Markets Data Volatility Heatmap Portfolio Calculator

XLE Deep Analytical Report

State Street Energy Select Sector SPDR ETF | Category: Equity Large Cap | Ann. Div Yield: 3.67% ($2.16) | Last Updated: 2026-03-24 | Data Range: 1998-12-01 → 2026-03-01 (328 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 1.80% 1.39% 1.45% 2.29% 1.92% 1.90% 58.35 60.63 57.24 61.81
Weekly 3.86% 3.86% 3.92% 5.31% 4.23% 4.18% 57.02 62.05 54.66 64.73
Monthly 7.21% 9.23% 7.54% 11.01% 8.80% 8.70% 54.47 64.95 49.88 70.93
Quarterly 10.83% 16.91% 10.97% 18.75% 15.25% 15.08% 51.07 69.28 43.85 80.69
Annual — — — — 30.50% 30.15% 43.85 80.69 32.32 109.46
Option Time Horizon — — — — 11.51% 11.38% 53.01 66.74 47.25 74.88
Calculation Notes: Computed at 2026-03-23T16:43 UTC  |  Reference Contract: Call option expiring 2026-05-15 (52 days)  |  Spot Price (S): $59.48  |  Strike (K): $60.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $2.4850 (Bid $2.4600 / Ask $2.5100)  |  Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 3.67%  |  Binomial IV (Annual): 30.50% (CRR binomial tree, American, n=20 steps)  |  BS IV: 30.56% (European Black-Scholes)  |  Yahoo IV (Annual): 30.15% → 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
2025-12-22 $0.3730
2025-09-22 $0.3745
2025-06-23 $0.3590
2025-03-24 $0.3580
2024-12-23 $0.3500
2024-09-23 $0.3635
2024-06-24 $0.3575
2024-03-18 $0.3670
2023-12-18 $0.4010
2023-09-18 $0.3370
2023-06-20 $0.3530
2023-03-20 $0.3975
2022-12-19 $0.4300
2022-09-19 $0.4230
2022-06-21 $0.4075
2022-03-21 $0.3500
2021-12-20 $0.3475
2021-09-20 $0.2960
2021-06-21 $0.2650
2021-03-22 $0.2600
2020-12-21 $0.2600
2020-09-21 $0.2720
2020-06-22 $0.2505
2020-03-23 $0.2830
2019-12-30 $0.8955
2019-12-20 $0.2965
2019-09-20 $0.2800
2019-06-21 $0.2880
2019-03-15 $0.2570
2018-12-21 $0.2650
2018-09-21 $0.2565
2018-06-15 $0.2560
2018-03-16 $0.2375
2017-12-15 $0.2290
2017-09-15 $0.4325
2017-06-16 $0.2245
2017-03-17 $0.2095
2016-12-16 $0.2010
2016-09-16 $0.2055
2016-06-17 $0.2180
2016-03-18 $0.2260
2015-12-18 $0.2710
2015-09-18 $0.2390
2015-06-19 $0.2545
2015-03-20 $0.2575
2014-12-19 $0.2425
2014-09-19 $0.2415
2014-06-20 $0.2320
2014-03-21 $0.2135
2013-12-20 $0.2015
2013-09-20 $0.1965
2013-06-21 $0.1870
2013-03-15 $0.1785
2012-12-21 $0.1855
2012-09-21 $0.1670
2012-06-15 $0.1555
2012-03-16 $0.1425
2011-12-16 $0.1385
2011-09-16 $0.1320
2011-06-17 $0.1325
2011-03-18 $0.1275
2010-12-17 $0.1465
2010-09-17 $0.1245
2010-06-18 $0.1260
2010-03-19 $0.1015
2009-12-18 $0.1520
2009-09-18 $0.1230
2009-06-19 $0.1270
2009-03-20 $0.1150
2008-12-19 $0.1195
2008-09-19 $0.1075
2008-06-20 $0.1140
2008-03-20 $0.1015
2007-12-21 $0.0995
2007-09-21 $0.0990
2007-06-15 $0.1015
2007-03-16 $0.0935
2006-12-15 $0.0920
2006-09-15 $0.0885
2006-06-16 $0.0985
2006-03-17 $0.0805
2005-12-16 $0.0685
2005-09-16 $0.0740
2005-06-17 $0.0705
2005-03-18 $0.0720
2004-12-17 $0.0655
2004-09-17 $0.0665
2004-06-18 $0.0620
2004-03-19 $0.0635
2003-12-19 $0.0610
2003-09-19 $0.0605
2003-06-20 $0.0590
2003-03-21 $0.0595
2002-12-20 $0.0580
2002-09-20 $0.0575
2002-06-21 $0.0780
2002-03-15 $0.0480
2001-12-21 $0.0530
2001-09-21 $0.0705
2001-06-15 $0.0755
2001-03-16 $0.0485
2000-12-15 $0.0455
2000-09-15 $0.0715
2000-06-16 $0.0755
2000-03-17 $0.0480
1999-12-17 $0.0400
1999-09-17 $0.0650
1999-06-18 $0.0730
1999-03-19 $0.0450
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.27. Further, an Excess Kurtosis of 10.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.36%490.72%0.72%
-5.36% to -4.01%650.95%1.66%
-4.01% to -2.66%2403.50%5.17%
-2.66% to -1.30%80311.72%16.89%
-1.30% to 0.05%222032.40%49.28%
0.05% to 1.40%229233.45%82.73%
1.40% to 2.76%85512.48%95.21%
2.76% to 4.11%2333.40%98.61%
4.11% to 5.46%600.88%99.49%
