XLF 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	1.79%	1.59%	1.47%	1.59%	1.19%	1.27%	50.81	52.03	50.21	52.65
周度	3.78%	4.24%	3.65%	3.76%	2.61%	2.80%	50.09	52.78	48.80	54.18
月度	6.06%	9.74%	6.37%	8.15%	5.44%	5.84%	48.70	54.29	46.12	57.33
季度	9.73%	17.20%	11.30%	13.71%	9.42%	10.11%	46.80	56.50	42.59	62.08
Annual	—	—	—	—	18.84%	20.22%	42.59	62.08	35.28	74.94
Option Time Horizon	—	—	—	—	7.18%	7.70%	47.86	55.25	44.54	59.36

Calculation Notes: Computed at 2026-04-26T02:49 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $51.42 | Strike (K): $52.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.3050 (Bid $1.2800 / Ask $1.3300) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 1.12% | Binomial IV (Annual): 18.84% (CRR binomial tree, American, n=20 steps) | BS IV: 19.02% (European Black-Scholes) | Yahoo IV (Annual): 20.22% → 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
2026-03-23	$0.2510
2025-12-22	$0.1910
2025-09-22	$0.1780
2025-06-23	$0.1720
2025-03-24	$0.1790
2024-12-23	$0.2060
2024-09-23	$0.1650
2024-06-24	$0.1630
2024-03-18	$0.1530
2023-12-18	$0.1840
2023-09-18	$0.1550
2023-06-20	$0.1500
2023-03-20	$0.1530
2022-12-19	$0.2100
2022-09-19	$0.1730
2022-06-21	$0.1640
2022-03-21	$0.1520
2021-12-20	$0.1840
2021-09-20	$0.1620
2021-06-21	$0.1390
2021-03-22	$0.1510
2020-12-21	$0.1520
2020-09-21	$0.1350
2020-06-22	$0.1520
2020-03-23	$0.1590
2019-12-20	$0.1560
2019-09-20	$0.1440
2019-06-21	$0.1390
2019-03-15	$0.1350
2018-12-21	$0.1450
2018-09-21	$0.1280
2018-06-15	$0.1190
2018-03-16	$0.1050
2017-12-15	$0.1280
2017-09-15	$0.1030
2017-06-16	$0.0930
2017-03-17	$0.0880
2016-12-16	$0.1070
2016-09-16	$0.0926
2016-06-17	$0.0983
2016-03-18	$0.0812
2015-12-18	$0.1219
2015-09-18	$0.0918
2015-06-19	$0.0894
2015-03-20	$0.0739
2014-12-19	$0.1024
2014-09-19	$0.0796
2014-06-20	$0.0731
2014-03-21	$0.0674
2013-12-20	$0.0820
2013-09-20	$0.0658
2013-06-21	$0.0626
2013-03-15	$0.0504
2012-12-21	$0.0845
2012-09-21	$0.0536
2012-06-15	$0.0552
2012-03-16	$0.0406
2011-12-16	$0.0650
2011-09-16	$0.0406
2011-06-17	$0.0431
2011-03-18	$0.0341
2010-12-17	$0.0455
2010-09-17	$0.0268
2010-06-18	$0.0252
2010-03-19	$0.0292
2009-12-18	$0.0422
2009-09-18	$0.0382
2009-06-19	$0.0496
2009-03-20	$0.0699
2008-12-19	$0.1487
2008-09-19	$0.1543
2008-06-20	$0.1625
2008-03-20	$0.1608
2007-12-21	$0.2128
2007-09-21	$0.2071
2007-06-15	$0.1657
2007-03-16	$0.1202
2006-12-15	$0.2283
2006-09-15	$0.1576
2006-06-16	$0.1519
2006-03-17	$0.1438
2005-12-16	$0.1690
2005-09-16	$0.1397
2005-06-17	$0.1422
2005-03-18	$0.1259
2004-12-17	$0.1519
2004-09-17	$0.1284
2004-06-18	$0.1186
2004-03-19	$0.1089
2003-12-19	$0.1332
2003-09-19	$0.1129
2003-06-20	$0.0942
2003-03-21	$0.0788
2002-12-20	$0.1080
2002-09-20	$0.0910
2002-06-21	$0.0910
2002-03-15	$0.0731
2001-12-21	$0.0934
2001-09-21	$0.0804
2001-06-15	$0.0820
2001-03-16	$0.0707
2000-12-15	$0.0837
2000-09-15	$0.0715
2000-06-16	$0.0707
2000-03-17	$0.0691
1999-12-17	$0.0682
1999-09-17	$0.0609
1999-06-18	$0.0577
1999-03-19	$0.0561

