In [3]:
bt = get_backtest('5a5a0584a755f545b9f0462a')
100% Time: 0:00:44|###########################################################|
In [4]:
bt.create_full_tear_sheet()
bt.create_perf_attrib_tear_sheet()
| Start date | 2016-01-13 |
|---|---|
| End date | 2018-01-12 |
| Total months | 24 |
| Backtest | |
| Annual return | 5.8% |
| Cumulative returns | 11.9% |
| Annual volatility | 8.4% |
| Sharpe ratio | 0.71 |
| Calmar ratio | 0.51 |
| Stability | 0.01 |
| Max drawdown | -11.4% |
| Omega ratio | 1.13 |
| Sortino ratio | 1.07 |
| Skew | 0.23 |
| Kurtosis | 0.71 |
| Tail ratio | 1.11 |
| Daily value at risk | -1.0% |
| Gross leverage | 0.97 |
| Daily turnover | 31.7% |
| Alpha | 0.02 |
| Beta | 0.18 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 11.40 | 2016-06-14 | 2017-06-21 | NaT | NaN |
| 1 | 4.08 | 2016-03-14 | 2016-03-21 | 2016-04-13 | 23 |
| 2 | 2.72 | 2016-02-01 | 2016-02-08 | 2016-02-17 | 13 |
| 3 | 1.65 | 2016-04-25 | 2016-05-12 | 2016-05-23 | 21 |
| 4 | 1.57 | 2016-02-17 | 2016-02-19 | 2016-02-26 | 8 |
| Stress Events | mean | min | max |
|---|---|---|---|
| New Normal | 0.02% | -1.43% | 1.83% |
| Top 10 long positions of all time | max |
|---|---|
| OSUR-22151 | 2.95% |
| EPZM-44830 | 2.88% |
| CYH-21608 | 2.82% |
| VRX-10908 | 2.81% |
| FGEN-48088 | 2.80% |
| RRC-19249 | 2.79% |
| SRPT-16999 | 2.78% |
| SRCI-35051 | 2.72% |
| OPHT-45498 | 2.72% |
| SWN-7244 | 2.72% |
| Top 10 short positions of all time | max |
|---|---|
| PBYI-42689 | -3.26% |
| GBT-49335 | -3.00% |
| SRPT-16999 | -2.86% |
| CLVS-42166 | -2.81% |
| MNKD-26524 | -2.75% |
| HTZ-50070 | -2.73% |
| FCX-13197 | -2.70% |
| QUOT-46497 | -2.68% |
| ABX-64 | -2.68% |
| ALDR-46869 | -2.68% |
| Top 10 positions of all time | max |
|---|---|
| PBYI-42689 | 3.26% |
| GBT-49335 | 3.00% |
| OSUR-22151 | 2.95% |
| EPZM-44830 | 2.88% |
| SRPT-16999 | 2.86% |
| CYH-21608 | 2.82% |
| VRX-10908 | 2.81% |
| CLVS-42166 | 2.81% |
| FGEN-48088 | 2.80% |
| RRC-19249 | 2.79% |
| All positions ever held | max |
|---|---|
| PBYI-42689 | 3.26% |
| GBT-49335 | 3.00% |
| OSUR-22151 | 2.95% |
| EPZM-44830 | 2.88% |
| SRPT-16999 | 2.86% |
| CYH-21608 | 2.82% |
| VRX-10908 | 2.81% |
| CLVS-42166 | 2.81% |
| FGEN-48088 | 2.80% |
| RRC-19249 | 2.79% |
| MNKD-26524 | 2.75% |
| HTZ-50070 | 2.73% |
| SRCI-35051 | 2.72% |
| OPHT-45498 | 2.72% |
| SWN-7244 | 2.72% |
| WAIR-41757 | 2.70% |
| RICE-46240 | 2.70% |
| XON-45239 | 2.70% |
| FCX-13197 | 2.70% |
| EGRX-46354 | 2.69% |
| EVHC-50499 | 2.69% |
| WMB-8214 | 2.69% |
| ENDP-21750 | 2.69% |
| ALDR-46869 | 2.69% |
| QUOT-46497 | 2.68% |
| ABX-64 | 2.68% |
| ADRO-48925 | 2.68% |
| CDE-1374 | 2.68% |
| GNC-41182 | 2.68% |
| GPRO-47208 | 2.68% |
| NVRO-48025 | 2.67% |
| FRTA-50398 | 2.67% |
