In [7]:
bt = get_backtest('5a2c2959cc0e384569a87c02')
100% Time: 0:00:50|###########################################################|
In [8]:
bt.create_full_tear_sheet()
bt.create_perf_attrib_tear_sheet()
| Start date | 2015-12-09 |
|---|---|
| End date | 2017-12-08 |
| Total months | 24 |
| Backtest | |
| Annual return | 5.9% |
| Cumulative returns | 12.2% |
| Annual volatility | 3.1% |
| Sharpe ratio | 1.87 |
| Calmar ratio | 2.23 |
| Stability | 0.95 |
| Max drawdown | -2.7% |
| Omega ratio | 1.39 |
| Sortino ratio | 2.95 |
| Skew | 0.19 |
| Kurtosis | 3.04 |
| Tail ratio | 1.24 |
| Daily value at risk | -0.4% |
| Gross leverage | 1.00 |
| Daily turnover | 61.0% |
| Alpha | 0.05 |
| Beta | 0.03 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 2.65 | 2016-01-04 | 2016-01-19 | 2016-02-12 | 30 |
| 1 | 1.34 | 2016-05-02 | 2016-06-03 | 2016-06-28 | 42 |
| 2 | 1.27 | 2016-07-26 | 2016-09-16 | 2016-11-30 | 92 |
| 3 | 1.14 | 2017-05-08 | 2017-06-08 | 2017-06-13 | 27 |
| 4 | 1.03 | 2016-03-01 | 2016-03-07 | 2016-03-11 | 9 |
| Stress Events | mean | min | max |
|---|---|---|---|
| New Normal | 0.02% | -0.79% | 0.91% |
| Top 10 long positions of all time | max |
|---|---|
| POM-6098 | 0.41% |
| WMB-8214 | 0.40% |
| NXPI-39994 | 0.39% |
| RRC-19249 | 0.37% |
| JAZZ-33959 | 0.37% |
| ORLY-8857 | 0.37% |
| ENDP-21750 | 0.37% |
| ESV-2621 | 0.37% |
| CYH-21608 | 0.37% |
| NE-5249 | 0.37% |
| Top 10 short positions of all time | max |
|---|---|
| VRX-10908 | -0.43% |
| HOG-3499 | -0.39% |
| BG-22959 | -0.39% |
| NE-5249 | -0.39% |
| WLL-25707 | -0.38% |
| AR-45618 | -0.38% |
| QCOM-6295 | -0.37% |
| AET-168 | -0.37% |
| TRIP-42230 | -0.37% |
| CLF-1595 | -0.37% |
| Top 10 positions of all time | max |
|---|---|
| VRX-10908 | 0.43% |
| POM-6098 | 0.41% |
| WMB-8214 | 0.40% |
| HOG-3499 | 0.39% |
| BG-22959 | 0.39% |
| NE-5249 | 0.39% |
| NXPI-39994 | 0.39% |
| WLL-25707 | 0.38% |
| AR-45618 | 0.38% |
| QCOM-6295 | 0.37% |
| All positions ever held | max |
|---|---|
| VRX-10908 | 0.43% |
| POM-6098 | 0.41% |
| WMB-8214 | 0.40% |
| HOG-3499 | 0.39% |
| BG-22959 | 0.39% |
| NE-5249 | 0.39% |
| NXPI-39994 | 0.39% |
| WLL-25707 | 0.38% |
| AR-45618 | 0.38% |
| QCOM-6295 | 0.37% |
| RRC-19249 | 0.37% |
| JAZZ-33959 | 0.37% |
| ORLY-8857 | 0.37% |
| AET-168 | 0.37% |
| ENDP-21750 | 0.37% |
| TRIP-42230 | 0.37% |
| CLF-1595 | 0.37% |
| ESV-2621 | 0.37% |
| CYH-21608 | 0.37% |
| CNX-24758 | 0.37% |
| LNG-22096 | 0.37% |
| BIIB-3806 | 0.37% |