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.31. Further, an Excess 峰度 of 14.82 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.32%	54	0.79%	0.79%
-5.32% to -3.98%	65	0.95%	1.73%
-3.98% to -2.64%	185	2.69%	4.42%
-2.64% to -1.30%	644	9.37%	13.79%
-1.30% to 0.04%	2440	35.49%	49.28%
0.04% to 1.38%	2593	37.72%	87.00%
1.38% to 2.72%	637	9.27%	96.26%
2.72% to 4.06%	134	1.95%	98.21%
4.06% to 5.40%	60	0.87%	99.08%
Greater than 5.40%	63	0.92%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.75%	1.82%	82.56%	68.27%
±2σ	-3.54%	3.61%	95.52%	95.45%
±3σ	-5.32%	5.40%	98.30%	99.73%

Descriptive Statistics

均值	0.038%
Standard Error	0.022%
中位数	0.057%
Mode	0.000%
Standard Deviation	1.787%
Sample Variance	3.195%
峰度	14.82
偏度	0.31
Range	33.129%
Minimum	-16.667%
Maximum	16.462%
Count	6875

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.127%	3530	51.34%	0.579%
负向	-1.145%	3247	47.23%	-0.541%
Zero	0.000%	98	1.43%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	1.32%
20	1 Month	1.64%
60	1 Quarter	1.76%
250	1 Year	1.36%
750	3 Years	1.36%
1,250	5 Years	1.59%
2,500	10 Years	1.66%
5,000	20 Years	1.98%
12,500	50 Years	1.98%

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 4.28. Further, an Excess 峰度 of 30.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.97%	0	0.00%	0.00%
-2.97% to -1.77%	0	0.00%	0.00%
-1.77% to -0.58%	0	0.00%	0.00%
-0.58% to 0.61%	381	5.54%	5.54%
0.61% to 1.81%	4266	62.04%	67.58%
1.81% to 3.00%	1437	20.90%	88.48%
3.00% to 4.20%	420	6.11%	94.59%
4.20% to 5.39%	152	2.21%	96.80%
5.39% to 6.58%	74	1.08%	97.88%
Greater than 6.58%	146	2.12%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.22%	3.40%	91.46%	68.27%
±2σ	-1.38%	4.99%	96.26%	95.45%
±3σ	-2.97%	6.58%	97.88%	99.73%

Descriptive Statistics

均值	1.809%
Standard Error	0.019%
中位数	1.373%
Mode	1.045%
Standard Deviation	1.592%
Sample Variance	2.533%
峰度	30.19
偏度	4.28
Range	26.260%
Minimum	0.252%
Maximum	26.512%
Count	6876

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.809%	6876	100.00%	1.809%
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 0.44. Further, an Excess 峰度 of 16.18 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.37%	60	0.87%	0.87%
-4.37% to -3.27%	46	0.67%	1.54%
-3.27% to -2.17%	144	2.09%	3.64%
-2.17% to -1.08%	658	9.57%	13.21%
-1.08% to 0.02%	2731	39.72%	52.92%
0.02% to 1.12%	2286	33.25%	86.17%
1.12% to 2.22%	630	9.16%	95.33%
2.22% to 3.32%	189	2.75%	98.08%
3.32% to 4.42%	73	1.06%	99.14%
Greater than 4.42%	59	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.44%	1.49%	82.30%	68.27%
±2σ	-2.91%	2.95%	95.61%	95.45%
±3σ	-4.37%	4.42%	98.27%	99.73%

