RUT 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	1.36%	1.09%	1.27%	1.81%
周度	3.05%	2.79%	3.10%	4.39%
月度	5.73%	6.49%	6.05%	9.33%
季度	9.33%	11.32%	10.12%	16.62%
Annual	—	—	—	—
Option Time Horizon	—	—	—	—

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.44. Further, an Excess 峰度 of 8.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.03%	70	0.72%	0.72%
-4.03% to -3.02%	113	1.16%	1.88%
-3.02% to -2.00%	331	3.40%	5.28%
-2.00% to -0.98%	1083	11.13%	16.42%
-0.98% to 0.04%	2992	30.76%	47.17%
0.04% to 1.06%	3609	37.10%	84.27%
1.06% to 2.07%	1059	10.89%	95.16%
2.07% to 3.09%	324	3.33%	98.49%
3.09% to 4.11%	78	0.80%	99.29%
Greater than 4.11%	69	0.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.32%	1.40%	77.75%	68.27%
±2σ	-2.68%	2.75%	95.18%	95.45%
±3σ	-4.03%	4.11%	98.57%	99.73%

Descriptive Statistics

均值	0.038%
Standard Error	0.014%
中位数	0.097%
Mode	0.107%
Standard Deviation	1.357%
Sample Variance	1.840%
峰度	8.55
偏度	-0.44
Range	23.663%
Minimum	-14.272%
Maximum	9.391%
Count	9728

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	0.883%	5302	54.50%	0.481%
负向	-0.976%	4415	45.38%	-0.443%
Zero	0.000%	11	0.11%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	1.53%
20	1 Month	1.78%
60	1 Quarter	2.02%
250	1 Year	1.62%
750	3 Years	1.67%
1,250	5 Years	1.81%
2,500	10 Years	1.68%
5,000	20 Years	1.76%
12,500	50 Years	1.43%

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 3.17. Further, an Excess 峰度 of 19.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -1.90%	0	0.00%	0.00%
-1.90% to -1.08%	0	0.00%	0.00%
-1.08% to -0.26%	0	0.00%	0.00%
-0.26% to 0.56%	1705	17.52%	17.52%
0.56% to 1.39%	4395	45.17%	62.70%
1.39% to 2.21%	2153	22.13%	84.83%
2.21% to 3.03%	850	8.74%	93.57%
3.03% to 3.85%	343	3.53%	97.09%
3.85% to 4.67%	142	1.46%	98.55%
Greater than 4.67%	141	1.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.29%	2.48%	85.46%	68.27%
±2σ	-0.80%	3.58%	96.30%	95.45%
±3σ	-1.90%	4.67%	98.55%	99.73%

Descriptive Statistics

均值	1.386%
Standard Error	0.011%
中位数	1.114%
Mode	0.695%
Standard Deviation	1.095%
Sample Variance	1.200%
峰度	19.47
偏度	3.17
Range	14.204%
Minimum	0.122%
Maximum	14.326%
Count	9729

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.386%	9729	100.00%	1.386%
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 0.81. Further, an Excess 峰度 of 9.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.82%	56	0.58%	0.58%
-3.82% to -2.87%	81	0.83%	1.41%
-2.87% to -1.92%	312	3.21%	4.62%
-1.92% to -0.96%	1103	11.34%	15.95%
-0.96% to -0.01%	3670	37.72%	53.67%
-0.01% to 0.94%	2899	29.80%	83.47%
0.94% to 1.89%	1047	10.76%	94.23%
1.89% to 2.84%	362	3.72%	97.95%
2.84% to 3.79%	126	1.30%	99.25%
Greater than 3.79%	73	0.75%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.28%	1.25%	77.63%	68.27%
±2σ	-2.55%	2.52%	94.93%	95.45%
±3σ	-3.82%	3.79%	98.67%	99.73%

