%	99.09%
Greater than 6.05%	72	0.91%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.92%	2.07%	80.93%	68.27%
±2σ	-3.91%	4.06%	95.63%	95.45%
±3σ	-5.90%	6.05%	98.43%	99.73%

Descriptive Statistics

均值	0.074%
Standard Error	0.022%
中位数	0.079%
Mode	0.000%
Standard Deviation	1.992%
Sample Variance	3.970%
峰度	50.21
偏度	-1.80
Range	64.050%
Minimum	-47.529%
Maximum	16.521%
Count	7914

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.320%	4095	51.74%	0.683%
负向	-1.301%	3707	46.84%	-0.609%
Zero	0.000%	112	1.42%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.29%
20	1 Month	2.10%
60	1 Quarter	2.70%
250	1 Year	2.27%
750	3 Years	2.08%
1,250	5 Years	2.14%
2,500	10 Years	2.38%
5,000	20 Years	2.29%
12,500	50 Years	2.45%

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 3.41. Further, an Excess 峰度 of 22.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.54%	0	0.00%	0.00%
-2.54% to -1.32%	0	0.00%	0.00%
-1.32% to -0.10%	0	0.00%	0.00%
-0.10% to 1.12%	1104	13.95%	13.95%
1.12% to 2.34%	4005	50.60%	64.55%
2.34% to 3.56%	1685	21.29%	85.84%
3.56% to 4.78%	623	7.87%	93.71%
4.78% to 6.00%	243	3.07%	96.78%
6.00% to 7.22%	119	1.50%	98.28%
Greater than 7.22%	136	1.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.71%	3.96%	86.95%	68.27%
±2σ	-0.91%	5.59%	96.01%	95.45%
±3σ	-2.54%	7.22%	98.28%	99.73%

Descriptive Statistics

均值	2.339%
Standard Error	0.018%
中位数	1.917%
Mode	1.189%
Standard Deviation	1.626%
Sample Variance	2.645%
峰度	22.36
偏度	3.41
Range	26.102%
Minimum	0.244%
Maximum	26.346%
Count	7915

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.339%	7915	100.00%	2.339%
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 Fairly Symmetrical with a 偏度 factor of 0.49. Further, an Excess 峰度 of 8.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.92%	61	0.77%	0.77%
-4.92% to -3.70%	67	0.85%	1.62%
-3.70% to -2.47%	249	3.15%	4.76%
-2.47% to -1.25%	969	12.24%	17.01%
-1.25% to -0.03%	2652	33.51%	50.51%
-0.03% to 1.20%	2586	32.67%	83.18%
1.20% to 2.42%	906	11.45%	94.63%
2.42% to 3.65%	268	3.39%	98.02%
3.65% to 4.87%	97	1.23%	99.24%
Greater than 4.87%	60	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.66%	1.61%	77.90%	68.27%
±2σ	-3.29%	3.24%	95.01%	95.45%
±3σ	-4.92%	4.87%	98.47%	99.73%

Descriptive Statistics

均值	-0.026%
Standard Error	0.018%
中位数	-0.043%
Mode	0.000%
Standard Deviation	1.632%
Sample Variance	2.663%
峰度	8.33
偏度	0.49
Range	30.923%
Minimum	-10.733%
Maximum	20.190%
Count	7915

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.182%	3713	46.91%	0.554%
负向	-1.137%	4046	51.12%	-0.581%
Zero	0.000%	156	1.97%	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 -0.77. Further, an Excess 峰度 of 11.65 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.23%	10	0.61%	0.61%
-12.23% to -9.09%	15	0.91%	1.52%
-9.09% to -5.94%	62	3.78%	5.30%
-5.94% to -2.80%	183	11.15%	16.45%
-2.80% to 0.35%	540	32.91%	49.36%
0.35% to 3.49%	561	34.19%	83.55%
3.49% to 6.64%	184	11.21%	94.76%
6.64% to 9.78%	49	2.99%	97.75%
9.78% to 12.93%	27	1.65%	99.39%
Greater than 12.93%	10	0.61%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.85%	4.54%	77.51%	68.27%
±2σ	-8.04%	8.73%	94.58%	95.45%
±3σ	-12.23%	12.93%	98.78%	99.73%

Descriptive Statistics

均值	0.347%
Standard Error	0.104%
中位数	0.412%
Mode	0.000%
Standard Deviation	4.193%
Sample Variance	17.581%
峰度	11.65
偏度	-0.77
Range	65.711%
Minimum	-46.471%
Maximum	19.240%
Count	1641

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.999%	896	54.60%	1.637%
负向	-2.866%	739	45.03%	-1.291%
Zero	0.000%	6	0.37%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	4.00%
12	1 Quarter	6.38%
52	1 Year	5.09%
156	3 Years	4.75%
260	5 Years	4.86%
520	10 Years	5.51%
1,040	20 Years	5.23%
2,600	50 Years	5.77%