Descriptive Statistics

均值	0.023%
Standard Error	0.018%
中位数	-0.034%
Mode	0.000%
Standard Deviation	1.465%
Sample Variance	2.145%
峰度	16.18
偏度	0.44
Range	29.975%
Minimum	-12.517%
Maximum	17.458%
Count	6876

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.005%	3243	47.16%	0.474%
负向	-0.891%	3477	50.57%	-0.451%
Zero	0.000%	156	2.27%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.47. Further, an Excess 峰度 of 9.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.15%	15	1.05%	1.05%
-11.15% to -8.32%	15	1.05%	2.10%
-8.32% to -5.49%	48	3.37%	5.47%
-5.49% to -2.66%	133	9.33%	14.80%
-2.66% to 0.18%	477	33.45%	48.25%
0.18% to 3.01%	545	38.22%	86.47%
3.01% to 5.84%	125	8.77%	95.23%
5.84% to 8.68%	42	2.95%	98.18%
8.68% to 11.51%	15	1.05%	99.23%
Greater than 11.51%	11	0.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.60%	3.95%	82.19%	68.27%
±2σ	-7.38%	7.73%	94.67%	95.45%
±3σ	-11.15%	11.51%	98.18%	99.73%

Descriptive Statistics

均值	0.177%
Standard Error	0.100%
中位数	0.282%
Mode	0.000%
Standard Deviation	3.777%
Sample Variance	14.267%
峰度	9.00
偏度	0.47
Range	48.443%
Minimum	-18.870%
Maximum	29.573%
Count	1426

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.438%	776	54.42%	1.327%
负向	-2.577%	636	44.60%	-1.149%
Zero	0.000%	14	0.98%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	3.58%
12	1 Quarter	4.02%
52	1 Year	3.09%
156	3 Years	3.20%
260	5 Years	3.76%
520	10 Years	3.91%
1,040	20 Years	4.67%
2,600	50 Years	4.65%

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 3.74. Further, an Excess 峰度 of 20.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.95%	0	0.00%	0.00%
-7.95% to -4.77%	0	0.00%	0.00%
-4.77% to -1.60%	0	0.00%	0.00%
-1.60% to 1.58%	88	6.17%	6.17%
1.58% to 4.76%	875	61.32%	67.48%
4.76% to 7.93%	297	20.81%	88.30%
7.93% to 11.11%	84	5.89%	94.18%
11.11% to 14.29%	33	2.31%	96.50%
14.29% to 17.46%	16	1.12%	97.62%
Greater than 17.46%	34	2.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.52%	8.99%	91.10%	68.27%
±2σ	-3.71%	13.23%	95.87%	95.45%
±3σ	-7.95%	17.46%	97.62%	99.73%

Descriptive Statistics

均值	4.756%
Standard Error	0.112%
中位数	3.555%
Mode	1.942%
Standard Deviation	4.235%
Sample Variance	17.935%
峰度	20.54
偏度	3.74
Range	42.129%
Minimum	0.645%
Maximum	42.774%
Count	1427

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.756%	1427	100.00%	4.756%
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 0.69. Further, an Excess 峰度 of 6.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.90%	11	0.77%	0.77%
-10.90% to -8.16%	11	0.77%	1.54%
-8.16% to -5.42%	33	2.31%	3.85%
-5.42% to -2.68%	131	9.18%	13.03%
-2.68% to 0.06%	606	42.47%	55.50%
0.06% to 2.80%	418	29.29%	84.79%
2.80% to 5.54%	133	9.32%	94.11%
5.54% to 8.29%	48	3.36%	97.48%
8.29% to 11.03%	16	1.12%	98.60%
Greater than 11.03%	20	1.40%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.59%	3.72%	80.87%	68.27%
±2σ	-7.25%	7.37%	95.09%	95.45%
±3σ	-10.90%	11.03%	97.83%	99.73%

