Markets Data Volatility Heatmap Portfolio Calculator

XLE Deep Analytical Report

State Street Energy Select Sector SPDR ETF | Category: Equity Large Cap | Ann. Div Yield: 3.91% ($2.16) | Last Updated: 2026-02-22 | Data Range: 1998-12-01 → 2026-02-01 (327 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 1.81% 1.39% 1.45% 2.30% 1.96% 2.13% 53.82 55.96 52.78 57.07
Weekly 3.86% 3.87% 3.92% 5.35% 4.30% 4.68% 52.57 57.29 50.35 59.81
Monthly 7.21% 9.25% 7.54% 11.10% 8.96% 9.74% 50.18 60.02 45.88 65.65
Quarterly 10.76% 16.93% 10.91% 18.31% 15.52% 16.87% 46.99 64.09 40.23 74.86
Annual — — — — 31.04% 33.74% 40.23 74.86 29.50 102.10
Option Time Horizon — — — — 11.94% 12.98% 48.70 61.84 43.22 69.68
Calculation Notes: Computed at 2026-02-22T14:25 UTC  |  Reference Contract: Call option expiring 2026-04-17 (54 days)  |  Spot Price (S): $54.88  |  Strike (K): $55.00 (first OTM call ≥ spot)  |  Observed Mid-Price: $2.5150 (Bid $2.2200 / Ask $2.8100)  |  Risk-Free Rate (r): 3.72% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 3.91%  |  Binomial IV (Annual): 31.04% (CRR binomial tree, American, n=20 steps)  |  BS IV: 30.82% (European Black-Scholes)  |  Yahoo IV (Annual): 33.74% → 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 10.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -5.37%490.72%0.72%
-5.37% to -4.01%640.94%1.65%
-4.01% to -2.66%2403.51%5.17%
-2.66% to -1.31%80411.77%16.94%
-1.31% to 0.05%221032.35%49.29%
0.05% to 1.40%228633.47%82.76%
1.40% to 2.76%85012.44%95.20%
2.76% to 4.11%2343.43%98.62%
4.11% to 5.47%590.86%99.49%
Greater than 5.47%350.51%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.76%1.85% 77.51%68.27%
±2σ -3.56%3.66% 95.74%95.45%
±3σ -5.37%5.47% 98.77%99.73%
Descriptive Statistics
Mean0.049%
Standard Error0.022%
Median0.075%
Mode0.000%
Standard Deviation1.806%
Sample Variance3.261%
Kurtosis10.90
Skewness-0.27
Range36.616%
Minimum-20.141%
Maximum16.475%
Count6831
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.255% 3549 51.95% 0.652%
Negative -1.274% 3233 47.33% -0.603%
Zero 0.000% 49 0.72% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average Daily True Range %
5 1 Week 2.01%
20 1 Month 2.18%
60 1 Quarter 1.89%
250 1 Year 2.05%
750 3 Years 1.91%
1,250 5 Years 2.30%
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 4.08. Further, an Excess Kurtosis of 31.20 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 -0.02%00.00%0.00%
-0.02% to 1.02%88813.00%13.00%
1.02% to 2.07%346350.69%63.69%
2.07% to 3.11%154722.64%86.33%
3.11% to 4.15%5447.96%94.29%
4.15% to 5.19%2063.02%97.31%
5.19% to 6.24%791.16%98.46%
Greater than 6.24%1051.54%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 0.68%3.46% 88.32%68.27%
±2σ -0.71%4.85% 96.84%95.45%
±3σ -2.10%6.24% 98.46%99.73%
Descriptive Statistics
Mean2.067%
Standard Error0.017%
Median1.727%
Mode1.050%
Standard Deviation1.390%
Sample Variance1.931%
Kurtosis31.20
Skewness4.08
Range21.282%
Minimum0.339%
Maximum21.621%
Count6832
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.067% 6832 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 -4.33%340.50%0.50%
-4.33% to -3.24%570.83%1.33%
-3.24% to -2.15%2443.57%4.90%
-2.15% to -1.06%87912.87%17.77%
-1.06% to 0.03%232133.97%51.74%
0.03% to 1.11%206430.21%81.95%
1.11% to 2.20%85812.56%94.51%
2.20% to 3.29%2533.70%98.21%
3.29% to 4.38%751.10%99.31%
Greater than 4.38%470.69%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -1.42%1.48% 76.02%68.27%
±2σ -2.88%2.93% 95.42%95.45%
±3σ -4.33%4.38% 98.81%99.73%
Descriptive Statistics
Mean0.027%
Standard Error0.018%
Median-0.016%
Mode0.000%
Standard Deviation1.451%
Sample Variance2.104%
Kurtosis7.70
Skewness0.45
Range27.987%
Minimum-10.307%
Maximum17.680%
Count6832
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 1.091% 3339 48.87% 0.533%
Negative -1.007% 3432 50.23% -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 5.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.36%140.99%0.99%
-11.36% to -8.46%161.13%2.12%
-8.46% to -5.56%402.82%4.94%
-5.56% to -2.66%17512.35%17.29%
-2.66% to 0.23%46432.75%50.04%
