In [1]:
bt = get_backtest('5a0f2f288b13eb440b93a10a')
100% Time: 0:00:43|###########################################################|
In [2]:
bt.create_full_tear_sheet()
bt.create_perf_attrib_tear_sheet()
| Start date | 2015-01-06 |
|---|---|
| End date | 2017-11-16 |
| Total months | 34 |
| Backtest | |
| Annual return | 4.1% |
| Cumulative returns | 12.4% |
| Annual volatility | 3.0% |
| Sharpe ratio | 1.35 |
| Calmar ratio | 1.44 |
| Stability | 0.89 |
| Max drawdown | -2.9% |
| Omega ratio | 1.25 |
| Sortino ratio | 2.14 |
| Skew | 0.36 |
| Kurtosis | 1.36 |
| Tail ratio | 1.25 |
| Daily value at risk | -0.4% |
| Gross leverage | 1.00 |
| Daily turnover | 47.6% |
| Alpha | 0.05 |
| Beta | -0.06 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 2.88 | 2016-05-12 | 2016-11-14 | 2016-12-09 | 152 |
| 1 | 2.37 | 2017-06-20 | 2017-09-29 | NaT | NaN |
| 2 | 1.81 | 2015-08-24 | 2015-10-08 | 2015-12-02 | 73 |
| 3 | 1.65 | 2015-01-06 | 2015-01-27 | 2015-06-11 | 113 |
| 4 | 1.46 | 2017-03-09 | 2017-05-01 | 2017-06-12 | 68 |
/usr/local/lib/python2.7/dist-packages/numpy/lib/function_base.py:3834: RuntimeWarning: Invalid value encountered in percentile RuntimeWarning)
| Stress Events | mean | min | max |
|---|---|---|---|
| Fall2015 | -0.02% | -0.30% | 0.34% |
| New Normal | 0.02% | -0.78% | 0.94% |
| Top 10 long positions of all time | max |
|---|---|
| WMB-8214 | 0.45% |
| HSY-3695 | 0.39% |
| NXPI-39994 | 0.38% |
| CI-1539 | 0.38% |
| LVLT-18587 | 0.37% |
| VRX-10908 | 0.37% |
| FOXA-12213 | 0.37% |
| ENB-19374 | 0.36% |
| DE-2127 | 0.36% |
| ENDP-21750 | 0.36% |
| Top 10 short positions of all time | max |
|---|---|
| HUM-3718 | -0.41% |
| INCY-10187 | -0.39% |
| PCYC-13711 | -0.38% |
| WMB-8214 | -0.37% |
| AET-168 | -0.37% |
| VIAB-27872 | -0.37% |
| QCOM-6295 | -0.37% |
| WDAY-43510 | -0.37% |
| CF-27558 | -0.37% |
| CXO-34440 | -0.37% |
| Top 10 positions of all time | max |
|---|---|
| WMB-8214 | 0.45% |
| HUM-3718 | 0.41% |
| HSY-3695 | 0.39% |
| INCY-10187 | 0.39% |
| NXPI-39994 | 0.38% |
| PCYC-13711 | 0.38% |
| CI-1539 | 0.38% |
| AET-168 | 0.37% |
| VIAB-27872 | 0.37% |
| LVLT-18587 | 0.37% |
| All positions ever held | max |
|---|---|
| WMB-8214 | 0.45% |
| HUM-3718 | 0.41% |
| HSY-3695 | 0.39% |
| INCY-10187 | 0.39% |
| NXPI-39994 | 0.38% |
| PCYC-13711 | 0.38% |
| CI-1539 | 0.38% |
| AET-168 | 0.37% |
| VIAB-27872 | 0.37% |
| LVLT-18587 | 0.37% |
| QCOM-6295 | 0.37% |
| WDAY-43510 | 0.37% |