| WTW-23269 | 2.67% |
| PTLA-44770 | 2.66% |
| CRZO-17358 | 2.66% |
| STRP-45130 | 2.66% |
| MMYT-40028 | 2.66% |
| HDP-48257 | 2.66% |
| SAGE-47332 | 2.66% |
| TDOC-49222 | 2.66% |
| TWTR-45815 | 2.66% |
| TREE-36742 | 2.66% |
| EXAS-22364 | 2.66% |
| SHLD-26169 | 2.66% |
| CUDA-45797 | 2.66% |
| CWEI-8941 | 2.65% |
| ENV-39958 | 2.65% |
| INO-3150 | 2.65% |
| NKTR-24572 | 2.65% |
| OMER-38827 | 2.65% |
| SCTY-43721 | 2.65% |
| QUAD-39860 | 2.65% |
| IMMU-3891 | 2.64% |
| TRGP-40547 | 2.64% |
| ARRY-22192 | 2.64% |
| ATRA-47901 | 2.64% |
| TLRD-7203 | 2.64% |
| LCI-23602 | 2.64% |
| STMP-26286 | 2.64% |
| ATW-624 | 2.64% |
| AXON-49107 | 2.64% |
| ALKS-301 | 2.64% |
| ICHR-50509 | 2.64% |
| GKOS-49178 | 2.64% |
| CPG-46206 | 2.63% |
| KITE-47169 | 2.63% |
| SHAK-48543 | 2.63% |
| TIVO-16661 | 2.63% |
| AR-45618 | 2.63% |
| OAS-39797 | 2.63% |
| SWIR-21561 | 2.63% |
| FMSA-47848 | 2.63% |
| WLL-25707 | 2.63% |
| PRTA-43730 | 2.63% |
| ASPS-38633 | 2.63% |
| CHRS-48026 | 2.62% |
| AXDX-15934 | 2.62% |
| X-8329 | 2.62% |
| PCRX-40815 | 2.62% |
| INSY-44665 | 2.62% |
| AAOI-45503 | 2.62% |
| ACRS-49465 | 2.62% |
| QEP-39778 | 2.62% |
| SM-4664 | 2.62% |
| W-47833 | 2.62% |
| DYN-43462 | 2.62% |
| BKE-915 | 2.62% |
| AGI-44156 | 2.62% |
| AMBA-43495 | 2.61% |
| BLUE-44935 | 2.61% |
| IONS-4031 | 2.61% |
| LTRP_A-47578 | 2.61% |
| FSM-41915 | 2.61% |
| ESPR-44989 | 2.61% |
| GIII-3210 | 2.61% |
| SYNA-23398 | 2.61% |
| KTWO-46870 | 2.61% |
| CC-49210 | 2.61% |
| DERM-47845 | 2.61% |
| SUPN-42877 | 2.61% |
| TK-13289 | 2.61% |
| HBM-40301 | 2.61% |
| MDVN-28160 | 2.61% |
| RUN-49321 | 2.61% |
| SCOR-34111 | 2.60% |
| RCII-24827 | 2.60% |
| CHUY-43215 | 2.60% |
| CBI-1287 | 2.60% |
| DPLO-47883 | 2.60% |
| RTRX-41663 | 2.60% |
| SGMS-22637 | 2.60% |
| SMCI-33609 | 2.60% |
| NFLX-23709 | 2.60% |
| CRAY-21374 | 2.60% |
| WPM-27437 | 2.60% |
| NVCR-49460 | 2.60% |
| SA-26203 | 2.60% |
| HZNP-41766 | 2.60% |
| NTNX-50338 | 2.60% |
| RATE-41601 | 2.60% |
| PAH-45531 | 2.60% |
| AMAG-659 | 2.60% |
| CXW-22102 | 2.59% |
| ITCI-46053 | 2.59% |
| ACAD-26322 | 2.59% |
| FPRX-45430 | 2.59% |
| ENLC-25850 | 2.59% |
| MNTA-26381 | 2.59% |
| RH-43599 | 2.59% |
| LOXO-47432 | 2.59% |
| RARE-46285 | 2.59% |
| HALO-26766 | 2.59% |
| AKS-10897 | 2.59% |
| ICPT-43505 | 2.59% |
| BPMC-49000 | 2.59% |
| GOGO-44965 | 2.59% |
| FIT-49139 | 2.59% |
| SWC-12362 | 2.59% |
| MRD-47126 | 2.59% |
| CONN-25646 | 2.59% |
| SSRM-15591 | 2.59% |
| TSRO-43124 | 2.58% |
| PGNX-17908 | 2.58% |
| DXCM-27173 | 2.58% |
| CSTE-42704 | 2.58% |
| ATI-24840 | 2.58% |
| CENX-14484 | 2.58% |
| CSTM-44780 | 2.58% |
| GSM-38638 | 2.58% |
| INSM-21778 | 2.58% |
| UCTT-26146 | 2.58% |
| ITGR-22015 | 2.58% |
| RYAM-47128 | 2.58% |