| LVLT-18587 | 0.37% |
| STMP-26286 | 0.37% |
| X-8329 | 0.37% |
| CLR-33856 | 0.37% |
| CTL-1960 | 0.37% |
| WNR-27997 | 0.37% |
| HZNP-41766 | 0.37% |
| INCY-10187 | 0.37% |
| ABX-64 | 0.37% |
| FOXA-12213 | 0.37% |
| GWW-3421 | 0.36% |
| FNV-41886 | 0.36% |
| RIG-9038 | 0.36% |
| RGC-23722 | 0.36% |
| HFC-3620 | 0.36% |
| HUM-3718 | 0.36% |
| RDC-6392 | 0.36% |
| IONS-4031 | 0.36% |
| VIAB-27872 | 0.36% |
| WFM-8158 | 0.36% |
| MDVN-28160 | 0.36% |
| MAT-4668 | 0.36% |
| XPO-26287 | 0.36% |
| MUR-5126 | 0.36% |
| SKX-20284 | 0.36% |
| BKD-27830 | 0.36% |
| NRG-26143 | 0.36% |
| ARNC-2 | 0.36% |
| USG-7844 | 0.36% |
| MBLY-47430 | 0.36% |
| WFT-19336 | 0.36% |
| CPN-35531 | 0.36% |
| HRI-32887 | 0.36% |
| HUN-27030 | 0.36% |
| RICE-46240 | 0.36% |
| HES-216 | 0.36% |
| SAVE-41498 | 0.36% |
| DE-2127 | 0.36% |
| EVHC-45269 | 0.36% |
| IDTI-3808 | 0.36% |
| NFLX-23709 | 0.36% |
| CLB-13508 | 0.36% |
| KNX-40606 | 0.36% |
| PTEN-10254 | 0.36% |
| COP-23998 | 0.36% |
| CAR-17991 | 0.36% |
| PBF-43713 | 0.36% |
| THC-5343 | 0.36% |
| OPK-23120 | 0.36% |
| EVHC-50499 | 0.36% |
| GG-22226 | 0.36% |
| NAVI-46782 | 0.36% |
| HLT-45993 | 0.36% |
| NRF-26740 | 0.36% |
| NEM-5261 | 0.36% |
| QEP-39778 | 0.36% |
| M-2754 | 0.36% |
| JCP-4118 | 0.36% |
| OKE-5634 | 0.36% |
| MRVL-21666 | 0.36% |
| ANET-47063 | 0.36% |
| NBR-5214 | 0.36% |
| APA-448 | 0.36% |
| AKS-10897 | 0.36% |
| CXO-34440 | 0.36% |
| BB-19831 | 0.36% |
| QRVO-48384 | 0.36% |
| BSX-1131 | 0.36% |
| URI-18113 | 0.36% |
| GPRO-47208 | 0.36% |
| MOS-41462 | 0.36% |
| TRGP-40547 | 0.36% |
| ALXN-14328 | 0.36% |
| LB-4564 | 0.36% |
| HCA-41047 | 0.36% |
| REGN-6413 | 0.36% |
| EXEL-21383 | 0.36% |
| NCLH-43981 | 0.36% |
| BBY-754 | 0.36% |
| AEM-154 | 0.36% |
| PNRA-20133 | 0.36% |
| BWLD-25642 | 0.36% |
| TWX-357 | 0.36% |
| KATE-4479 | 0.36% |
| MRO-5035 | 0.36% |
| STLD-16108 | 0.36% |
| RLGY-43500 | 0.35% |
| DY-2385 | 0.35% |
| KORS-42270 | 0.35% |
| LITE-49288 | 0.35% |
| QVCA-32046 | 0.35% |
| CPE-12011 | 0.35% |
| EQT-2587 | 0.35% |
| SRC-43414 | 0.35% |
| EOG-2564 | 0.35% |
| SPR-32921 | 0.35% |
| TWTR-45815 | 0.35% |
| NVDA-19725 | 0.35% |
| MELI-34525 | 0.35% |
| ALGN-22355 | 0.35% |
| CF-27558 | 0.35% |
| PDCE-5907 | 0.35% |
| MNK-44917 | 0.35% |
| DO-13635 | 0.35% |
| TRN-7583 | 0.35% |
| AKRX-270 | 0.35% |
| KR-4297 | 0.35% |
| LGF-19491 | 0.35% |
| NBL-5213 | 0.35% |
| FTR-2069 | 0.35% |
| HAL-3443 | 0.35% |
| AMZN-16841 | 0.35% |
| WYNN-24124 | 0.35% |
| TMUS-33698 | 0.35% |