| CF-27558 | 0.37% |
| VRX-10908 | 0.37% |
| CXO-34440 | 0.37% |
| CLR-33856 | 0.37% |
| TWTR-45815 | 0.37% |
| BIIB-3806 | 0.37% |
| FCX-13197 | 0.37% |
| MU-5121 | 0.37% |
| MXIM-5149 | 0.37% |
| CNQ-21735 | 0.37% |
| FOXA-12213 | 0.37% |
| MRO-5035 | 0.36% |
| MYL-5166 | 0.36% |
| ABX-64 | 0.36% |
| PANW-43202 | 0.36% |
| PRGO-6161 | 0.36% |
| FNV-41886 | 0.36% |
| ENDP-21750 | 0.36% |
| ENB-19374 | 0.36% |
| DE-2127 | 0.36% |
| ILMN-21774 | 0.36% |
| NEM-5261 | 0.36% |
| NOV-24809 | 0.36% |
| DVN-2368 | 0.36% |
| KMI-40852 | 0.36% |
| APA-448 | 0.36% |
| NBL-5213 | 0.36% |
| APC-455 | 0.36% |
| M-2754 | 0.36% |
| HCA-41047 | 0.36% |
| NFLX-23709 | 0.36% |
| ALTR-328 | 0.36% |
| PXD-17436 | 0.36% |
| MPC-41636 | 0.36% |
| ADI-122 | 0.36% |
| COP-23998 | 0.36% |
| UHS-7749 | 0.36% |
| CHK-8461 | 0.36% |
| MON-22140 | 0.36% |
| WFM-8158 | 0.36% |
| CERN-1419 | 0.36% |
| ANDV-7612 | 0.36% |
| ABBV-43694 | 0.36% |
| SYF-47415 | 0.36% |
| MBLY-47430 | 0.36% |
| NVDA-19725 | 0.36% |
| SQ-49610 | 0.36% |
| IMO-3895 | 0.36% |
| ALXN-14328 | 0.36% |
| HLT-45993 | 0.36% |
| AABA-14848 | 0.36% |
| HAL-3443 | 0.36% |
| HES-216 | 0.36% |
| ARNC-2 | 0.36% |
| EOG-2564 | 0.36% |
| GG-22226 | 0.36% |
| ADSK-67 | 0.36% |
| LVS-26882 | 0.36% |
| SWKS-23821 | 0.36% |
| CVE-38896 | 0.36% |
| BMY-980 | 0.36% |
| AVGO-38650 | 0.36% |
| BHI-858 | 0.36% |
| AKAM-20680 | 0.36% |
| ADP-630 | 0.36% |
| BF_B-822 | 0.36% |
| QSR-48215 | 0.36% |
| CP-1792 | 0.36% |
| WDC-8132 | 0.36% |
| S-2938 | 0.36% |
| AMD-351 | 0.36% |
| CELG-1406 | 0.36% |
| HBI-32497 | 0.36% |
| DB-23113 | 0.36% |
| LBTY_K-27608 | 0.36% |
| SYY-7285 | 0.36% |
| VRTX-8045 | 0.35% |
| OXY-5729 | 0.35% |
| MGA-4823 | 0.35% |
| REGN-6413 | 0.35% |
| GGP-8817 | 0.35% |
| RCL-8863 | 0.35% |
| LLY-4487 | 0.35% |
| SU-10533 | 0.35% |
| BBY-754 | 0.35% |
| TSLA-39840 | 0.35% |
| HPQ-3735 | 0.35% |
| SYMC-7272 | 0.35% |
| IBKR-33807 | 0.35% |
| CRM-26401 | 0.35% |
| POT-6109 | 0.35% |
| FB-42950 | 0.35% |
| AGN-8572 | 0.35% |
| AAL-45971 | 0.35% |
| LYB-39546 | 0.35% |
| INTC-3951 | 0.35% |
| BA-698 | 0.35% |
| VMC-7998 | 0.35% |
| PSX-42788 | 0.35% |
| CVX-23112 | 0.35% |
| MFC-4809 | 0.35% |
| NSC-5442 | 0.35% |
| MAT-4668 | 0.35% |
| BMRN-20330 | 0.35% |
| WRK-49183 | 0.35% |
| SNDK-13940 | 0.35% |
| EXPE-27543 | 0.35% |
| CHTR-39095 | 0.35% |
| ZTS-44060 | 0.35% |
| VLO-7990 | 0.35% |
| UAA-27822 | 0.35% |
| GILD-3212 | 0.35% |
| AR-45618 | 0.35% |
| LUV-4589 | 0.35% |