| BCRX-10905 | 2.58% |
| RDUS-46871 | 2.58% |
| FLXN-46344 | 2.58% |
| FMI-45499 | 2.58% |
| ARIA-11880 | 2.58% |
| JUNO-48317 | 2.58% |
| TMST-47162 | 2.58% |
| ECA-23021 | 2.57% |
| MACK-42735 | 2.57% |
| ATGE-2371 | 2.57% |
| NBR-5214 | 2.57% |
| GIMO-44892 | 2.57% |
| TECK-31886 | 2.57% |
| MIME-49606 | 2.57% |
| CAR-17991 | 2.57% |
| CXRX-46079 | 2.57% |
| DLTH-49615 | 2.57% |
| TERP-47334 | 2.57% |
| DO-13635 | 2.57% |
| OCLR-21366 | 2.57% |
| SSW-27550 | 2.57% |
| MBI-4684 | 2.57% |
| ASNA-2105 | 2.57% |
| SGYP-32331 | 2.57% |
| GEO-11710 | 2.57% |
| TRUE-46929 | 2.57% |
| UIS-7761 | 2.57% |
| LITE-49288 | 2.57% |
| SEDG-48823 | 2.57% |
| LGIH-45818 | 2.57% |
| ALNY-26335 | 2.57% |
| TPC-5824 | 2.57% |
| AG-40607 | 2.57% |
| CZR-42461 | 2.57% |
| LC-48220 | 2.57% |
| AGIO-45143 | 2.56% |
| BLDR-27369 | 2.56% |
| EXEL-21383 | 2.56% |
| ETSY-48934 | 2.56% |
| GDOT-39932 | 2.56% |
| CLF-1595 | 2.56% |
| ALJ-27500 | 2.56% |
| LNKD-41451 | 2.56% |
| TGTX-13984 | 2.56% |
| ESV-2621 | 2.56% |
| AKRX-270 | 2.56% |
| ANF-15622 | 2.56% |
| CCJ-14479 | 2.56% |
| SXC-41733 | 2.56% |
| NMBL-46002 | 2.56% |
| PBF-43713 | 2.56% |
| AIMT-49323 | 2.56% |
| CRC-48073 | 2.56% |
| YELP-42596 | 2.56% |
| MYGN-13698 | 2.56% |
| USNA-15408 | 2.56% |
| LPLA-40445 | 2.56% |
| CYBR-47779 | 2.56% |
| LL-35036 | 2.55% |
| SGEN-22563 | 2.55% |
| ACOR-28077 | 2.55% |
| TLN-49003 | 2.55% |
| SPXC-7086 | 2.55% |
| SHEN-22166 | 2.55% |
| RVNC-46315 | 2.55% |
| SNCR-32234 | 2.55% |
| TEX-7408 | 2.55% |
| EDIT-49736 | 2.55% |
| EIGI-45735 | 2.55% |
| GLNG-24489 | 2.55% |
| DDS-2126 | 2.55% |
| DDD-12959 | 2.55% |
| PI-50138 | 2.55% |
| AMPH-47193 | 2.55% |
| ECHO-38798 | 2.55% |
| FOSL-8816 | 2.55% |
| PTCT-44955 | 2.55% |
| RDC-6392 | 2.55% |
| ADPT-47191 | 2.55% |
| TBPH-46932 | 2.55% |
| THC-5343 | 2.55% |
| MDXG-34049 | 2.55% |
| XOG-50368 | 2.55% |
| SSTK-43494 | 2.55% |
| SGRY-49456 | 2.55% |
| KS-30759 | 2.54% |
| BGC-3129 | 2.54% |
| GPT-26520 | 2.54% |
| BANC-23943 | 2.54% |
| SLCA-42436 | 2.54% |
| EXTN-49560 | 2.54% |
| PACB-40319 | 2.54% |
| CCC-1331 | 2.54% |
| FTK-27496 | 2.54% |
| HOMB-32302 | 2.54% |
| MTSI-42646 | 2.54% |
| PAAS-13083 | 2.54% |
| SN-42264 | 2.54% |
| FCPT-49543 | 2.54% |
| EROS-45867 | 2.54% |
| FSLR-32902 | 2.54% |
| TTD-50288 | 2.54% |
| FET-42784 | 2.54% |
| SPWR-27817 | 2.54% |
| AVXS-49751 | 2.54% |
| LDRH-45619 | 2.54% |
| KOS-41416 | 2.53% |
| ANIP-25565 | 2.53% |
| FIVN-46695 | 2.53% |
| GCO-3131 | 2.53% |
| BCOR-24011 | 2.53% |
| BETR-49318 | 2.53% |
| TROX-40530 | 2.53% |
| EFII-2460 | 2.53% |
| CVT-45249 | 2.53% |
| BDC-26479 | 2.53% |
| TIME-46965 | 2.53% |
| DY-2385 | 2.53% |
| ZIOP-31341 | 2.53% |
| SIG-9774 | 2.53% |
| MXL-39393 | 2.53% |
| ONCE-48547 | 2.53% |
| DEPO-18010 | 2.53% |