0.23% to 3.13%45632.18%82.22%
3.13% to 6.03%18412.99%95.20%
6.03% to 8.93%443.11%98.31%
8.93% 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 -3.63%4.10% 77.63%68.27%
±2σ -7.49%7.96% 95.20%95.45%
±3σ -11.36%11.82% 98.59%99.73%
Descriptive Statistics
Mean0.234%
Standard Error0.103%
Median0.233%
Mode0.000%
Standard Deviation3.863%
Sample Variance14.922%
Kurtosis5.68
Skewness-0.40
Range49.845%
Minimum-27.941%
Maximum21.904%
Count1417
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.785% 755 53.28% 1.484%
Negative -2.708% 654 46.15% -1.250%
Zero 0.000% 8 0.56% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average Weekly True Range %
4 1 Month 5.31%
12 1 Quarter 4.48%
52 1 Year 4.63%
156 3 Years 4.39%
260 5 Years 5.35%
520 10 Years 5.35%
1,040 20 Years 5.44%
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 4.19. Further, an Excess Kurtosis of 29.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -6.17%00.00%0.00%
-6.17% to -3.27%00.00%0.00%
-3.27% to -0.37%00.00%0.00%
-0.37% to 2.53%1409.87%9.87%
2.53% to 5.43%78755.50%65.37%
5.43% to 8.33%31021.86%87.24%
8.33% to 11.23%1047.33%94.57%
11.23% to 14.13%382.68%97.25%
14.13% to 17.03%151.06%98.31%
Greater than 17.03%241.69%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 1.56%9.29% 89.28%68.27%
±2σ -2.31%13.16% 96.40%95.45%
±3σ -6.17%17.03% 98.31%99.73%
Descriptive Statistics
Mean5.428%
Standard Error0.103%
Median4.428%
Mode3.574%
Standard Deviation3.867%
Sample Variance14.957%
Kurtosis29.56
Skewness4.19
Range46.589%
Minimum0.888%
Maximum47.477%
Count1418
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.428% 1418 100.00% 5.428%
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 13.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -11.73%30.21%0.21%
-11.73% to -8.79%120.85%1.06%
-8.79% to -5.84%402.82%3.88%
-5.84% to -2.90%18412.98%16.85%
-2.90% to 0.04%52436.95%53.81%
0.04% to 2.99%43130.39%84.20%
2.99% to 5.93%15510.93%95.13%
5.93% to 8.87%352.47%97.60%
8.87% to 11.82%140.99%98.59%
Greater than 11.82%201.41%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -3.88%3.97% 79.69%68.27%
±2σ -7.80%7.89% 95.56%95.45%
±3σ -11.73%11.82% 98.38%99.73%
Descriptive Statistics
Mean0.044%
Standard Error0.104%
Median-0.216%
Mode0.000%
Standard Deviation3.924%
Sample Variance15.400%
Kurtosis13.10
Skewness1.78
Range54.487%
Minimum-14.917%
Maximum39.570%
Count1418
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 2.935% 658 46.40% 1.362%
Negative -2.478% 754 53.17% -1.318%
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 3.08 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -20.68%10.31%0.31%
-20.68% to -15.27%41.23%1.53%
-15.27% to -9.87%175.21%6.75%
-9.87% to -4.46%329.82%16.56%
-4.46% to 0.95%10532.21%48.77%
0.95% to 6.36%10833.13%81.90%
6.36% to 11.77%4413.50%95.40%
11.77% to 17.18%92.76%98.16%
17.18% to 22.59%30.92%99.08%
Greater than 22.59%30.92%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -6.26%8.16% 75.15%68.27%
±2σ -13.47%15.37% 94.48%95.45%
±3σ -20.68%22.59% 98.77%99.73%
Descriptive Statistics
Mean0.952%
Standard Error0.399%
Median1.148%
Mode-4.233%
Standard Deviation7.211%
Sample Variance52.001%
Kurtosis3.08
Skewness0.03
Range65.135%
Minimum-34.371%
Maximum30.764%
Count326
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.517% 184 56.44% 3.114%
Negative -4.962% 142 43.56% -2.161%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average Monthly True Range %
3 1 Quarter 11.59%
12 1 Year 9.91%
36 3 Years 8.88%
60 5 Years 11.10%
120 10 Years 11.68%
240 20 Years 11.47%
600 50 Years 11.20%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 5.40. Further, an Excess Kurtosis of 46.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -15.59%00.00%0.00%
-15.59% to -8.65%00.00%0.00%
-8.65% to -1.72%00.00%0.00%
-1.72% to 5.22%206.12%6.12%
5.22% to 12.15%19760.24%66.36%
12.15% to 19.09%6921.10%87.46%
19.09% to 26.03%247.34%94.80%
26.03% to 32.96%92.75%97.55%
32.96% to 39.90%41.22%98.78%
Greater than 39.90%41.22%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ 2.91%21.40% 90.52%68.27%
±2σ -6.34%30.65% 97.25%95.45%