Descriptive Statistics

均值	0.062%
Standard Error	0.097%
中位数	-0.254%
Mode	0.000%
Standard Deviation	3.655%
Sample Variance	13.356%
峰度	6.45
偏度	0.69
Range	42.476%
Minimum	-20.337%
Maximum	22.139%
Count	1427

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.720%	646	45.27%	1.231%
负向	-2.156%	774	54.24%	-1.169%
Zero	0.000%	7	0.49%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.46. Further, an Excess 峰度 of 2.59 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -17.52%	5	1.52%	1.52%
-17.52% to -12.98%	1	0.30%	1.83%
-12.98% to -8.43%	14	4.27%	6.10%
-8.43% to -3.89%	38	11.59%	17.68%
-3.89% to 0.65%	98	29.88%	47.56%
0.65% to 5.19%	117	35.67%	83.23%
5.19% to 9.73%	39	11.89%	95.12%
9.73% to 14.28%	10	3.05%	98.17%
14.28% to 18.82%	5	1.52%	99.70%
Greater than 18.82%	1	0.30%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.41%	6.71%	77.13%	68.27%
±2σ	-11.46%	12.76%	95.12%	95.45%
±3σ	-17.52%	18.82%	98.17%	99.73%

Descriptive Statistics

均值	0.650%
Standard Error	0.334%
中位数	1.194%
Mode	1.948%
Standard Deviation	6.056%
Sample Variance	36.681%
峰度	2.59
偏度	-0.46
Range	47.991%
Minimum	-26.198%
Maximum	21.793%
Count	328

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.607%	184	56.10%	2.584%
负向	-4.437%	143	43.60%	-1.934%
Zero	0.000%	1	0.30%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	8.39%
12	1 Year	6.13%
36	3 Years	7.09%
60	5 Years	8.15%
120	10 Years	8.71%
240	20 Years	9.94%
600	50 Years	9.82%

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 4.07. Further, an Excess 峰度 of 22.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.45%	0	0.00%	0.00%
-18.45% to -11.15%	0	0.00%	0.00%
-11.15% to -3.84%	0	0.00%	0.00%
-3.84% to 3.46%	12	3.65%	3.65%
3.46% to 10.77%	214	65.05%	68.69%
10.77% to 18.08%	66	20.06%	88.75%
18.08% to 25.38%	21	6.38%	95.14%
25.38% to 32.69%	6	1.82%	96.96%
32.69% to 39.99%	3	0.91%	97.87%
Greater than 39.99%	7	2.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.03%	20.51%	91.79%	68.27%
±2σ	-8.71%	30.25%	96.35%	95.45%
±3σ	-18.45%	39.99%	97.87%	99.73%

Descriptive Statistics

均值	10.771%
Standard Error	0.537%
中位数	8.054%
Mode	3.645%
Standard Deviation	9.741%
Sample Variance	94.880%
峰度	22.40
偏度	4.07
Range	88.220%
Minimum	2.437%
Maximum	90.657%
Count	329

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.771%	329	100.00%	10.771%
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 1.25. Further, an Excess 峰度 of 5.34 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.17%	1	0.30%	0.30%
-19.17% to -14.39%	2	0.61%	0.91%
-14.39% to -9.61%	10	3.04%	3.95%
-9.61% to -4.83%	40	12.16%	16.11%
-4.83% to -0.05%	125	37.99%	54.10%
-0.05% to 4.73%	97	29.48%	83.59%
4.73% to 9.52%	33	10.03%	93.62%
9.52% to 14.30%	14	4.26%	97.87%
14.30% to 19.08%	2	0.61%	98.48%
Greater than 19.08%	5	1.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.42%	6.33%	79.64%	68.27%
±2σ	-12.79%	12.70%	95.14%	95.45%
±3σ	-19.17%	19.08%	98.18%	99.73%

Descriptive Statistics

均值	-0.046%
Standard Error	0.351%
中位数	-0.577%
Mode	-5.548%
Standard Deviation	6.374%
Sample Variance	40.626%
峰度	5.34
偏度	1.25
Range	55.830%
Minimum	-20.224%
Maximum	35.606%
Count	329