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 7.56. Further, an Excess 峰度 of 131.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.04%	0	0.00%	0.00%
-8.04% to -4.55%	0	0.00%	0.00%
-4.55% to -1.05%	0	0.00%	0.00%
-1.05% to 2.45%	134	8.16%	8.16%
2.45% to 5.94%	935	56.94%	65.10%
5.94% to 9.44%	373	22.72%	87.82%
9.44% to 12.94%	101	6.15%	93.97%
12.94% to 16.43%	57	3.47%	97.44%
16.43% to 19.93%	16	0.97%	98.42%
Greater than 19.93%	26	1.58%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.28%	10.61%	90.93%	68.27%
±2σ	-3.38%	15.27%	96.77%	95.45%
±3σ	-8.04%	19.93%	98.42%	99.73%

Descriptive Statistics

均值	5.944%
Standard Error	0.115%
中位数	4.848%
Mode	2.861%
Standard Deviation	4.662%
Sample Variance	21.731%
峰度	131.52
偏度	7.56
Range	104.206%
Minimum	1.263%
Maximum	105.469%
Count	1642

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.944%	1642	100.00%	5.944%
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 5.25. Further, an Excess 峰度 of 98.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.64%	2	0.12%	0.12%
-13.64% to -10.26%	20	1.22%	1.34%
-10.26% to -6.88%	34	2.07%	3.41%
-6.88% to -3.50%	196	11.94%	15.35%
-3.50% to -0.12%	618	37.64%	52.98%
-0.12% to 3.26%	543	33.07%	86.05%
3.26% to 6.64%	150	9.14%	95.19%
6.64% to 10.02%	52	3.17%	98.36%
10.02% to 13.40%	19	1.16%	99.51%
Greater than 13.40%	8	0.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.62%	4.39%	81.73%	68.27%
±2σ	-9.13%	8.89%	95.98%	95.45%
±3σ	-13.64%	13.40%	99.39%	99.73%

Descriptive Statistics

均值	-0.119%
Standard Error	0.111%
中位数	-0.366%
Mode	0.000%
Standard Deviation	4.506%
Sample Variance	20.302%
峰度	98.06
偏度	5.25
Range	106.623%
Minimum	-16.879%
Maximum	89.744%
Count	1642

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.007%	748	45.55%	1.370%
负向	-2.756%	887	54.02%	-1.489%
Zero	0.000%	7	0.43%	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 -0.60. Further, an Excess 峰度 of 3.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.74%	3	0.80%	0.80%
-23.74% to -17.43%	3	0.80%	1.59%
-17.43% to -11.12%	11	2.92%	4.51%
-11.12% to -4.81%	57	15.12%	19.63%
-4.81% to 1.50%	114	30.24%	49.87%
1.50% to 7.81%	111	29.44%	79.31%
7.81% to 14.12%	58	15.38%	94.69%
14.12% to 20.43%	13	3.45%	98.14%
20.43% to 26.74%	6	1.59%	99.73%
Greater than 26.74%	1	0.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.91%	9.91%	73.47%	68.27%
±2σ	-15.33%	18.33%	95.49%	95.45%
±3σ	-23.74%	26.74%	98.94%	99.73%

Descriptive Statistics

均值	1.499%
Standard Error	0.433%
中位数	1.653%
Mode	1.671%
Standard Deviation	8.414%
Sample Variance	70.793%
峰度	3.68
偏度	-0.60
Range	74.346%
Minimum	-46.970%
Maximum	27.376%
Count	377

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.866%	217	57.56%	3.952%
负向	-5.778%	160	42.44%	-2.452%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	14.61%
12	1 Year	11.26%
36	3 Years	10.88%
60	5 Years	10.66%
120	10 Years	12.12%
240	20 Years	11.34%
600	50 Years	12.77%

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 4.45. Further, an Excess 峰度 of 37.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.40%	0	0.00%	0.00%
-14.40% to -7.32%	0	0.00%	0.00%
-7.32% to -0.23%	0	0.00%	0.00%
-0.23% to 6.86%	49	12.96%	12.96%
6.86% to 13.94%	196	51.85%	64.81%
13.94% to 21.03%	82	21.69%	86.51%
21.03% to 28.11%	26	6.88%	93.39%
28.11% to 35.20%	13	3.44%	96.83%
35.20% to 42.29%	8	2.12%	98.94%
Greater than 42.29%	4	1.06%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.49%	23.39%	88.62%	68.27%
±2σ	-4.95%	32.84%	96.30%	95.45%
±3σ	-14.40%	42.29%	98.94%	99.73%

Descriptive Statistics

均值	13.943%
Standard Error	0.486%
中位数	11.764%
Mode	7.550%
Standard Deviation	9.448%
Sample Variance	89.266%
峰度	37.94
偏度	4.45
Range	112.771%
Minimum	3.635%
Maximum	116.406%
Count	378