| XLNX-8344 | 0.35% |
| FIS-22876 | 0.35% |
| COL-22880 | 0.35% |
| TECK-31886 | 0.35% |
| MGM-4831 | 0.35% |
| CSX-1937 | 0.35% |
| TWX-357 | 0.35% |
| EQT-2587 | 0.35% |
| XOM-8347 | 0.35% |
| MOS-41462 | 0.35% |
| SE-33030 | 0.35% |
| LNG-22096 | 0.35% |
| PCP-5822 | 0.35% |
| AAP-23175 | 0.35% |
| BAP-13612 | 0.35% |
| ULTA-34953 | 0.35% |
| NOW-43127 | 0.35% |
| CNC-23283 | 0.35% |
| ANTM-23103 | 0.35% |
| TGT-21090 | 0.35% |
| ECL-2427 | 0.35% |
| CL-1582 | 0.35% |
| MET-21418 | 0.35% |
| SIRI-11901 | 0.35% |
| GIB-3203 | 0.35% |
| COST-1787 | 0.35% |
| NCLH-43981 | 0.35% |
| TMUS-33698 | 0.35% |
| FCAU-47888 | 0.35% |
| DHR-2170 | 0.35% |
| CMG-28016 | 0.35% |
| JWN-5382 | 0.35% |
| GIS-3214 | 0.35% |
| RACE-49515 | 0.35% |
| AXP-679 | 0.35% |
| CCI-19258 | 0.35% |
| PPG-6116 | 0.35% |
| ATVI-9883 | 0.35% |
| HCN-3488 | 0.35% |
| KR-4297 | 0.35% |
| SCCO-14284 | 0.35% |
| GE-3149 | 0.35% |
| MA-32146 | 0.35% |
| RF-34913 | 0.35% |
| STZ-24873 | 0.35% |
| DHI-2298 | 0.35% |
| FLT-40597 | 0.35% |
| AMZN-16841 | 0.35% |
| MS-17080 | 0.35% |
| DLPH-42173 | 0.35% |
| CTL-1960 | 0.35% |
| EW-21382 | 0.35% |
| IR-4010 | 0.35% |
| AMGN-368 | 0.35% |
| GMCR-9736 | 0.35% |
| UAL-28051 | 0.35% |
| DLR-26758 | 0.35% |
| DAL-33729 | 0.35% |
| CNI-16178 | 0.35% |
| TWC-33133 | 0.35% |
| MNK-44917 | 0.35% |
| DISH-13017 | 0.35% |
| WHR-8178 | 0.35% |
| MAR-25920 | 0.35% |
| DISC_A-36930 | 0.35% |
| GLW-3241 | 0.35% |
| ABC-22954 | 0.35% |
| EA-2602 | 0.35% |
| BBBY-739 | 0.35% |
| COG-1746 | 0.35% |
| GWW-3421 | 0.35% |
| UNH-7792 | 0.35% |
| CAT-1267 | 0.35% |
| MCD-4707 | 0.35% |
| JAZZ-33959 | 0.35% |
| TPR-22099 | 0.35% |
| MSI-4974 | 0.35% |
| PH-5956 | 0.35% |
| IP-3971 | 0.35% |
| XEC-24125 | 0.35% |
| CMCS_A-1637 | 0.35% |
| CAM-13176 | 0.35% |
| ADM-128 | 0.35% |
| BMO-12002 | 0.35% |
| SLB-6928 | 0.35% |
| HST-9947 | 0.35% |
| LEN-4417 | 0.35% |
| KEY-4221 | 0.35% |
| DOW-2263 | 0.35% |
| LRCX-4537 | 0.35% |
| MLM-10796 | 0.35% |
| WPM-27437 | 0.35% |
| EQIX-24482 | 0.35% |
| RTN-6583 | 0.35% |
| C-1335 | 0.35% |
| JNJ-4151 | 0.35% |
| RCI-14298 | 0.35% |
| TDG-28161 | 0.35% |
| AEM-154 | 0.35% |
| CAH-1376 | 0.35% |
| AMTD-16586 | 0.35% |
| ALGN-22355 | 0.35% |
| CFG-47777 | 0.35% |
| PCAR-5787 | 0.35% |
| PCLN-19917 | 0.35% |
| NDAQ-27026 | 0.35% |
| HOT-3642 | 0.35% |
| BLK-20689 | 0.35% |
| ALKS-301 | 0.35% |
| JPM-25006 | 0.35% |
| WAT-13962 | 0.35% |
| LB-4564 | 0.35% |
| TAP-76 | 0.35% |