Greater than 5.46%350.51%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.75%1.85% 77.47%68.27%
±2σ -3.56%3.66% 95.74%95.45%
±3σ -5.36%5.46% 98.77%99.73%
Descriptive Statistics
Mean0.050%
Standard Error0.022%
Median0.076%
Mode0.000%
Standard Deviation1.804%
Sample Variance3.254%
Kurtosis10.92
Skewness-0.27
Range36.616%
Minimum-20.141%
Maximum16.475%
Count6852
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.254% 3562 51.98% 0.652%
Negative -1.272% 3241 47.30% -0.602%
Zero 0.000% 49 0.71% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.10%
20 1 Month 2.16%
60 1 Quarter 2.08%
250 1 Year 2.04%
750 3 Years 1.88%
1,250 5 Years 2.29%
2,500 10 Years 2.27%
5,000 20 Years 2.32%
12,500 50 Years 2.26%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.09. Further, an Excess Kurtosis of 31.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -2.10%00.00%0.00%
-2.10% to -1.06%00.00%0.00%
-1.06% to -0.01%00.00%0.00%
-0.01% to 1.03%89012.99%12.99%
1.03% to 2.07%347350.68%63.67%
2.07% to 3.11%155422.68%86.34%
3.11% to 4.15%5467.97%94.31%
4.15% to 5.19%2063.01%97.32%
5.19% to 6.23%791.15%98.47%
Greater than 6.23%1051.53%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.68%3.46% 88.31%68.27%
±2σ -0.71%4.84% 96.83%95.45%
±3σ -2.10%6.23% 98.47%99.73%
Descriptive Statistics
Mean2.067%
Standard Error0.017%
Median1.730%
Mode1.050%
Standard Deviation1.388%
Sample Variance1.926%
Kurtosis31.26
Skewness4.09
Range21.282%
Minimum0.339%
Maximum21.621%
Count6853
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.067% 6853 100.00% 2.067%
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 Fairly Symmetrical with a Skewness factor of 0.45. Further, an Excess Kurtosis of 7.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -4.32%340.50%0.50%
-4.32% to -3.23%570.83%1.33%
-3.23% to -2.15%2493.63%4.96%
-2.15% to -1.06%88112.86%17.82%
-1.06% to 0.03%232633.94%51.76%
0.03% to 1.11%207130.22%81.98%
1.11% to 2.20%85912.53%94.51%
2.20% to 3.29%2543.71%98.22%
3.29% to 4.37%751.09%99.31%
Greater than 4.37%470.69%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.42%1.48% 75.97%68.27%
±2σ -2.87%2.93% 95.37%95.45%
±3σ -4.32%4.37% 98.82%99.73%
Descriptive Statistics
Mean0.027%
Standard Error0.018%
Median-0.016%
Mode0.000%
Standard Deviation1.449%
Sample Variance2.101%
Kurtosis7.70
Skewness0.45
Range27.987%
Minimum-10.307%
Maximum17.680%
Count6853
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.090% 3349 48.87% 0.533%
Negative -1.007% 3443 50.24% -0.506%
Zero 0.000% 61 0.89% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of -0.40. Further, an Excess Kurtosis of 5.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.34%140.99%0.99%
-11.34% to -8.45%161.13%2.11%
-8.45% to -5.55%402.81%4.93%
-5.55% to -2.66%17512.32%17.24%
-2.66% to 0.24%46632.79%50.04%
0.24% to 3.13%45732.16%82.20%
3.13% to 6.03%18513.02%95.21%
6.03% to 8.92%443.10%98.31%
8.92% to 11.82%181.27%99.58%
Greater than 11.82%60.42%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.62%4.10% 77.69%68.27%
±2σ -7.48%7.96% 95.21%95.45%
±3σ -11.34%11.82% 98.59%99.73%
Descriptive Statistics
Mean0.239%
Standard Error0.102%
Median0.234%
Mode0.000%
Standard Deviation3.860%
Sample Variance14.898%
Kurtosis5.69
Skewness-0.40
Range49.845%
Minimum-27.941%
Maximum21.904%
Count1421
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.786% 758 53.34% 1.486%
Negative -2.706% 655 46.09% -1.247%
Zero 0.000% 8 0.56% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 5.16%
12 1 Quarter 5.20%
52 1 Year 4.64%
156 3 Years 4.32%
260 5 Years 5.31%
520 10 Years 5.35%
1,040 20 Years 5.45%
2,600 50 Years 5.31%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.20. Further, an Excess Kurtosis of 29.64 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.16%00.00%0.00%