| RAX-36714 | 0.35% |
| EGN-2470 | 0.35% |
| RCL-8863 | 0.35% |
| TGT-21090 | 0.35% |
| S-2938 | 0.35% |
| GME-23438 | 0.35% |
| JWN-5382 | 0.35% |
| CVX-23112 | 0.35% |
| ST-39347 | 0.35% |
| SFM-45199 | 0.35% |
| GRUB-46693 | 0.35% |
| WETF-31288 | 0.35% |
| AYI-23276 | 0.35% |
| BBBY-739 | 0.35% |
| HP-3647 | 0.35% |
| SLCA-42436 | 0.35% |
| WPM-27437 | 0.35% |
| AG-40607 | 0.35% |
| NVR-5513 | 0.35% |
| CTXS-14014 | 0.35% |
| DDR-8468 | 0.35% |
| RSPP-46182 | 0.35% |
| AMD-351 | 0.35% |
| UAA-27822 | 0.35% |
| RAD-6330 | 0.35% |
| KSS-4313 | 0.35% |
| KMX-16511 | 0.35% |
| BA-698 | 0.35% |
| R-6326 | 0.35% |
| BHI-858 | 0.35% |
| ADP-630 | 0.35% |
| PCRX-40815 | 0.35% |
| ABMD-53 | 0.35% |
| ATHN-34692 | 0.35% |
| FL-8383 | 0.35% |
| TSS-7616 | 0.35% |
| RE-13720 | 0.35% |
| ARRS-25134 | 0.35% |
| ILMN-21774 | 0.35% |
| XL-8340 | 0.35% |
| FCX-13197 | 0.35% |
| COMM-45734 | 0.35% |
| AER-32916 | 0.35% |
| FSLR-32902 | 0.35% |
| HAR-3455 | 0.35% |
| SINA-21448 | 0.35% |
| WPX-42251 | 0.35% |
| DISH-13017 | 0.35% |
| TPX-25802 | 0.35% |
| TRU-49176 | 0.35% |
| KEY-4221 | 0.35% |
| CBG-26367 | 0.35% |
| FNSR-20866 | 0.35% |
| WAB-13135 | 0.35% |
| ANDV-7612 | 0.35% |
| NFX-10231 | 0.35% |
| LNKD-41451 | 0.35% |
| APC-455 | 0.35% |
| TOL-7530 | 0.35% |
| MAR-25920 | 0.35% |
| CI-1539 | 0.35% |
| WRK-49183 | 0.35% |
| MAC-10984 | 0.35% |
| SBGI-13098 | 0.35% |
| ATVI-9883 | 0.35% |
| AMP-27676 | 0.35% |
| SCHW-6704 | 0.35% |
| ECA-23021 | 0.35% |
| COG-1746 | 0.35% |
| MU-5121 | 0.35% |
| MYL-5166 | 0.35% |
| PII-6992 | 0.35% |
| JBL-8831 | 0.35% |
| LNC-4498 | 0.35% |
| GPS-3321 | 0.35% |
| LBTY_K-27608 | 0.35% |
| PE-46989 | 0.35% |
| IDXX-3810 | 0.35% |
| CAT-1267 | 0.35% |
| PXD-17436 | 0.35% |
| OLN-5643 | 0.35% |
| Z-49315 | 0.35% |
| RH-43599 | 0.35% |
| PCLN-19917 | 0.35% |
| OAS-39797 | 0.35% |
| URBN-10303 | 0.35% |
| RF-34913 | 0.35% |
| BERY-43476 | 0.35% |
| DKS-24070 | 0.35% |
| SYF-47415 | 0.35% |
| VMC-7998 | 0.35% |
| SNDK-13940 | 0.35% |
| ABBV-43694 | 0.35% |
| FTI-22784 | 0.35% |
| SCG-6701 | 0.35% |
| UTHR-20306 | 0.35% |
| COL-22880 | 0.35% |
| BURL-45558 | 0.35% |
| CELG-1406 | 0.35% |
| DATA-44747 | 0.35% |
| VLO-7990 | 0.35% |
| MNST-3450 | 0.35% |
| HLF-26892 | 0.35% |
| LVS-26882 | 0.35% |
| POT-6109 | 0.35% |
| AES-166 | 0.35% |
| CY-2043 | 0.35% |
| SWN-7244 | 0.35% |
| HL-3585 | 0.35% |
| JOY-22996 | 0.35% |
| UAL-28051 | 0.35% |
| CVS-4799 | 0.35% |
| QSR-48215 | 0.35% |
| AVGO-38650 | 0.35% |
| ZAYO-47912 | 0.35% |