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.943%	378	100.00%	13.943%
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 3.17. Further, an Excess 峰度 of 25.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.84%	0	0.00%	0.00%
-28.84% to -21.78%	1	0.26%	0.26%
-21.78% to -14.71%	9	2.38%	2.65%
-14.71% to -7.65%	57	15.08%	17.72%
-7.65% to -0.58%	138	36.51%	54.23%
-0.58% to 6.48%	115	30.42%	84.66%
6.48% to 13.55%	43	11.38%	96.03%
13.55% to 20.61%	9	2.38%	98.41%
20.61% to 27.68%	2	0.53%	98.94%
Greater than 27.68%	4	1.06%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.00%	8.84%	79.37%	68.27%
±2σ	-19.42%	18.26%	97.88%	95.45%
±3σ	-28.84%	27.68%	98.94%	99.73%

Descriptive Statistics

均值	-0.582%
Standard Error	0.485%
中位数	-1.579%
Mode	-7.343%
Standard Deviation	9.420%
Sample Variance	88.745%
峰度	25.86
偏度	3.17
Range	113.519%
Minimum	-22.090%
Maximum	91.429%
Count	378

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.824%	161	42.59%	2.907%
负向	-6.105%	216	57.14%	-3.489%
Zero	0.000%	1	0.27%	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 1.95 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.88%	1	0.80%	0.80%
-40.88% to -29.54%	3	2.40%	3.20%
-29.54% to -18.19%	4	3.20%	6.40%
-18.19% to -6.84%	13	10.40%	16.80%
-6.84% to 4.50%	40	32.00%	48.80%
4.50% to 15.85%	38	30.40%	79.20%
15.85% to 27.20%	20	16.00%	95.20%
27.20% to 38.54%	3	2.40%	97.60%
38.54% to 49.89%	3	2.40%	100.00%
Greater than 49.89%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.62%	19.63%	76.80%	68.27%
±2σ	-25.75%	34.76%	94.40%	95.45%
±3σ	-40.88%	49.89%	99.20%	99.73%

Descriptive Statistics

均值	4.503%
Standard Error	1.353%
中位数	5.094%
Mode	-53.294%
Standard Deviation	15.128%
Sample Variance	228.860%
峰度	1.95
偏度	-0.42
Range	101.291%
Minimum	-53.294%
Maximum	47.997%
Count	125

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.322%	77	61.60%	8.206%
负向	-9.644%	48	38.40%	-3.703%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	18.79%
12	3 Years	20.03%
20	5 Years	19.14%
40	10 Years	21.05%
80	20 Years	20.00%
200	50 Years	22.66%

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 3.12. Further, an Excess 峰度 of 14.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.49%	0	0.00%	0.00%
-25.49% to -12.57%	0	0.00%	0.00%
-12.57% to 0.35%	0	0.00%	0.00%
0.35% to 13.28%	17	13.49%	13.49%
13.28% to 26.20%	66	52.38%	65.87%
26.20% to 39.12%	26	20.63%	86.51%
39.12% to 52.04%	9	7.14%	93.65%
52.04% to 64.97%	3	2.38%	96.03%
64.97% to 77.89%	3	2.38%	98.41%
Greater than 77.89%	2	1.59%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	8.97%	43.43%	90.48%	68.27%
±2σ	-8.26%	60.66%	95.24%	95.45%
±3σ	-25.49%	77.89%	98.41%	99.73%

Descriptive Statistics

均值	26.199%
Standard Error	1.535%
中位数	21.860%
Mode	9.247%
Standard Deviation	17.230%
Sample Variance	296.879%
峰度	14.77
偏度	3.12
Range	128.448%
Minimum	9.247%
Maximum	137.695%
Count	126

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	26.199%	126	100.00%	26.199%
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 2.92. Further, an Excess 峰度 of 14.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -55.62%	0	0.00%	0.00%
-55.62% to -42.10%	0	0.00%	0.00%
-42.10% to -28.59%	2	1.59%	1.59%
-28.59% to -15.08%	14	11.11%	12.70%
-15.08% to -1.56%	59	46.83%	59.52%
-1.56% to 11.95%	36	28.57%	88.10%
11.95% to 25.46%	10	7.94%	96.03%
25.46% to 38.98%	1	0.79%	96.83%
38.98% to 52.49%	1	0.79%	97.62%
Greater than 52.49%	3	2.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.58%	16.46%	84.92%	68.27%
±2σ	-37.60%	34.47%	96.83%	95.45%
±3σ	-55.62%	52.49%	97.62%	99.73%

Descriptive Statistics

均值	-1.563%
Standard Error	1.605%
中位数	-4.740%
Mode	-31.388%
Standard Deviation	18.018%
Sample Variance	324.655%
峰度	14.47
偏度	2.92
Range	145.495%
Minimum	-31.388%
Maximum	114.107%
Count	126

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.252%	49	38.89%	5.154%
负向	-10.991%	77	61.11%	-6.717%
Zero	0.000%	0	0.00%	0.000%

MCK 深度分析报告