| TNET-46633 | 2.53% |
| APOL-24829 | 2.53% |
| ALR-15575 | 2.53% |
| INVA-26676 | 2.53% |
| GG-22226 | 2.53% |
| SFG-20019 | 2.53% |
| FORM-25182 | 2.53% |
| HEES-28023 | 2.53% |
| NLNK-42147 | 2.53% |
| LNTH-49189 | 2.52% |
| AFFX-15064 | 2.52% |
| KATE-4479 | 2.52% |
| XLRN-45431 | 2.52% |
| AFSI-32871 | 2.52% |
| SPPI-24517 | 2.52% |
| UAA-27822 | 2.52% |
| PTHN-50143 | 2.52% |
| SSYS-12107 | 2.52% |
| RXDX-44685 | 2.52% |
| TXMD-28966 | 2.52% |
| CSIQ-32856 | 2.52% |
| HLX-17180 | 2.52% |
| SHLM-6851 | 2.52% |
| VA-48091 | 2.52% |
| UTIW-22284 | 2.52% |
| IAG-24491 | 2.52% |
| WETF-31288 | 2.52% |
| MNK-44917 | 2.52% |
| DYAX-21870 | 2.52% |
| MBLY-47430 | 2.52% |
| NVDQ-42595 | 2.52% |
| WLH-43733 | 2.51% |
| MFRM-42184 | 2.51% |
| MTW-4656 | 2.51% |
| HTWR-38150 | 2.51% |
| VRA-40287 | 2.51% |
| CSC-1898 | 2.51% |
| CALA-47830 | 2.51% |
| WWE-20818 | 2.51% |
| WIX-45800 | 2.51% |
| INVN-42165 | 2.51% |
| FWON_K-47272 | 2.51% |
| HABT-48126 | 2.51% |
| AXLL-3189 | 2.51% |
| CPHD-21603 | 2.51% |
| DWA-26750 | 2.51% |
| LPI-42263 | 2.51% |
| STKL-7158 | 2.51% |
| CAI-33864 | 2.51% |
| GMCR-9736 | 2.51% |
| CHK-8461 | 2.50% |
| SKX-20284 | 2.50% |
| KEM-4265 | 2.50% |
| HMHC-45861 | 2.50% |
| EBAY-24819 | 2.50% |
| HUN-27030 | 2.49% |
| TAHO-39938 | 2.49% |
| SCMP-34477 | 2.49% |
| HIIQ-44113 | 2.49% |
| EVH-49100 | 2.49% |
| RGLD-6455 | 2.49% |
| TGI-15905 | 2.49% |
| ACIA-33321 | 2.48% |
| AKAO-46528 | 2.48% |
| INFN-33979 | 2.48% |
| WNR-27997 | 2.48% |
| NE-5249 | 2.48% |
| SFS-47776 | 2.48% |
| NYLD-49043 | 2.48% |
| IMPV-42131 | 2.48% |
| TPX-25802 | 2.47% |
| RENT-6421 | 2.47% |
| TGH-34810 | 2.47% |
| INOV-48629 | 2.46% |
| TELL-4982 | 2.46% |
| WRLD-8268 | 2.46% |
| LILA_K-49206 | 2.46% |
| AEM-154 | 2.46% |
| RGNX-49409 | 2.46% |
| FTR-2069 | 2.44% |
| NBIX-14972 | 2.44% |
| KRO-25764 | 2.43% |
| AERI-45733 | 2.43% |
| LJPC-11512 | 2.43% |
| REN-34800 | 2.42% |
| HRTX-22651 | 2.42% |
| TWLO-50077 | 2.40% |
| CZZ-34560 | 2.39% |
| ERF-22215 | 2.39% |
| SGMO-21447 | 2.38% |
| P-41579 | 2.37% |
| ABCO-23176 | 2.36% |
| NSH-32386 | 2.36% |
| PVG-42366 | 2.34% |
| NLS-23710 | 2.33% |
| PSTG-49464 | 2.32% |
| GRUB-46693 | 2.30% |
| AVP-660 | 2.30% |
| DVAX-25972 | 2.30% |
| WFT-19336 | 2.28% |
| MDCA-12800 | 2.28% |
| DWRE-42638 | 2.27% |
| PIR-6000 | 2.26% |
| WAC-18431 | 2.25% |
| KRNT-48872 | 2.25% |
| EXPR-39626 | 2.25% |
| CPA-27908 | 2.24% |
| BNFT-45428 | 2.23% |
| NPTN-40807 | 2.22% |
| GLOG-42746 | 2.21% |
| RLYP-45851 | 2.19% |
| ARNC-2 | 2.19% |
| NRG-26143 | 2.18% |
| ABMD-53 | 2.16% |
| TWI-9066 | 2.15% |
| ATHN-34692 | 2.14% |
| AMD-351 | 2.12% |
| EPE-46191 | 2.11% |
| QRVO-48384 | 2.11% |
| MGNX-45643 | 2.10% |
| ANAC-40442 | 2.09% |
| THS-27406 | 2.08% |