| PKG-20773 | 0.35% |
| TSLA-39840 | 0.35% |
| WDC-8132 | 0.35% |
| GPN-22443 | 0.35% |
| CRM-26401 | 0.35% |
| AEO-11086 | 0.35% |
| ON-21429 | 0.35% |
| TPR-22099 | 0.35% |
| CHTR-39095 | 0.35% |
| KMI-40852 | 0.35% |
| VRTX-8045 | 0.35% |
| MIDD-4695 | 0.35% |
| C-1335 | 0.35% |
| COF-12160 | 0.35% |
| OII-5629 | 0.35% |
| ALR-15575 | 0.35% |
| CSC-1898 | 0.35% |
| SIG-9774 | 0.35% |
| CHK-8461 | 0.35% |
| EIX-14372 | 0.35% |
| NUE-5488 | 0.35% |
| ULTA-34953 | 0.35% |
| CFG-47777 | 0.35% |
| STX-24518 | 0.35% |
| HRL-3668 | 0.35% |
| JBLU-23599 | 0.35% |
| ALLY-46015 | 0.35% |
| DYN-43462 | 0.35% |
| CBS-7962 | 0.35% |
| AMG-17800 | 0.35% |
| CIEN-16453 | 0.35% |
| ANF-15622 | 0.35% |
| UHS-7749 | 0.35% |
| VOYA-44645 | 0.35% |
| NOV-24809 | 0.35% |
| PAH-45531 | 0.35% |
| CAVM-33776 | 0.35% |
| ADM-128 | 0.35% |
| ALK-300 | 0.35% |
| MET-21418 | 0.35% |
| EQIX-24482 | 0.35% |
| CNC-23283 | 0.35% |
| AXTA-48065 | 0.35% |
| VMW-34545 | 0.35% |
| WSM-8284 | 0.35% |
| CC-49210 | 0.35% |
| FLT-40597 | 0.35% |
| PVH-6257 | 0.35% |
| GPC-3306 | 0.35% |
| FITB-2855 | 0.35% |
| FLR-24833 | 0.35% |
| LRCX-4537 | 0.35% |
| PAAS-13083 | 0.35% |
| AAP-23175 | 0.35% |
| DNKN-41759 | 0.35% |
| MGM-4831 | 0.35% |
| HBI-32497 | 0.35% |
| WWAV-43572 | 0.35% |
| FTNT-38965 | 0.35% |
| AMCX-41594 | 0.35% |
| XLNX-8344 | 0.35% |
| BRCD-20061 | 0.35% |
| WHR-8178 | 0.35% |
| HBAN-3472 | 0.35% |
| ADSK-67 | 0.35% |
| DAL-33729 | 0.35% |
| HST-9947 | 0.35% |
| LYB-39546 | 0.35% |
| LUV-4589 | 0.35% |
| CAB-26412 | 0.35% |
| XOM-8347 | 0.35% |
| XRX-8354 | 0.35% |
| ACHC-42091 | 0.35% |
| OXY-5729 | 0.35% |
| SM-4664 | 0.35% |
| MPC-41636 | 0.35% |
| NWL-5520 | 0.35% |
| MLM-10796 | 0.35% |
| DISC_A-36930 | 0.35% |
| PCG-5792 | 0.35% |
| CERN-1419 | 0.35% |
| BEN-812 | 0.35% |
| AGN-8572 | 0.35% |
| CMG-28016 | 0.35% |
| ASNA-2105 | 0.35% |
| ARIA-11880 | 0.35% |
| IRBT-27780 | 0.35% |
| MXIM-5149 | 0.35% |
| JACK-20740 | 0.35% |
| JCI-7679 | 0.35% |
| AAL-45971 | 0.35% |
| FANG-43512 | 0.35% |
| ELLI-41243 | 0.35% |
| SPLS-7061 | 0.35% |
| DFS-34011 | 0.35% |
| FOSL-8816 | 0.35% |
| RL-24832 | 0.35% |
| GM-40430 | 0.35% |
| COHR-1751 | 0.35% |
| NLSN-40755 | 0.35% |
| RGLD-6455 | 0.35% |
| EAT-2404 | 0.35% |
| MASI-34501 | 0.35% |
| GT-3384 | 0.35% |
| AABA-14848 | 0.35% |
| ADI-122 | 0.35% |
| SWKS-23821 | 0.35% |
| EA-2602 | 0.35% |
| BWA-9514 | 0.35% |
| BLK-20689 | 0.35% |
| TMH-39076 | 0.35% |
| GILD-3212 | 0.35% |
| LULU-34395 | 0.35% |