-6.16% to -3.26%00.00%0.00%
-3.26% to -0.37%00.00%0.00%
-0.37% to 2.53%1409.85%9.85%
2.53% to 5.43%79055.56%65.40%
5.43% to 8.32%31121.87%87.27%
8.32% to 11.22%1047.31%94.59%
11.22% to 14.12%382.67%97.26%
14.12% to 17.01%151.05%98.31%
Greater than 17.01%241.69%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.56%9.29% 89.31%68.27%
±2σ -2.30%13.15% 96.41%95.45%
±3σ -6.16%17.01% 98.31%99.73%
Descriptive Statistics
Mean5.427%
Standard Error0.102%
Median4.433%
Mode3.574%
Standard Deviation3.862%
Sample Variance14.918%
Kurtosis29.64
Skewness4.20
Range46.589%
Minimum0.888%
Maximum47.477%
Count1422
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.427% 1422 100.00% 5.427%
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 1.78. Further, an Excess Kurtosis of 13.11 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.72%30.21%0.21%
-11.72% to -8.78%120.84%1.05%
-8.78% to -5.84%402.81%3.87%
-5.84% to -2.90%18613.08%16.95%
-2.90% to 0.04%52436.85%53.80%
0.04% to 2.98%43130.31%84.11%
2.98% to 5.92%15711.04%95.15%
5.92% to 8.86%352.46%97.61%
8.86% to 11.80%140.98%98.59%
Greater than 11.80%201.41%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.88%3.96% 79.89%68.27%
±2σ -7.80%7.88% 95.57%95.45%
±3σ -11.72%11.80% 98.38%99.73%
Descriptive Statistics
Mean0.039%
Standard Error0.104%
Median-0.220%
Mode0.000%
Standard Deviation3.921%
Sample Variance15.378%
Kurtosis13.11
Skewness1.78
Range54.487%
Minimum-14.917%
Maximum39.570%
Count1422
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.934% 659 46.34% 1.360%
Negative -2.480% 757 53.23% -1.320%
Zero 0.000% 6 0.42% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.03. Further, an Excess Kurtosis of 3.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -20.66%10.31%0.31%
-20.66% to -15.25%41.22%1.53%
-15.25% to -9.84%175.20%6.73%
-9.84% to -4.43%329.79%16.51%
-4.43% to 0.97%10632.42%48.93%
0.97% to 6.38%10933.33%82.26%
6.38% to 11.79%4313.15%95.41%
11.79% to 17.20%92.75%98.17%
17.20% to 22.61%30.92%99.08%
Greater than 22.61%30.92%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.24%8.19% 74.92%68.27%
±2σ -13.45%15.40% 94.50%95.45%
±3σ -20.66%22.61% 98.78%99.73%
Descriptive Statistics
Mean0.974%
Standard Error0.399%
Median1.203%
Mode-4.233%
Standard Deviation7.212%
Sample Variance52.017%
Kurtosis3.06
Skewness0.03
Range65.135%
Minimum-34.371%
Maximum30.764%
Count327
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.531% 185 56.58% 3.129%
Negative -4.962% 142 43.42% -2.155%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 12.52%
12 1 Year 9.69%
36 3 Years 8.72%
60 5 Years 11.01%
120 10 Years 11.64%
240 20 Years 11.46%
600 50 Years 11.19%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.41. Further, an Excess Kurtosis of 46.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.56%00.00%0.00%
-15.56% to -8.63%00.00%0.00%
-8.63% to -1.71%00.00%0.00%
-1.71% to 5.22%206.10%6.10%
5.22% to 12.15%19760.06%66.16%
12.15% to 19.07%7021.34%87.50%
19.07% to 26.00%247.32%94.82%
26.00% to 32.92%92.74%97.56%
32.92% to 39.85%41.22%98.78%
Greater than 39.85%41.22%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.91%21.38% 90.55%68.27%
±2σ -6.32%30.62% 97.26%95.45%
±3σ -15.56%39.85% 98.78%99.73%
Descriptive Statistics
Mean12.146%
Standard Error0.510%
Median9.661%
Mode6.527%
Standard Deviation9.235%
Sample Variance85.292%
Kurtosis46.56
Skewness5.41
Range107.057%
Minimum2.690%
Maximum109.747%
Count328
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.146% 328 100.00% 12.146%
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 1.66. Further, an Excess Kurtosis of 11.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -22.71%10.30%0.30%