| RGEN-6449 | 2.07% |
| FRED-2989 | 2.05% |
| ESND-7866 | 2.00% |
| SBLK-28112 | 2.00% |
| SYNH-48027 | 2.00% |
| IPXL-37849 | 2.00% |
| KNX-40606 | 1.99% |
| COUP-50350 | 1.99% |
| HZO-18917 | 1.97% |
| NG-25781 | 1.96% |
| SPKE-47372 | 1.94% |
| HSC-3686 | 1.93% |
| NR-5413 | 1.92% |
| PRTK-32095 | 1.92% |
| MAG-34175 | 1.91% |
| OPK-23120 | 1.89% |
| FARO-17508 | 1.88% |
| OMF-45670 | 1.87% |
| HRI-32887 | 1.87% |
| BOX-48486 | 1.86% |
| LXRX-21413 | 1.85% |
| CO-33188 | 1.85% |
| EGL-43151 | 1.83% |
| TRTN-50119 | 1.80% |
| PAYC-46744 | 1.80% |
| SVU-7233 | 1.80% |
| GRPN-42118 | 1.79% |
| UVE-31185 | 1.79% |
| FNSR-20866 | 1.79% |
| BOFI-27108 | 1.78% |
| BDBD-28667 | 1.76% |
| FEYE-45451 | 1.75% |
| CHGG-45847 | 1.73% |
| RIG-9038 | 1.73% |
| FOLD-33949 | 1.71% |
| CROX-28078 | 1.71% |
| HL-3585 | 1.71% |
| LKSD-50312 | 1.71% |
| CYTK-26232 | 1.70% |
| REV-14420 | 1.70% |
| WYNN-24124 | 1.70% |
| SALT-45996 | 1.69% |
| IRBT-27780 | 1.69% |
| ECPG-25320 | 1.68% |
| NXTM-27733 | 1.66% |
| SAAS-31137 | 1.65% |
| WATT-46650 | 1.64% |
| CMRE-40354 | 1.64% |
| NSM-42611 | 1.64% |
| NUS-16059 | 1.63% |
| SNBR-19559 | 1.63% |
| ILMN-21774 | 1.61% |
| SQ-49610 | 1.60% |
| ELGX-23769 | 1.58% |
| CVI-22766 | 1.58% |
| ZGNX-40461 | 1.57% |
| LOCO-47382 | 1.56% |
| SINA-21448 | 1.56% |
| ARCB-41 | 1.55% |
| MUR-5126 | 1.54% |
| SPNC-7064 | 1.54% |
| KND-23221 | 1.53% |
| OLED-14774 | 1.53% |
| CSII-32325 | 1.52% |
| AROC-34575 | 1.52% |
| ZAGG-32502 | 1.51% |
| ITG-25095 | 1.50% |
| CARA-46283 | 1.50% |
| ACLS-21717 | 1.50% |
| AUPH-47621 | 1.50% |
| JOY-22996 | 1.49% |
| MEDP-50194 | 1.47% |
| CTRL-45212 | 1.47% |
| KRA-39079 | 1.44% |
| IQNT-34997 | 1.44% |
| ANGI-42175 | 1.41% |
| OKE-5634 | 1.41% |
| NDRM-48090 | 1.41% |
| NTRI-21697 | 1.40% |
| OPB-46768 | 1.40% |
| FLOW-49434 | 1.39% |
| MSG-49458 | 1.38% |
| DDC-39 | 1.37% |
| BRS-5645 | 1.36% |
| NVGS-45915 | 1.35% |
| NAV-5199 | 1.34% |
| FRO-22983 | 1.34% |
| DVN-2368 | 1.33% |
| GPRE-28159 | 1.33% |
| IMGN-3885 | 1.32% |
| LSCC-4549 | 1.31% |
| WIN-27019 | 1.29% |
| RES-6426 | 1.28% |
| LMAT-32750 | 1.28% |
| BAS-27886 | 1.27% |
| EGN-2470 | 1.26% |
| KERX-21789 | 1.25% |
| ERII-36518 | 1.24% |
| VRAY-48015 | 1.23% |
| NEM-5261 | 1.23% |
| CORT-26191 | 1.23% |
| VECO-12267 | 1.22% |
| XNCR-45942 | 1.21% |
| HA-3431 | 1.21% |
| S-2938 | 1.21% |
| GNCM_A-3274 | 1.21% |
| PE-46989 | 1.21% |
| RAX-36714 | 1.20% |
| MKTO-44738 | 1.19% |
| BW-49208 | 1.18% |
| QLYS-43454 | 1.18% |
| FN-39824 | 1.16% |
| UNT-7806 | 1.16% |
| LOCK-43467 | 1.16% |
| ARCO-41242 | 1.16% |
| DB-23113 | 1.13% |
| CARB-41820 | 1.13% |
| CF-27558 | 1.11% |
| PRAA-24440 | 1.11% |
| PHH-26956 | 1.11% |
| VSLR-47820 | 1.11% |
| TTS-40545 | 1.11% |
| BTE-28232 | 1.11% |