| EXR-26566 | 0.35% |
| MOH-25349 | 0.35% |
| HPE-49506 | 0.35% |
| BAC-700 | 0.35% |
| PCAR-5787 | 0.35% |
| OHI-5621 | 0.35% |
| AGU-12856 | 0.35% |
| OC-32608 | 0.35% |
| CXW-22102 | 0.35% |
| CPB-1795 | 0.35% |
| PSX-42788 | 0.35% |
| LLTC-4485 | 0.35% |
| POST-42407 | 0.35% |
| DXCM-27173 | 0.35% |
| HAIN-10649 | 0.35% |
| AUY-25714 | 0.35% |
| FFIV-20208 | 0.35% |
| PHM-5969 | 0.35% |
| DSW-27409 | 0.35% |
| ANTM-23103 | 0.35% |
| CME-24475 | 0.35% |
| FIT-49139 | 0.35% |
| TIF-7447 | 0.35% |
| CIT-39053 | 0.35% |
| ISRG-25339 | 0.35% |
| HOLX-3629 | 0.35% |
| WFC-8151 | 0.35% |
| GPOR-28116 | 0.35% |
| GNC-41182 | 0.35% |
| ADBE-114 | 0.35% |
| CMA-1620 | 0.35% |
| FAST-2696 | 0.35% |
| EW-21382 | 0.35% |
| FB-42950 | 0.35% |
| DECK-9909 | 0.35% |
| CONE-43984 | 0.35% |
| RHI-6465 | 0.35% |
| SYNA-23398 | 0.35% |
| SNI-36372 | 0.35% |
| EXPE-27543 | 0.35% |
| ZBH-23047 | 0.35% |
| TXT-7674 | 0.35% |
| GE-3149 | 0.35% |
| INTC-3951 | 0.35% |
| TSCO-10869 | 0.35% |
| SEE-6769 | 0.35% |
| OZRK-17264 | 0.35% |
| PAY-27206 | 0.35% |
| CL-1582 | 0.35% |
| BEAV-799 | 0.35% |
| FLEX-10953 | 0.34% |
| KSU-4315 | 0.34% |
| AMSG-22862 | 0.34% |
| DG-38936 | 0.34% |
| TAP-76 | 0.34% |
| AKAM-20680 | 0.34% |
| STJ-7156 | 0.34% |
| SLB-6928 | 0.34% |
| AIV-11598 | 0.34% |
| PWR-6269 | 0.34% |
| COTY-44909 | 0.34% |
| HCN-3488 | 0.34% |
| WBA-8089 | 0.34% |
| NSC-5442 | 0.34% |
| XRAY-8352 | 0.34% |
| ETR-2637 | 0.34% |
| WU-32603 | 0.34% |
| FLS-17207 | 0.34% |
| TDG-28161 | 0.34% |
| MDT-4758 | 0.34% |
| CMI-1985 | 0.34% |
| AGCO-197 | 0.34% |
| DHI-2298 | 0.34% |
| HCP-3490 | 0.34% |
| SU-10533 | 0.34% |
| MJN-38084 | 0.34% |
| KIM-4238 | 0.34% |
| MHK-4963 | 0.34% |
| SPG-10528 | 0.34% |
| FMC-2893 | 0.34% |
| AA-50428 | 0.34% |
| NKTR-24572 | 0.34% |
| YELP-42596 | 0.34% |
| CSCO-1900 | 0.34% |
| ABC-22954 | 0.34% |
| HAS-3460 | 0.34% |
| SLG-17448 | 0.34% |
| SHW-6868 | 0.34% |
| SBNY-26132 | 0.34% |
| WLTW-22857 | 0.34% |
| ALB-10898 | 0.34% |
| WTW-23269 | 0.34% |
| UTX-7883 | 0.34% |
| PFG-23151 | 0.34% |
| WYN-32393 | 0.34% |
| PRU-23328 | 0.34% |
| MAS-4665 | 0.34% |
| AVB-18834 | 0.34% |
| MTG-5092 | 0.34% |
| KLAC-4246 | 0.34% |
| JNPR-20239 | 0.34% |
| APTV-42173 | 0.34% |
| JPM-25006 | 0.34% |
| BC-755 | 0.34% |
| HPQ-3735 | 0.34% |
| DLR-26758 | 0.34% |
| F-2673 | 0.34% |
| STE-7173 | 0.34% |
| SPGI-4849 | 0.34% |
| SYMC-7272 | 0.34% |
| CRUS-1882 | 0.34% |
| THO-7433 | 0.34% |
| LEN-4417 | 0.34% |
| VEEV-45667 | 0.34% |