Descriptive Statistics

均值	-0.014%
Standard Error	0.013%
中位数	-0.086%
Mode	0.000%
Standard Deviation	1.268%
Sample Variance	1.608%
峰度	9.51
偏度	0.81
Range	23.210%
Minimum	-8.884%
Maximum	14.326%
Count	9729

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	0.941%	4422	45.45%	0.428%
负向	-0.811%	5292	54.39%	-0.441%
Zero	0.000%	15	0.15%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.45. Further, an Excess 峰度 of 6.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.97%	15	0.74%	0.74%
-8.97% to -6.68%	24	1.19%	1.94%
-6.68% to -4.39%	81	4.02%	5.96%
-4.39% to -2.10%	206	10.22%	16.18%
-2.10% to 0.19%	616	30.57%	46.75%
0.19% to 2.47%	764	37.92%	84.67%
2.47% to 4.76%	218	10.82%	95.48%
4.76% to 7.05%	59	2.93%	98.41%
7.05% to 9.34%	20	0.99%	99.40%
Greater than 9.34%	12	0.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.87%	3.24%	77.97%	68.27%
±2σ	-5.92%	6.29%	94.99%	95.45%
±3σ	-8.97%	9.34%	98.66%	99.73%

Descriptive Statistics

均值	0.186%
Standard Error	0.068%
中位数	0.384%
Mode	0.370%
Standard Deviation	3.051%
Sample Variance	9.309%
峰度	6.17
偏度	-0.45
Range	41.109%
Minimum	-21.015%
Maximum	20.094%
Count	2015

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.095%	1122	55.68%	1.167%
负向	-2.215%	892	44.27%	-0.981%
Zero	0.000%	1	0.05%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	4.73%
12	1 Quarter	4.68%
52	1 Year	3.88%
156	3 Years	4.07%
260	5 Years	4.39%
520	10 Years	4.10%
1,040	20 Years	4.31%
2,600	50 Years	3.70%

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 3.08. Further, an Excess 峰度 of 16.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.59%	0	0.00%	0.00%
-4.59% to -2.50%	0	0.00%	0.00%
-2.50% to -0.40%	0	0.00%	0.00%
-0.40% to 1.70%	318	15.77%	15.77%
1.70% to 3.79%	969	48.07%	63.84%
3.79% to 5.89%	441	21.88%	85.71%
5.89% to 7.99%	167	8.28%	94.00%
7.99% to 10.08%	55	2.73%	96.73%
10.08% to 12.18%	26	1.29%	98.02%
Greater than 12.18%	40	1.98%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.00%	6.59%	86.21%	68.27%
±2σ	-1.80%	9.38%	96.13%	95.45%
±3σ	-4.59%	12.18%	98.02%	99.73%

Descriptive Statistics

均值	3.794%
Standard Error	0.062%
中位数	3.111%
Mode	1.567%
Standard Deviation	2.795%
Sample Variance	7.810%
峰度	16.27
偏度	3.08
Range	30.053%
Minimum	0.501%
Maximum	30.554%
Count	2016

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.794%	2016	100.00%	3.794%
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 1.35. Further, an Excess 峰度 of 9.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.39%	9	0.45%	0.45%
-9.39% to -7.06%	16	0.79%	1.24%
-7.06% to -4.74%	57	2.83%	4.07%
-4.74% to -2.41%	223	11.06%	15.13%
-2.41% to -0.08%	800	39.68%	54.81%
-0.08% to 2.24%	598	29.66%	84.47%
2.24% to 4.57%	195	9.67%	94.15%
4.57% to 6.90%	75	3.72%	97.87%
6.90% to 9.22%	23	1.14%	99.01%
Greater than 9.22%	20	0.99%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.19%	3.02%	79.02%	68.27%
±2σ	-6.29%	6.12%	95.14%	95.45%
±3σ	-9.39%	9.22%	98.56%	99.73%

Descriptive Statistics

均值	-0.083%
Standard Error	0.069%
中位数	-0.391%
Mode	-1.295%
Standard Deviation	3.102%
Sample Variance	9.620%
峰度	9.92
偏度	1.35
Range	44.925%
Minimum	-16.734%
Maximum	28.191%
Count	2016