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.884%	151	45.90%	2.242%
负向	-4.228%	178	54.10%	-2.287%
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 -0.92. Further, an Excess 峰度 of 3.07 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.30%	2	1.83%	1.83%
-27.30% to -20.01%	1	0.92%	2.75%
-20.01% to -12.71%	3	2.75%	5.50%
-12.71% to -5.41%	15	13.76%	19.27%
-5.41% to 1.89%	25	22.94%	42.20%
1.89% to 9.18%	46	42.20%	84.40%
9.18% to 16.48%	11	10.09%	94.50%
16.48% to 23.78%	5	4.59%	99.08%
23.78% to 31.08%	1	0.92%	100.00%
Greater than 31.08%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.84%	11.62%	74.31%	68.27%
±2σ	-17.57%	21.35%	93.58%	95.45%
±3σ	-27.30%	31.08%	98.17%	99.73%

Descriptive Statistics

均值	1.887%
Standard Error	0.932%
中位数	2.744%
Mode	-39.614%
Standard Deviation	9.730%
Sample Variance	94.679%
峰度	3.07
偏度	-0.92
Range	65.420%
Minimum	-39.614%
Maximum	25.806%
Count	109

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.105%	72	66.06%	4.693%
负向	-8.267%	37	33.95%	-2.806%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	10.01%
12	3 Years	13.06%
20	5 Years	13.71%
40	10 Years	15.15%
80	20 Years	16.85%
200	50 Years	16.52%

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 3.15. Further, an Excess 峰度 of 11.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.02%	0	0.00%	0.00%
-32.02% to -19.12%	0	0.00%	0.00%
-19.12% to -6.22%	0	0.00%	0.00%
-6.22% to 6.68%	2	1.82%	1.82%
6.68% to 19.59%	72	65.45%	67.27%
19.59% to 32.49%	23	20.91%	88.18%
32.49% to 45.39%	7	6.36%	94.55%
45.39% to 58.29%	1	0.91%	95.45%
58.29% to 71.19%	1	0.91%	96.36%
Greater than 71.19%	4	3.64%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.38%	36.79%	91.82%	68.27%
±2σ	-14.82%	53.99%	95.45%	95.45%
±3σ	-32.02%	71.19%	96.36%	99.73%

Descriptive Statistics

均值	19.587%
Standard Error	1.640%
中位数	13.395%
Mode	8.734%
Standard Deviation	17.202%
Sample Variance	295.920%
峰度	11.10
偏度	3.15
Range	99.151%
Minimum	5.682%
Maximum	104.833%
Count	110

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.587%	110	100.00%	19.587%
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 2.64. Further, an Excess 峰度 of 12.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -34.22%	0	0.00%	0.00%
-34.22% to -25.74%	0	0.00%	0.00%
-25.74% to -17.27%	2	1.82%	1.82%
-17.27% to -8.79%	13	11.82%	13.64%
-8.79% to -0.32%	52	47.27%	60.91%
-0.32% to 8.16%	25	22.73%	83.64%
8.16% to 16.64%	14	12.73%	96.36%
16.64% to 25.11%	1	0.91%	97.27%
25.11% to 33.59%	1	0.91%	98.18%
Greater than 33.59%	2	1.82%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.62%	10.99%	82.73%	68.27%
±2σ	-22.92%	22.29%	96.36%	95.45%
±3σ	-34.22%	33.59%	98.18%	99.73%

Descriptive Statistics

均值	-0.315%
Standard Error	1.078%
中位数	-2.157%
Mode	-1.638%
Standard Deviation	11.302%
Sample Variance	127.734%
峰度	12.45
偏度	2.64
Range	86.918%
Minimum	-19.277%
Maximum	67.641%
Count	110

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.684%	41	37.27%	3.610%
负向	-6.256%	69	62.73%	-3.924%
Zero	0.000%	0	0.00%	0.000%

XLF 深度分析报告