| INFO-47163 | 0.34% |
| PGR-5950 | 0.34% |
| SERV-47207 | 0.34% |
| JAH-23784 | 0.34% |
| HDS-44990 | 0.34% |
| NDAQ-27026 | 0.34% |
| TXN-7671 | 0.34% |
| PNR-6082 | 0.34% |
| CSX-1937 | 0.34% |
| SNA-6976 | 0.34% |
| MAA-10639 | 0.34% |
| EBAY-24819 | 0.34% |
| JCI-4117 | 0.34% |
| AON-438 | 0.34% |
| PRGO-6161 | 0.34% |
| RAI-20277 | 0.34% |
| AMTD-16586 | 0.34% |
| IVZ-16589 | 0.34% |
| PLD-24785 | 0.34% |
| LPI-42263 | 0.34% |
| GOOG_L-26578 | 0.34% |
| ACN-25555 | 0.34% |
| MS-17080 | 0.34% |
| NKE-5328 | 0.34% |
| NCR-16389 | 0.34% |
| MCHP-8677 | 0.34% |
| CMCS_A-1637 | 0.34% |
| SE-33030 | 0.34% |
| MON-22140 | 0.34% |
| MSFT-5061 | 0.34% |
| KAR-39063 | 0.34% |
| ODP-5583 | 0.34% |
| MA-32146 | 0.34% |
| THS-27406 | 0.34% |
| FDC-49496 | 0.34% |
| TTWO-16820 | 0.34% |
| NTAP-13905 | 0.34% |
| ETFC-15474 | 0.34% |
| CHRW-17632 | 0.34% |
| PTC-6064 | 0.34% |
| MMC-4914 | 0.34% |
| BMY-980 | 0.34% |
| DRE-2293 | 0.34% |
| MTB-5117 | 0.34% |
| FBHS-41928 | 0.34% |
| COO-1769 | 0.34% |
| DOV-2262 | 0.34% |
| DGX-16348 | 0.34% |
| DLTR-12652 | 0.34% |
| STZ-24873 | 0.34% |
| CTAS-1941 | 0.34% |
| AMAT-337 | 0.34% |
| CRI-25576 | 0.34% |
| CNP-24064 | 0.34% |
| PSA-24962 | 0.34% |
| RHT-20541 | 0.34% |
| TTD-50288 | 0.34% |
| VNTV-42699 | 0.34% |
| WY-8326 | 0.34% |
| GRA-3328 | 0.34% |
| AMBA-43495 | 0.34% |
| HSIC-13862 | 0.34% |
| DVN-2368 | 0.34% |
| IQV-44692 | 0.34% |
| AMT-24760 | 0.34% |
| EL-13841 | 0.34% |
| ALV-16838 | 0.34% |
| MGA-4823 | 0.34% |
| WEC-8140 | 0.34% |
| MCK-12350 | 0.34% |
| IP-3971 | 0.34% |
| CGNX-1460 | 0.34% |
| SIVB-6897 | 0.34% |
| MCO-22139 | 0.34% |
| ZION-8399 | 0.34% |
| COST-1787 | 0.34% |
| CE-26960 | 0.34% |
| RMD-13089 | 0.34% |
| ULTI-19008 | 0.34% |
| AN-410 | 0.34% |
| ECL-2427 | 0.34% |
| HOT-3642 | 0.34% |
| ED-2434 | 0.34% |
| KGC-9189 | 0.34% |
| DPZ-26466 | 0.34% |
| TEL-34014 | 0.34% |
| V-35920 | 0.34% |
| VFC-7949 | 0.34% |
| VER-41872 | 0.34% |
| AAPL-24 | 0.34% |
| PYPL-49242 | 0.34% |
| SLH-33841 | 0.34% |
| JBHT-4108 | 0.34% |
| ESRX-2618 | 0.34% |
| BAX-734 | 0.34% |
| CLX-1616 | 0.34% |
| SBAC-20281 | 0.34% |
| UNM-7797 | 0.34% |
| PX-6272 | 0.34% |
| NUAN-19926 | 0.34% |
| VAR-7904 | 0.34% |
| MRK-5029 | 0.34% |
| CCL-24692 | 0.34% |
| ESS-11465 | 0.34% |
| EMN-10594 | 0.34% |
| BRX-45755 | 0.34% |
| CAM-13176 | 0.34% |
| TMO-7493 | 0.34% |
| ROST-6546 | 0.34% |
| DPS-36118 | 0.34% |
| SPN-14141 | 0.34% |
| RJF-6482 | 0.34% |
| ADS-22747 | 0.34% |
| XYL-42023 | 0.34% |