| BAC-700 | 0.35% |
| MHK-4963 | 0.35% |
| GPS-3321 | 0.35% |
| OMC-5651 | 0.35% |
| TD-15596 | 0.35% |
| DLTR-12652 | 0.35% |
| ETR-2637 | 0.35% |
| NUE-5488 | 0.35% |
| DD-2119 | 0.35% |
| NKE-5328 | 0.35% |
| MDT-4758 | 0.35% |
| LNKD-41451 | 0.35% |
| KRFT-43405 | 0.35% |
| CBS-7962 | 0.35% |
| MCK-12350 | 0.35% |
| STI-7152 | 0.35% |
| PLD-24785 | 0.35% |
| MAC-10984 | 0.35% |
| PYPL-49242 | 0.35% |
| UNP-7800 | 0.35% |
| STT-7139 | 0.35% |
| GOOG_L-26578 | 0.35% |
| SCHW-6704 | 0.35% |
| ORLY-8857 | 0.35% |
| FITB-2855 | 0.35% |
| WY-8326 | 0.35% |
| MKC-4705 | 0.35% |
| AAPL-24 | 0.35% |
| HIG-14064 | 0.35% |
| RHT-20541 | 0.35% |
| MSFT-5061 | 0.35% |
| AGU-12856 | 0.35% |
| ADS-22747 | 0.35% |
| FAST-2696 | 0.35% |
| SHW-6868 | 0.35% |
| QVCA-32046 | 0.35% |
| SPGI-4849 | 0.35% |
| BEN-812 | 0.35% |
| PFE-5923 | 0.35% |
| FDC-49496 | 0.35% |
| MNST-3450 | 0.35% |
| PNR-6082 | 0.35% |
| EBAY-24819 | 0.35% |
| PCG-5792 | 0.35% |
| DOV-2262 | 0.35% |
| PFG-23151 | 0.35% |
| LLTC-4485 | 0.35% |
| AMP-27676 | 0.35% |
| EMC-2518 | 0.35% |
| WMT-8229 | 0.35% |
| TROW-7590 | 0.35% |
| CPB-1795 | 0.35% |
| EMR-2530 | 0.35% |
| PAYX-5767 | 0.35% |
| YUM-17787 | 0.35% |
| CTSH-18870 | 0.35% |
| TRP-7591 | 0.35% |
| FSL-41491 | 0.35% |
| CVS-4799 | 0.35% |
| MJN-38084 | 0.35% |
| EXC-22114 | 0.35% |
| CAG-1228 | 0.35% |
| AYI-23276 | 0.35% |
| BSX-1131 | 0.35% |
| UTX-7883 | 0.35% |
| ADBE-114 | 0.35% |
| GS-20088 | 0.35% |
| CTXS-14014 | 0.35% |
| TXT-7674 | 0.35% |
| STX-24518 | 0.35% |
| AZO-693 | 0.35% |
| COF-12160 | 0.35% |
| SJM-21935 | 0.35% |
| NEE-2968 | 0.35% |
| COTY-44909 | 0.35% |
| FE-17850 | 0.35% |
| MTB-5117 | 0.35% |
| JAH-23784 | 0.35% |
| SBUX-6683 | 0.35% |
| FNF-47177 | 0.35% |
| NWL-5520 | 0.35% |
| JCI-4117 | 0.35% |
| NOC-5387 | 0.35% |
| F-2673 | 0.35% |
| MELI-34525 | 0.35% |
| K-4192 | 0.35% |
| VFC-7949 | 0.35% |
| HD-3496 | 0.35% |
| BBT-16850 | 0.35% |
| BNS-1010 | 0.35% |
| NLSN-40755 | 0.35% |
| A-24757 | 0.35% |
| BCE-766 | 0.35% |
| SBAC-20281 | 0.35% |
| WLTW-22857 | 0.35% |
| LSXM_K-49883 | 0.35% |
| SLF-21328 | 0.35% |
| TSN-7684 | 0.35% |
| V-35920 | 0.35% |
| LMCA-43919 | 0.35% |
| APH-465 | 0.35% |
| AME-353 | 0.35% |
| BK-903 | 0.35% |
| BAX-734 | 0.35% |
| RAI-20277 | 0.35% |
| IVZ-16589 | 0.35% |
| XRX-8354 | 0.35% |
| CMI-1985 | 0.35% |
| CCE-1332 | 0.35% |
| L-4569 | 0.35% |
| LBRD_K-48010 | 0.35% |
| APD-460 | 0.35% |
| HSIC-13862 | 0.35% |
| BAM-21475 | 0.35% |