| OFG-16394 | 1.10% |
| DXPE-17196 | 1.10% |
| RRD-2248 | 1.09% |
| SC-46215 | 1.09% |
| HUBS-47872 | 1.07% |
| AUY-25714 | 1.07% |
| XENT-47373 | 1.06% |
| MU-5121 | 1.06% |
| PDS-5855 | 1.06% |
| CNX-24758 | 1.05% |
| BKS-9693 | 1.05% |
| SPN-14141 | 1.04% |
| CORE-27864 | 1.04% |
| SDRL-39495 | 1.04% |
| APTI-50318 | 1.04% |
| BRKS-12512 | 1.03% |
| PTEN-10254 | 1.03% |
| BEAT-35929 | 1.03% |
| GBX-11645 | 1.00% |
| WIFI-41374 | 1.00% |
| NTLA-49934 | 1.00% |
| URBN-10303 | 1.00% |
| RIC-16681 | 1.00% |
| ESIO-2612 | 0.99% |
| SGNT-41301 | 0.98% |
| CRUS-1882 | 0.98% |
| TMH-39076 | 0.98% |
| BPT-1068 | 0.97% |
| MLNT-42455 | 0.97% |
| AY-47123 | 0.97% |
| ASIX-50260 | 0.97% |
| KN-46369 | 0.95% |
| CAM-13176 | 0.95% |
| RPD-49275 | 0.95% |
| ATRO-617 | 0.94% |
| TFM-40376 | 0.93% |
| CERS-16333 | 0.92% |
| MDCO-21906 | 0.92% |
| IVC-4084 | 0.91% |
| FRAN-41737 | 0.90% |
| HMSY-3607 | 0.89% |
| LB-4564 | 0.89% |
| MRO-5035 | 0.89% |
| NVMI-21427 | 0.88% |
| DSW-27409 | 0.88% |
| GES-24811 | 0.88% |
| NVDA-19725 | 0.88% |
| MITL-39526 | 0.88% |
| VSTO-48531 | 0.87% |
| DK-32042 | 0.86% |
| SAND-43329 | 0.85% |
| RFP-40576 | 0.85% |
| IOC-26617 | 0.84% |
| DATA-44747 | 0.83% |
| COHR-1751 | 0.83% |
| MAT-4668 | 0.83% |
| XPO-26287 | 0.81% |
| NVAX-14112 | 0.81% |
| MHLD-36164 | 0.80% |
| NK-49298 | 0.80% |
| MSGN-39171 | 0.79% |
| KGC-9189 | 0.79% |
| EZPW-2671 | 0.78% |
| MYCC-45453 | 0.78% |
| MDR-4752 | 0.77% |
| AXL-19672 | 0.77% |
| CLR-33856 | 0.77% |
| SSNI-44270 | 0.77% |
| PES-22551 | 0.76% |
| ZUMZ-27229 | 0.74% |
| SNAP-50683 | 0.74% |
| MYOK-49535 | 0.74% |
| CLDX-19187 | 0.73% |
| AFAM-21103 | 0.73% |
| SEMG-39358 | 0.73% |
| AMBC-44636 | 0.73% |
| AMC-46027 | 0.73% |
| CTMX-49470 | 0.73% |
| KORS-42270 | 0.72% |
| HSKA-17227 | 0.72% |
| ABEO-28471 | 0.72% |
| STX-24518 | 0.71% |
| RPTP-21364 | 0.69% |
| AMKR-18655 | 0.69% |
| SDLP-43539 | 0.68% |
| CPE-12011 | 0.67% |
| RAD-6330 | 0.67% |
| SYNT-24790 | 0.67% |
| QTNA-50417 | 0.67% |
| INCY-10187 | 0.67% |
| KTOS-20947 | 0.67% |
| BCC-44089 | 0.67% |
| TTI-7633 | 0.67% |
| MCRB-49195 | 0.66% |
| IPHI-40399 | 0.66% |
| PETS-25867 | 0.65% |
| AMN-23178 | 0.64% |
| BKD-27830 | 0.64% |
| SCHN-10268 | 0.64% |
| TWOU-46648 | 0.63% |
| MGPI-24094 | 0.62% |
| HK-31032 | 0.59% |
| ACHN-32790 | 0.58% |
| AKBA-46583 | 0.57% |
| FBP-2806 | 0.57% |
| TVTY-371 | 0.57% |
| VDSI-21457 | 0.55% |
| WPX-42251 | 0.55% |
| SGY-9458 | 0.55% |
| LGND-12200 | 0.54% |
| HSNI-36733 | 0.54% |
| CBL-9890 | 0.54% |
| FINL-2845 | 0.54% |
| JCP-4118 | 0.54% |
| MTDR-42446 | 0.53% |
| HOLI-28942 | 0.52% |
| ICON-6856 | 0.51% |
| SKYW-6925 | 0.50% |
| GPOR-28116 | 0.50% |
| COLL-49016 | 0.50% |
| EVRI-27639 | 0.50% |
| PGTI-32324 | 0.48% |