| LEA-38921 | 0.34% |
| BLL-939 | 0.34% |
| SIRI-11901 | 0.34% |
| DRI-12882 | 0.34% |
| WMT-8229 | 0.34% |
| CDNS-1385 | 0.34% |
| MCD-4707 | 0.34% |
| DD-2119 | 0.34% |
| A-24757 | 0.34% |
| EFX-2465 | 0.34% |
| GGP-8817 | 0.34% |
| CDE-1374 | 0.34% |
| EXP-11120 | 0.34% |
| MDLZ-22802 | 0.34% |
| MSI-4974 | 0.34% |
| HRS-3676 | 0.34% |
| SABR-46776 | 0.34% |
| DOW-2263 | 0.34% |
| SBH-32866 | 0.34% |
| VTR-18821 | 0.34% |
| LLY-4487 | 0.34% |
| IAC-26470 | 0.34% |
| ABT-62 | 0.34% |
| MSCI-35078 | 0.34% |
| EXPD-2663 | 0.34% |
| EMC-2518 | 0.34% |
| MTN-24799 | 0.34% |
| MAN-4654 | 0.34% |
| KNX-12067 | 0.34% |
| MD-13557 | 0.34% |
| UNH-7792 | 0.34% |
| PH-5956 | 0.34% |
| SBUX-6683 | 0.34% |
| GRMN-22316 | 0.34% |
| EXC-22114 | 0.34% |
| GXP-23126 | 0.34% |
| VNO-8014 | 0.34% |
| XEC-24125 | 0.34% |
| TROW-7590 | 0.34% |
| BDX-794 | 0.34% |
| VRSN-18221 | 0.34% |
| CCI-19258 | 0.34% |
| MTD-17895 | 0.34% |
| YUM-17787 | 0.34% |
| DHR-2170 | 0.34% |
| ICE-27809 | 0.34% |
| FDX-2765 | 0.34% |
| AIG-239 | 0.34% |
| SWK-7242 | 0.34% |
| SYY-7285 | 0.34% |
| VC-40159 | 0.34% |
| CHD-1482 | 0.34% |
| PFE-5923 | 0.34% |
| APD-460 | 0.34% |
| AZO-693 | 0.34% |
| STI-7152 | 0.34% |
| LYV-27943 | 0.34% |
| O-12087 | 0.34% |
| AMGN-368 | 0.34% |
| FWON_K-47272 | 0.34% |
| CAH-1376 | 0.34% |
| TSN-7684 | 0.34% |
| ROK-6536 | 0.34% |
| CTSH-18870 | 0.34% |
| PPL-6119 | 0.34% |
| SJM-21935 | 0.34% |
| LOGM-38560 | 0.34% |
| AOS-6949 | 0.34% |
| BRK_B-11100 | 0.34% |
| CUBE-26733 | 0.34% |
| MO-4954 | 0.34% |
| DVA-22110 | 0.34% |
| ZTS-44060 | 0.34% |
| FIVE-43201 | 0.34% |
| AVY-663 | 0.34% |
| ARMK-45992 | 0.34% |
| OLED-14774 | 0.34% |
| CAG-1228 | 0.34% |
| LMT-12691 | 0.34% |
| PBCT-5769 | 0.34% |
| UNP-7800 | 0.34% |
| NUVA-26291 | 0.34% |
| VZ-21839 | 0.34% |
| IPG-3990 | 0.34% |
| NOC-5387 | 0.34% |
| TER-7401 | 0.34% |
| BXP-17009 | 0.34% |
| BF_B-822 | 0.34% |
| HD-3496 | 0.34% |
| LM-4488 | 0.34% |
| WAT-13962 | 0.34% |
| AME-353 | 0.34% |
| IR-4010 | 0.34% |
| GPK-25429 | 0.34% |
| DIS-2190 | 0.34% |
| FE-17850 | 0.34% |
| ITC-27492 | 0.34% |
| WBC-34226 | 0.34% |
| LOW-4521 | 0.34% |
| SRCL-15581 | 0.34% |
| CHKP-15101 | 0.34% |
| HRB-3660 | 0.34% |
| ASH-559 | 0.34% |
| FISV-2853 | 0.34% |
| UPS-20940 | 0.34% |
| PRXL-13918 | 0.34% |
| EMR-2530 | 0.34% |
| USB-25010 | 0.34% |
| UDR-7715 | 0.34% |
| D-2071 | 0.34% |
| K-4192 | 0.34% |
| BIG-22657 | 0.34% |
| OMC-5651 | 0.34% |
| CA-1209 | 0.34% |
| INGR-18142 | 0.34% |
| CB-8580 | 0.34% |