| EXR-26566 | 0.35% |
| SYK-7178 | 0.35% |
| BXP-17009 | 0.35% |
| SPLS-7061 | 0.35% |
| JCI-7679 | 0.35% |
| VMW-34545 | 0.35% |
| DGX-16348 | 0.35% |
| TSCO-10869 | 0.35% |
| CM-17813 | 0.35% |
| HCP-3490 | 0.35% |
| CME-24475 | 0.35% |
| NI-5310 | 0.35% |
| GM-40430 | 0.35% |
| ED-2434 | 0.35% |
| AMAT-337 | 0.35% |
| ORCL-5692 | 0.35% |
| HOG-3499 | 0.35% |
| HOLX-3629 | 0.35% |
| IBM-3766 | 0.35% |
| MMM-4922 | 0.35% |
| ESRX-2618 | 0.35% |
| CNHI-45538 | 0.34% |
| AON-438 | 0.34% |
| INTU-8655 | 0.34% |
| TXN-7671 | 0.34% |
| UBS-48129 | 0.34% |
| NTRS-5479 | 0.34% |
| SWK-7242 | 0.34% |
| MO-4954 | 0.34% |
| ALB-10898 | 0.34% |
| HON-25090 | 0.34% |
| TRV-7041 | 0.34% |
| DFS-34011 | 0.34% |
| RL-24832 | 0.34% |
| MCO-22139 | 0.34% |
| USB-25010 | 0.34% |
| ALK-300 | 0.34% |
| XRAY-8352 | 0.34% |
| SLG-17448 | 0.34% |
| KORS-42270 | 0.34% |
| CPG-46206 | 0.34% |
| LMT-12691 | 0.34% |
| XL-8340 | 0.34% |
| CBG-26367 | 0.34% |
| MKL-4649 | 0.34% |
| EL-13841 | 0.34% |
| LNC-4498 | 0.34% |
| O-12087 | 0.34% |
| CE-26960 | 0.34% |
| AMG-17800 | 0.34% |
| ES-5484 | 0.34% |
| WBA-8089 | 0.34% |
| BWA-9514 | 0.34% |
| KMX-16511 | 0.34% |
| WFC-8151 | 0.34% |
| GD-3136 | 0.34% |
| MDLZ-22802 | 0.34% |
| ANET-47063 | 0.34% |
| PRU-23328 | 0.34% |
| MCHP-8677 | 0.34% |
| DG-38936 | 0.34% |
| ETN-2633 | 0.34% |
| RY-13732 | 0.34% |
| ISRG-25339 | 0.34% |
| HPE-49506 | 0.34% |
| MMC-4914 | 0.34% |
| CHKP-15101 | 0.34% |
| ROK-6536 | 0.34% |
| ROST-6546 | 0.34% |
| LOW-4521 | 0.34% |
| BRCM-18529 | 0.34% |
| PX-6272 | 0.34% |
| ACN-25555 | 0.34% |
| PNC-6068 | 0.34% |
| PBA-42750 | 0.34% |
| EFX-2465 | 0.34% |
| TEL-34014 | 0.34% |
| DVA-22110 | 0.34% |
| CCL-24692 | 0.34% |
| ICE-27809 | 0.34% |
| KHC-49229 | 0.34% |
| TJX-7457 | 0.34% |
| RSG-19147 | 0.34% |
| TRIP-42230 | 0.34% |
| KSS-4313 | 0.34% |
| OKE-5634 | 0.34% |
| HRS-3676 | 0.34% |
| VTR-18821 | 0.34% |
| FTI-22784 | 0.34% |
| ALL-24838 | 0.34% |
| WYNN-24124 | 0.34% |
| VNO-8014 | 0.34% |
| ALV-16838 | 0.34% |
| GPC-3306 | 0.34% |
| TRI-23825 | 0.34% |
| FISV-2853 | 0.34% |
| HBAN-3472 | 0.34% |
| AIG-239 | 0.34% |
| CSCO-1900 | 0.34% |
| AMT-24760 | 0.34% |
| AEE-24783 | 0.34% |
| EMN-10594 | 0.34% |
| D-2071 | 0.34% |
| BRK_B-11100 | 0.34% |
| BDX-794 | 0.34% |
| SPG-10528 | 0.34% |
| PGR-5950 | 0.34% |
| ABT-62 | 0.34% |
| IDXX-3810 | 0.34% |
| KIM-4238 | 0.34% |
| ECA-23021 | 0.34% |
| EQR-9540 | 0.34% |
| ESS-11465 | 0.34% |
| KLAC-4246 | 0.34% |