-22.71% to -17.06%30.91%1.22%
-17.06% to -11.41%92.74%3.96%
-11.41% to -5.75%4513.72%17.68%
-5.75% to -0.10%11234.15%51.83%
-0.10% to 5.55%11033.54%85.37%
5.55% to 11.20%247.32%92.68%
11.20% to 16.85%164.88%97.56%
16.85% to 22.51%61.83%99.39%
Greater than 22.51%20.61%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.64%7.43% 78.96%68.27%
±2σ -15.17%14.97% 95.12%95.45%
±3σ -22.71%22.51% 99.09%99.73%
Descriptive Statistics
Mean-0.102%
Standard Error0.416%
Median-0.292%
Mode0.667%
Standard Deviation7.536%
Sample Variance56.792%
Kurtosis11.96
Skewness1.66
Range85.257%
Minimum-26.000%
Maximum59.257%
Count328
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.339% 155 47.26% 2.523%
Negative -5.006% 172 52.44% -2.625%
Zero 0.000% 1 0.30% 0.000%
Close-to-Close Returns
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a Skewness factor of 0.04. Further, an Excess Kurtosis of 1.40 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -29.69%10.92%0.92%
-29.69% to -21.57%10.92%1.83%
-21.57% to -13.45%43.67%5.50%
-13.45% to -5.33%1311.93%17.43%
-5.33% to 2.80%3733.94%51.38%
2.80% to 10.92%3330.28%81.65%
10.92% to 19.04%1614.68%96.33%
19.04% to 27.16%21.83%98.17%
27.16% to 35.29%10.92%99.08%
Greater than 35.29%10.92%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.03%13.63% 71.56%68.27%
±2σ -18.86%24.46% 94.50%95.45%
±3σ -29.69%35.29% 98.17%99.73%
Descriptive Statistics
Mean2.797%
Standard Error1.037%
Median2.188%
Mode-30.691%
Standard Deviation10.830%
Sample Variance117.281%
Kurtosis1.40
Skewness0.04
Range69.430%
Minimum-30.691%
Maximum38.739%
Count109
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.988% 68 62.38% 5.607%
Negative -7.471% 41 37.62% -2.810%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average Quarterly True Range %
4 1 Year 15.65%
12 3 Years 14.79%
20 5 Years 18.75%
40 10 Years 20.05%
80 20 Years 19.70%
200 50 Years 19.22%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.40. Further, an Excess Kurtosis of 26.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -28.39%00.00%0.00%
-28.39% to -15.71%00.00%0.00%
-15.71% to -3.04%00.00%0.00%
-3.04% to 9.64%76.36%6.36%
9.64% to 22.32%6660.00%66.36%
22.32% to 35.00%2522.73%89.09%
35.00% to 47.68%98.18%97.27%
47.68% to 60.36%10.91%98.18%
60.36% to 73.04%00.00%98.18%
Greater than 73.04%21.82%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 5.42%39.23% 91.82%68.27%
±2σ -11.49%56.14% 97.27%95.45%
±3σ -28.39%73.04% 98.18%99.73%
Descriptive Statistics
Mean22.324%
Standard Error1.612%
Median18.527%
Mode6.636%
Standard Deviation16.906%
Sample Variance285.804%
Kurtosis26.38
Skewness4.40
Range135.497%
Minimum6.636%
Maximum142.133%
Count110
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 22.324% 110 100.00% 22.324%
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 1.16. Further, an Excess Kurtosis of 3.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -33.81%00.00%0.00%
-33.81% to -25.58%10.91%0.91%
-25.58% to -17.35%32.73%3.64%
-17.35% to -9.12%1513.64%17.27%
-9.12% to -0.89%4137.27%54.55%
-0.89% to 7.33%3128.18%82.73%
7.33% to 15.56%1210.91%93.64%
15.56% to 23.79%43.64%97.27%
23.79% to 32.02%10.91%98.18%
Greater than 32.02%21.82%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.86%10.08% 74.55%68.27%
±2σ -22.84%21.05% 95.45%95.45%
±3σ -33.81%32.02% 98.18%99.73%
Descriptive Statistics
Mean-0.893%
Standard Error1.046%
Median-1.666%
Mode0.000%
Standard Deviation10.971%
Sample Variance120.356%
Kurtosis3.54
Skewness1.16
Range70.810%
Minimum-25.966%
Maximum44.844%
Count110
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.533% 46 41.82% 3.568%
Negative -7.916% 62 56.36% -4.462%
Zero 0.000% 2 1.82% 0.000%