Most Recent intervals return of -7.65% ranks in the 4th percentile — an unusually weak move (bottom decile).
Central Tendency & Dispersion
Mean Return
0.25%
Median Return
0.12%
Std Dev (Volatility)
4.63%
Observations
121
Distribution Shape
Skewness
0.21
Excess Kurtosis
1.35
Jarque-Bera
10.1 (non-normal)
Positively skewed (longer right tail). Fat-tailed — outliers more likely than normal.
Tail Risk & Expectancy
Value at Risk (95%)
-6.41%
Value at Risk (99%)
-11.55%
Expected Shortfall (CVaR 95%)
-9.33%
Expectancy / Period
0.25%
Percentile Band
5th
25th
Median
75th
95th
-6.41%
-2.36%
0.12%
2.71%
7.94%
90% of intervals returns fall between -6.41% and 7.94%.
Key Observations
CADL posted 121 intervals returns averaging 0.25% (median 0.12%) with a 4.63% standard deviation. The distribution is positively skewed (longer right tail) with fatter-than-normal tails (elevated outlier risk), and a Jarque-Bera test classifies it as non-normal — lean on percentiles rather than σ to size risk. Positive periods occurred 50.4% of the time, giving an expectancy of 0.25% per period. In the worst 5% of periods, returns fell below -6.41%, averaging -9.33% (Expected Shortfall). The most recent move of -7.65% ranks in the 4th percentile — an unusually weak move (bottom decile).