| IQV-44692 | 0.34% |
| CLX-1616 | 0.34% |
| PSA-24962 | 0.34% |
| BG-22959 | 0.34% |
| CB-8580 | 0.34% |
| CHRW-17632 | 0.34% |
| MRK-5029 | 0.34% |
| TMO-7493 | 0.34% |
| VNTV-42699 | 0.34% |
| YUMC-50392 | 0.34% |
| CMA-1620 | 0.34% |
| VRSK-38817 | 0.34% |
| AWK-36098 | 0.34% |
| FDX-2765 | 0.34% |
| LILA_K-49206 | 0.34% |
| SIG-9774 | 0.34% |
| MTD-17895 | 0.34% |
| EIX-14372 | 0.34% |
| ROP-6543 | 0.34% |
| PPL-6119 | 0.34% |
| SRCL-15581 | 0.34% |
| KMB-4263 | 0.34% |
| PEG-5862 | 0.34% |
| FRC-40573 | 0.34% |
| PM-35902 | 0.34% |
| TU-22176 | 0.34% |
| DUK-2351 | 0.34% |
| DTE-2330 | 0.34% |
| HRL-3668 | 0.34% |
| LO-36346 | 0.34% |
| COV-34010 | 0.34% |
| T-6653 | 0.34% |
| AFL-185 | 0.34% |
| SO-7011 | 0.34% |
| CNA-1684 | 0.34% |
| TIF-7447 | 0.34% |
| MAS-4665 | 0.34% |
| HSP-26243 | 0.34% |
| XEL-21964 | 0.34% |
| WM-19181 | 0.34% |
| CMS-1665 | 0.34% |
| AVB-18834 | 0.34% |
| JNPR-20239 | 0.34% |
| CA-1209 | 0.34% |
| STJ-7156 | 0.34% |
| WEC-8140 | 0.34% |
| DIS-2190 | 0.34% |
| CINF-1551 | 0.34% |
| ITW-4080 | 0.34% |
| SRE-24778 | 0.34% |
| HAS-3460 | 0.34% |
| BCR-779 | 0.34% |
| PEP-5885 | 0.34% |
| CHD-1482 | 0.34% |
| FTV-50049 | 0.34% |
| GPN-22443 | 0.34% |
| AEP-161 | 0.34% |
| AGR-49666 | 0.34% |
| LLL-18738 | 0.34% |
| BLL-939 | 0.34% |
| UPS-20940 | 0.34% |
| KO-4283 | 0.34% |
| VZ-21839 | 0.34% |
| LH-12909 | 0.34% |
| CTAS-1941 | 0.34% |
| AGN-205 | 0.34% |
| PG-5938 | 0.34% |
| CB-1274 | 0.34% |
| KSU-4315 | 0.34% |
| FRT-3010 | 0.34% |
| ZBH-23047 | 0.34% |
| DTV-26111 | 0.34% |
| SNA-6976 | 0.34% |
| DPS-36118 | 0.34% |
| NTAP-13905 | 0.34% |
| CTRX-32301 | 0.34% |
| FL-8383 | 0.34% |
| WCN-38453 | 0.34% |
| ACGL-21462 | 0.34% |
| SCG-6701 | 0.34% |
| NLY-17702 | 0.34% |
| INFO-47163 | 0.34% |
| DVMT-50242 | 0.34% |
| GPT-26520 | 0.34% |
| CNP-24064 | 0.34% |
| LKQ-25598 | 0.34% |
| MAA-10639 | 0.34% |
| SJR-19150 | 0.34% |
| IFF-3822 | 0.34% |
| TSS-7616 | 0.34% |
| TRW-25948 | 0.34% |
| ALNY-26335 | 0.34% |
| ARG-510 | 0.34% |
| LVNT_A-43298 | 0.34% |
| FTS-50382 | 0.34% |
| SIAL-6872 | 0.34% |
| UDR-7715 | 0.34% |
| SEE-6769 | 0.34% |
| JBHT-4108 | 0.34% |
| WU-32603 | 0.34% |
| SNPS-6994 | 0.34% |
| MDVN-28160 | 0.34% |
| CFN-38691 | 0.34% |
| AOS-6949 | 0.34% |
| BXLT-49209 | 0.34% |
| TTWO-16820 | 0.34% |
| OUBS-7696 | 0.34% |
| CBOE-39773 | 0.34% |
| TRGP-40547 | 0.34% |
| VRSN-18221 | 0.34% |
| PLL-6030 | 0.34% |
| CVC-2000 | 0.34% |
| CPGX-49141 | 0.33% |