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.351%	883	43.80%	1.030%
负向	-1.981%	1133	56.20%	-1.113%
Zero	0.000%	0	0.00%	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 -0.73. Further, an Excess 峰度 of 2.61 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.43%	4	0.86%	0.86%
-16.43% to -12.13%	4	0.86%	1.73%
-12.13% to -7.83%	23	4.97%	6.70%
-7.83% to -3.53%	66	14.25%	20.95%
-3.53% to 0.77%	109	23.54%	44.49%
0.77% to 5.07%	163	35.21%	79.70%
5.07% to 9.38%	74	15.98%	95.68%
9.38% to 13.68%	16	3.46%	99.14%
13.68% to 17.98%	3	0.65%	99.78%
Greater than 17.98%	1	0.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.96%	6.51%	71.49%	68.27%
±2σ	-10.69%	12.24%	95.90%	95.45%
±3σ	-16.43%	17.98%	98.92%	99.73%

Descriptive Statistics

均值	0.774%
Standard Error	0.266%
中位数	1.569%
Mode	-0.429%
Standard Deviation	5.734%
Sample Variance	32.880%
峰度	2.61
偏度	-0.73
Range	49.052%
Minimum	-30.765%
Maximum	18.287%
Count	463

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.256%	285	61.55%	2.620%
负向	-4.801%	178	38.45%	-1.846%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	9.63%
12	1 Year	8.06%
36	3 Years	8.86%
60	5 Years	9.33%
120	10 Years	9.17%
240	20 Years	9.24%
600	50 Years	8.32%

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 4.11. Further, an Excess 峰度 of 25.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.53%	0	0.00%	0.00%
-10.53% to -5.67%	0	0.00%	0.00%
-5.67% to -0.80%	0	0.00%	0.00%
-0.80% to 4.06%	46	9.91%	9.91%
4.06% to 8.93%	252	54.31%	64.22%
8.93% to 13.79%	111	23.92%	88.15%
13.79% to 18.65%	31	6.68%	94.83%
18.65% to 23.52%	11	2.37%	97.20%
23.52% to 28.38%	6	1.29%	98.49%
Greater than 28.38%	7	1.51%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.44%	15.41%	89.44%	68.27%
±2σ	-4.04%	21.90%	96.55%	95.45%
±3σ	-10.53%	28.38%	98.49%	99.73%

Descriptive Statistics

均值	8.926%
Standard Error	0.301%
中位数	7.406%
Mode	4.179%
Standard Deviation	6.485%
Sample Variance	42.061%
峰度	25.80
偏度	4.11
Range	61.854%
Minimum	1.829%
Maximum	63.683%
Count	464

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.926%	464	100.00%	8.926%
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 1.64. Further, an Excess 峰度 of 7.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.58%	0	0.00%	0.00%
-18.58% to -14.04%	2	0.43%	0.43%
-14.04% to -9.50%	14	3.02%	3.45%
-9.50% to -4.96%	69	14.87%	18.32%
-4.96% to -0.42%	188	40.52%	58.84%
-0.42% to 4.12%	104	22.41%	81.25%
4.12% to 8.66%	56	12.07%	93.32%
8.66% to 13.20%	21	4.53%	97.84%
13.20% to 17.74%	5	1.08%	98.92%
Greater than 17.74%	5	1.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.47%	5.63%	75.22%	68.27%
±2σ	-12.53%	11.69%	96.12%	95.45%
±3σ	-18.58%	17.74%	98.92%	99.73%

Descriptive Statistics

均值	-0.420%
Standard Error	0.281%
中位数	-1.559%
Mode	-7.077%
Standard Deviation	6.053%
Sample Variance	36.642%
峰度	7.97
偏度	1.64
Range	59.773%
Minimum	-15.329%
Maximum	44.444%
Count	464