| BBG-26865 | 0.48% |
| M-2754 | 0.47% |
| AAXN-22846 | 0.47% |
| NCMI-33317 | 0.47% |
| RYI-47464 | 0.47% |
| EBS-32878 | 0.46% |
| VNDA-28326 | 0.46% |
| ONDK-48290 | 0.45% |
| AVAV-33194 | 0.45% |
| CYNO-27887 | 0.44% |
| MMI-45771 | 0.44% |
| HPQ-3735 | 0.43% |
| FCAU-47888 | 0.43% |
| AAC-47842 | 0.43% |
| XPER-25705 | 0.42% |
| ZBRA-8388 | 0.42% |
| MRC-42786 | 0.40% |
| SALE-45114 | 0.39% |
| MEOH-4795 | 0.39% |
| IXYS-19331 | 0.38% |
| NFX-10231 | 0.38% |
| BB-19831 | 0.38% |
| VSAR-46582 | 0.38% |
| PDCE-5907 | 0.38% |
| MTOR-21723 | 0.37% |
| FLTX-43479 | 0.37% |
| ADMS-46722 | 0.37% |
| AEL-25710 | 0.37% |
| VRTV-47143 | 0.36% |
| BWLD-25642 | 0.36% |
| ENTA-44332 | 0.36% |
| CBM-1297 | 0.36% |
| TCMD-50169 | 0.35% |
| CBPO-35846 | 0.35% |
| PRTY-48933 | 0.35% |
| WRD-50537 | 0.35% |
| RSPP-46182 | 0.34% |
| MOD-4958 | 0.34% |
| TAL-27704 | 0.34% |
| LPSN-21415 | 0.33% |
| MEI-4803 | 0.32% |
| EGO-24547 | 0.32% |
| OSTK-23714 | 0.31% |
| ELLI-41243 | 0.31% |
| VG-32143 | 0.31% |
| PMC-34241 | 0.30% |
| OUTR-24791 | 0.30% |
| CUTR-26157 | 0.30% |
| DRII-45112 | 0.29% |
| AYX-50735 | 0.29% |
| GLOB-47330 | 0.29% |
| SHOP-49060 | 0.28% |
| NOMD-47572 | 0.28% |
| IIVI-3854 | 0.27% |
| ADT-43399 | 0.27% |
| ISLE-19391 | 0.27% |
| QDEL-6297 | 0.27% |
| PODD-33858 | 0.26% |
| VRTU-34483 | 0.26% |
| HLF-26892 | 0.26% |
| DKS-24070 | 0.25% |
| TNK-35260 | 0.25% |
| OTIC-47495 | 0.25% |
| FL-8383 | 0.24% |
| DGI-38374 | 0.24% |
| ARII-27998 | 0.24% |
| GTLS-32433 | 0.24% |
| ANAB-50616 | 0.23% |
| FRAC-50612 | 0.23% |
| WGO-8168 | 0.23% |
| TTMI-22072 | 0.23% |
| ADXS-40992 | 0.23% |
| EXK-33236 | 0.22% |
| NGD-27323 | 0.22% |
| APA-448 | 0.22% |
| FRGI-42856 | 0.21% |
| GNW-26323 | 0.21% |
| COWN-32377 | 0.21% |
| AHT-25398 | 0.20% |
| BLCM-48304 | 0.19% |
| RRGB-23904 | 0.19% |
| RMTI-18196 | 0.18% |
| YRCW-8370 | 0.18% |
| RKUS-43627 | 0.18% |
| TRIP-42230 | 0.17% |
| MTZ-4667 | 0.17% |
| QLGC-10829 | 0.17% |
| REI-42894 | 0.17% |
| INGN-46370 | 0.16% |
| ZOES-46742 | 0.16% |
| ARNA-21724 | 0.16% |
| OCN-15697 | 0.15% |
| YNDX-41484 | 0.15% |
| AGEN-21104 | 0.15% |
| MOV-14762 | 0.15% |
| PCTY-46569 | 0.15% |
| BZH-10728 | 0.15% |
| TSEM-12116 | 0.15% |
| KMI-40852 | 0.15% |
| EXTR-19973 | 0.14% |
| MTRX-5105 | 0.14% |
| CRR-14700 | 0.13% |
| AOBC-24519 | 0.13% |
| APC-455 | 0.13% |
| CCRN-24893 | 0.13% |
| TDW-7364 | 0.13% |
| NXPI-39994 | 0.13% |
| NAT-17553 | 0.13% |
| BOJA-49024 | 0.13% |
| AGX-28450 | 0.12% |
| DFIN-50310 | 0.12% |
| ELF-50320 | 0.12% |
| ODP-5583 | 0.12% |
| CIR-20696 | 0.12% |
| CACC-1216 | 0.11% |
| GLYC-46135 | 0.11% |
| CJ-50690 | 0.10% |
| IMKT_A-3890 | 0.10% |
| VRTX-8045 | 0.10% |
| RUBI-46671 | 0.10% |
| SODA-40353 | 0.10% |
| MOH-25349 | 0.10% |