| ALLY-46015 | 0.33% |
| HRI-32887 | 0.33% |
| WYN-32393 | 0.33% |
| IMS-46694 | 0.33% |
| FWON_K-47272 | 0.33% |
| SLXP-22269 | 0.33% |
| ATH-50518 | 0.33% |
| ANSS-15071 | 0.33% |
| WFT-19336 | 0.33% |
| RJF-6482 | 0.33% |
/usr/local/lib/python2.7/dist-packages/pyfolio/perf_attrib.py:220: UserWarning: This algorithm has relatively high turnover of its positions. As a result, performance attribution might not be fully accurate. Performance attribution is calculated based on end-of-day holdings and does not account for intraday activity. Algorithms that derive a high percentage of returns from buying and selling within the same day may receive inaccurate performance attribution. warnings.warn(warning_msg)
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 4.83% |
| Annualized Common Return | -0.59% |
| Annualized Total Return | 4.22% |
| Specific Sharpe Ratio | 2.25 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.01 | -0.26% | -0.75% |
| consumer_cyclical | -0.03 | -0.30% | -0.85% |
| financial_services | 0.05 | 0.59% | 1.71% |
| real_estate | -0.01 | -0.23% | -0.67% |
| consumer_defensive | 0.02 | 0.05% | 0.15% |
| health_care | -0.04 | -0.58% | -1.66% |
| utilities | 0.00 | 0.47% | 1.35% |
| communication_services | -0.00 | 0.12% | 0.34% |
| energy | -0.05 | 0.42% | 1.23% |
| industrials | 0.04 | 0.11% | 0.31% |
| technology | -0.05 | -1.01% | -2.89% |
| momentum | -0.01 | -0.38% | -1.09% |
| size | 0.04 | -0.13% | -0.37% |
| value | -0.01 | 0.08% | 0.24% |
| short_term_reversal | 0.27 | 0.46% | 1.34% |
| volatility | -0.28 | -0.01% | -0.02% |
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 4.83% |
| Annualized Common Return | -0.59% |
| Annualized Total Return | 4.22% |
| Specific Sharpe Ratio | 2.25 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.01 | -0.26% | -0.75% |
| consumer_cyclical | -0.03 | -0.30% | -0.85% |
| financial_services | 0.05 | 0.59% | 1.71% |
| real_estate | -0.01 | -0.23% | -0.67% |
| consumer_defensive | 0.02 | 0.05% | 0.15% |
| health_care | -0.04 | -0.58% | -1.66% |
| utilities | 0.00 | 0.47% | 1.35% |
| communication_services | -0.00 | 0.12% | 0.34% |
| energy | -0.05 | 0.42% | 1.23% |
| industrials | 0.04 | 0.11% | 0.31% |
| technology | -0.05 | -1.01% | -2.89% |
| momentum | -0.01 | -0.38% | -1.09% |
| size | 0.04 | -0.13% | -0.37% |
| value | -0.01 | 0.08% | 0.24% |
| short_term_reversal | 0.27 | 0.46% | 1.34% |
| volatility | -0.28 | -0.01% | -0.02% |