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.344%	176	37.93%	2.027%
负向	-3.957%	287	61.85%	-2.448%
Zero	0.000%	1	0.22%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.27. Further, an Excess 峰度 of 1.12 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.49%	1	0.65%	0.65%
-25.49% to -18.49%	3	1.95%	2.60%
-18.49% to -11.49%	7	4.55%	7.14%
-11.49% to -4.49%	19	12.34%	19.48%
-4.49% to 2.51%	42	27.27%	46.75%
2.51% to 9.51%	49	31.82%	78.57%
9.51% to 16.51%	25	16.23%	94.81%
16.51% to 23.51%	7	4.55%	99.35%
23.51% to 30.51%	0	0.00%	99.35%
Greater than 30.51%	1	0.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.82%	11.84%	69.48%	68.27%
±2σ	-16.16%	21.18%	94.81%	95.45%
±3σ	-25.49%	30.51%	98.70%	99.73%

Descriptive Statistics

均值	2.509%
Standard Error	0.752%
中位数	3.090%
Mode	-26.426%
Standard Deviation	9.334%
Sample Variance	87.127%
峰度	1.12
偏度	-0.27
Range	61.211%
Minimum	-26.426%
Maximum	34.785%
Count	154

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.125%	95	61.69%	5.012%
负向	-6.534%	59	38.31%	-2.503%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	16.94%
12	3 Years	17.50%
20	5 Years	16.62%
40	10 Years	16.20%
80	20 Years	16.16%
200	50 Years	14.99%

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 2.69. Further, an Excess 峰度 of 9.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.90%	0	0.00%	0.00%
-16.90% to -8.41%	0	0.00%	0.00%
-8.41% to 0.08%	0	0.00%	0.00%
0.08% to 8.57%	24	15.48%	15.48%
8.57% to 17.06%	77	49.68%	65.16%
17.06% to 25.55%	33	21.29%	86.45%
25.55% to 34.04%	9	5.81%	92.26%
34.04% to 42.53%	6	3.87%	96.13%
42.53% to 51.02%	3	1.94%	98.06%
Greater than 51.02%	3	1.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.74%	28.38%	89.03%	68.27%
±2σ	-5.58%	39.70%	95.48%	95.45%
±3σ	-16.90%	51.02%	98.06%	99.73%

Descriptive Statistics

均值	17.059%
Standard Error	0.909%
中位数	14.325%
Mode	9.043%
Standard Deviation	11.320%
Sample Variance	128.138%
峰度	9.45
偏度	2.69
Range	70.907%
Minimum	4.924%
Maximum	75.831%
Count	155

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.059%	155	100.00%	17.059%
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 1.34. Further, an Excess 峰度 of 3.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -31.68%	0	0.00%	0.00%
-31.68% to -24.09%	1	0.65%	0.65%
-24.09% to -16.50%	2	1.29%	1.94%
-16.50% to -8.91%	29	18.71%	20.65%
-8.91% to -1.32%	56	36.13%	56.77%
-1.32% to 6.27%	41	26.45%	83.23%
6.27% to 13.86%	16	10.32%	93.55%
13.86% to 21.45%	5	3.23%	96.77%
21.45% to 29.04%	1	0.65%	97.42%
Greater than 29.04%	4	2.58%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.44%	8.80%	74.19%	68.27%
±2σ	-21.56%	18.92%	94.84%	95.45%
±3σ	-31.68%	29.04%	97.42%	99.73%

Descriptive Statistics

均值	-1.319%
Standard Error	0.813%
中位数	-2.779%
Mode	-25.693%
Standard Deviation	10.120%
Sample Variance	102.408%
峰度	3.38
偏度	1.34
Range	67.279%
Minimum	-25.693%
Maximum	41.586%
Count	155

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.073%	60	38.71%	3.125%
负向	-7.251%	95	61.29%	-4.444%
Zero	0.000%	0	0.00%	0.000%

^RUT 深度分析报告