| FLWS-20490 | 0.10% |
| OME-18601 | 0.09% |
| UEPS-27529 | 0.09% |
| GTN-23945 | 0.09% |
| IDTI-3808 | 0.09% |
| GTT-44938 | 0.08% |
| CLCD-49001 | 0.08% |
| HOME-50187 | 0.08% |
| CFMS-49211 | 0.07% |
| ENVA-47979 | 0.07% |
| MRTX-45080 | 0.06% |
| EVHC-45269 | 0.06% |
| ACHC-42091 | 0.06% |
| CHS-8612 | 0.06% |
| DNOW-46949 | 0.06% |
| BLDP-13798 | 0.06% |
| MULE-50719 | 0.06% |
| CASH-9700 | 0.06% |
| CATM-35253 | 0.05% |
| IBP-46365 | 0.05% |
| MGI-26435 | 0.05% |
| ANW-33014 | 0.05% |
| ARAY-33310 | 0.04% |
| MATX-289 | 0.04% |
| NNBR-11003 | 0.00% |
/usr/local/lib/python2.7/dist-packages/pyfolio/perf_attrib.py:589: UserWarning: Could not find factor loadings for 1 dates: [Timestamp('2018-01-12 00:00:00+0000', tz='UTC')]. Truncating date range for performance attribution.
warnings.warn(warning_msg)
/usr/local/lib/python2.7/dist-packages/pyfolio/perf_attrib.py:611: 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)
Performance Relative to Common Risk Factors¶
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 7.78% |
| Annualized Common Return | -1.71% |
| Annualized Total Return | 5.90% |
| Specific Sharpe Ratio | 1.06 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.01 | -1.75% | -3.48% |
| consumer_cyclical | 0.00 | 0.07% | 0.14% |
| financial_services | 0.00 | 0.10% | 0.21% |
| real_estate | -0.00 | -0.17% | -0.33% |
| consumer_defensive | 0.00 | 0.01% | 0.02% |
| health_care | 0.02 | -1.45% | -2.88% |
| utilities | -0.00 | 0.02% | 0.04% |
| communication_services | 0.00 | 0.33% | 0.67% |
| energy | 0.00 | 0.10% | 0.20% |
| industrials | -0.01 | 0.06% | 0.13% |
| technology | 0.00 | 0.45% | 0.90% |
| momentum | -0.01 | -0.57% | -1.13% |
| size | 0.02 | 0.04% | 0.08% |
| value | 0.10 | -0.58% | -1.15% |
| short_term_reversal | 0.38 | 1.78% | 3.60% |
| volatility | -0.02 | -0.15% | -0.29% |
Performance Relative to Common Risk Factors¶
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 7.78% |
| Annualized Common Return | -1.71% |
| Annualized Total Return | 5.90% |
| Specific Sharpe Ratio | 1.06 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.01 | -1.75% | -3.48% |
| consumer_cyclical | 0.00 | 0.07% | 0.14% |
| financial_services | 0.00 | 0.10% | 0.21% |
| real_estate | -0.00 | -0.17% | -0.33% |
| consumer_defensive | 0.00 | 0.01% | 0.02% |
| health_care | 0.02 | -1.45% | -2.88% |
| utilities | -0.00 | 0.02% | 0.04% |
| communication_services | 0.00 | 0.33% | 0.67% |
| energy | 0.00 | 0.10% | 0.20% |
| industrials | -0.01 | 0.06% | 0.13% |
| technology | 0.00 | 0.45% | 0.90% |
| momentum | -0.01 | -0.57% | -1.13% |
| size | 0.02 | 0.04% | 0.08% |
| value | 0.10 | -0.58% | -1.15% |
| short_term_reversal | 0.38 | 1.78% | 3.60% |
| volatility | -0.02 | -0.15% | -0.29% |