±3σ -15.59%39.90% 98.78%99.73%
Descriptive Statistics
Mean12.154%
Standard Error0.511%
Median9.670%
Mode6.527%
Standard Deviation9.248%
Sample Variance85.523%
Kurtosis46.43
Skewness5.40
Range107.057%
Minimum2.690%
Maximum109.747%
Count327
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 12.154% 327 100.00% 12.154%
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%10.31%0.31%
-22.71% to -17.05%30.92%1.22%
-17.05% to -11.40%92.75%3.98%
-11.40% to -5.74%4513.76%17.74%
-5.74% to -0.09%11234.25%51.99%
-0.09% to 5.57%10933.33%85.32%
5.57% to 11.22%247.34%92.66%
11.22% to 16.88%164.89%97.55%
16.88% to 22.53%61.83%99.39%
Greater than 22.53%20.61%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -7.63%7.45% 78.90%68.27%
±2σ -15.17%14.99% 95.11%95.45%
±3σ -22.71%22.53% 99.08%99.73%
Descriptive Statistics
Mean-0.089%
Standard Error0.417%
Median-0.268%
Mode0.667%
Standard Deviation7.540%
Sample Variance56.848%
Kurtosis11.96
Skewness1.66
Range85.257%
Minimum-26.000%
Maximum59.257%
Count327
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 5.339% 155 47.40% 2.531%
Negative -5.009% 171 52.29% -2.619%
Zero 0.000% 1 0.31% 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 1.49 proves the distribution possesses Fat Tails (Higher Outlier Risk).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -29.57%10.92%0.92%
-29.57% to -21.50%10.92%1.83%
-21.50% to -13.42%43.67%5.50%
-13.42% to -5.35%1311.93%17.43%
-5.35% to 2.72%3733.94%51.38%
2.72% to 10.79%3431.19%82.57%
10.79% to 18.86%1513.76%96.33%
18.86% to 26.93%10.92%97.25%
26.93% to 35.00%21.83%99.08%
Greater than 35.00%10.92%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -8.04%13.48% 72.48%68.27%
±2σ -18.80%24.24% 94.50%95.45%
±3σ -29.57%35.00% 98.17%99.73%
Descriptive Statistics
Mean2.717%
Standard Error1.031%
Median2.188%
Mode-30.691%
Standard Deviation10.761%
Sample Variance115.809%
Kurtosis1.49
Skewness0.04
Range69.430%
Minimum-30.691%
Maximum38.739%
Count109
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.859% 68 62.38% 5.527%
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 13.44%
12 3 Years 14.05%
20 5 Years 18.31%
40 10 Years 19.83%
80 20 Years 19.59%
200 50 Years 19.14%
High-to-Low Returns
Gram-Charlier Analysis: Data reveals Highly Right Skewed (Extreme Positive Tail Risk) with a Skewness factor of 4.39. Further, an Excess Kurtosis of 26.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -28.56%00.00%0.00%
-28.56% to -15.86%00.00%0.00%
-15.86% to -3.16%00.00%0.00%
-3.16% to 9.54%76.36%6.36%
9.54% to 22.24%6660.00%66.36%
22.24% to 34.94%2522.73%89.09%
34.94% to 47.64%98.18%97.27%
47.64% to 60.34%10.91%98.18%
60.34% 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 5.31%39.18% 91.82%68.27%
±2σ -11.62%56.11% 97.27%95.45%
±3σ -28.56%73.04% 98.18%99.73%
Descriptive Statistics
Mean22.243%
Standard Error1.614%
Median18.365%
Mode6.636%
Standard Deviation16.933%
Sample Variance286.712%
Kurtosis26.28
Skewness4.39
Range135.497%
Minimum6.636%
Maximum142.133%
Count110
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 22.243% 110 100.00% 22.243%
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 1.18. Further, an Excess Kurtosis of 3.64 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / RangeFrequencyProbCum. Prob
Less than -33.55%00.00%0.00%
-33.55% to -25.37%10.91%0.91%
-25.37% to -17.19%32.73%3.64%
-17.19% to -9.01%1412.73%16.36%
-9.01% to -0.83%4238.18%54.55%
-0.83% to 7.35%3128.18%82.73%
7.35% to 15.53%1210.91%93.64%
15.53% to 23.71%43.64%97.27%
23.71% to 31.89%10.91%98.18%
Greater than 31.89%21.82%100.00%
Standard Deviation Interval Analysis
SDLower BndUpper Bnd Actual %Normal %
±1σ -11.74%10.08% 75.45%68.27%
±2σ -22.64%20.98% 94.55%95.45%
±3σ -33.55%31.89% 98.18%99.73%
Descriptive Statistics
Mean-0.831%
Standard Error1.040%
Median-1.666%
Mode0.000%
Standard Deviation10.906%
Sample Variance118.938%
Kurtosis3.64
Skewness1.18
Range70.810%
Minimum-25.966%
Maximum44.844%
Count110
Frequency Breakdown
CategoryAvg ReturnCountProbabilityFreq Adj Return
Positive 8.533% 46 41.82% 3.568%
Negative -7.805% 62 56.36% -4.399%
Zero 0.000% 2 1.82% 0.000%