| ALSN-42637 | 0.34% |
| KMB-4263 | 0.34% |
| ITW-4080 | 0.34% |
| IBM-3766 | 0.34% |
| HON-25090 | 0.34% |
| DVMT-50242 | 0.34% |
| PPG-6116 | 0.34% |
| GIS-3214 | 0.34% |
| MMM-4922 | 0.34% |
| INTU-8655 | 0.34% |
| RTN-6583 | 0.34% |
| HSY-3695 | 0.34% |
| IFF-3822 | 0.34% |
| SIX-39612 | 0.34% |
| CFR-1427 | 0.34% |
| GD-3136 | 0.34% |
| T-6653 | 0.34% |
| EQR-9540 | 0.34% |
| PAYX-5767 | 0.34% |
| KHC-49229 | 0.34% |
| APH-465 | 0.34% |
| ETN-2633 | 0.34% |
| AXP-679 | 0.34% |
| DTE-2330 | 0.34% |
| LLL-18738 | 0.34% |
| OSK-5719 | 0.34% |
| SAFM-6624 | 0.34% |
| CAA-7050 | 0.34% |
| CCE-1332 | 0.34% |
| BMR-26548 | 0.34% |
| SRE-24778 | 0.34% |
| FRC-40573 | 0.34% |
| LH-12909 | 0.34% |
| NYCB-22250 | 0.34% |
| WM-19181 | 0.34% |
| CBOE-39773 | 0.34% |
| LDOS-32714 | 0.34% |
| CBI-1287 | 0.34% |
| HII-41111 | 0.34% |
| NI-5310 | 0.34% |
| TJX-7457 | 0.34% |
| LBRD_K-48010 | 0.34% |
| PEG-5862 | 0.34% |
| BBT-16850 | 0.34% |
| NTRS-5479 | 0.34% |
| YUMC-50392 | 0.34% |
| WCN-18822 | 0.34% |
| SYK-7178 | 0.34% |
| JNJ-4151 | 0.34% |
| BAP-13612 | 0.34% |
| NRZ-44647 | 0.34% |
| IRM-14388 | 0.34% |
| TRV-7041 | 0.34% |
| CVC-2000 | 0.34% |
| ALKS-301 | 0.34% |
| PNC-6068 | 0.34% |
| AFL-185 | 0.34% |
| MKC-4705 | 0.34% |
| GLW-3241 | 0.34% |
| ALL-24838 | 0.34% |
| AEE-24783 | 0.34% |
| VRSK-38817 | 0.34% |
| PDCO-26437 | 0.34% |
| ORCL-5692 | 0.34% |
| PNW-6090 | 0.34% |
| XEL-21964 | 0.34% |
| CPGX-49141 | 0.34% |
| TDC-34661 | 0.34% |
| GDDY-48863 | 0.34% |
| PEP-5885 | 0.34% |
| DUK-2351 | 0.34% |
| BCR-779 | 0.34% |
| PF-44375 | 0.34% |
| KO-4283 | 0.34% |
| MSM-5066 | 0.34% |
| CMS-1665 | 0.34% |
| LKQ-25598 | 0.34% |
| RSG-19147 | 0.34% |
| FIS-22876 | 0.34% |
| NEE-2968 | 0.34% |
| VAL-7895 | 0.34% |
| REG-10027 | 0.34% |
| PM-35902 | 0.34% |
| PCL-5813 | 0.34% |
| TWC-33133 | 0.34% |
| CASY-1266 | 0.34% |
| HIG-14064 | 0.34% |
| BRCM-18529 | 0.34% |
| AWK-36098 | 0.34% |
| GAS-595 | 0.34% |
| NOW-43127 | 0.34% |
| IM-16022 | 0.34% |
| KBH-4199 | 0.34% |
| FTV-50049 | 0.34% |
| JLL-19898 | 0.34% |
| ROP-6543 | 0.34% |
| AJG-266 | 0.34% |
| MSCC-5053 | 0.34% |
| ARE-16843 | 0.34% |
| BMRN-20330 | 0.34% |
| PG-5938 | 0.34% |
| FRT-3010 | 0.34% |
| GMCR-9736 | 0.34% |
| ES-5484 | 0.34% |
| IT-9930 | 0.34% |
| SO-7011 | 0.34% |
| HTA-43032 | 0.34% |
| FDS-15129 | 0.34% |
| WCG-26440 | 0.34% |
| LII-24767 | 0.34% |
| TGNA-3128 | 0.34% |
| AEP-161 | 0.34% |
| AMH-45197 | 0.34% |
| WR-8265 | 0.34% |
| NNN-5376 | 0.34% |
| JEC-4120 | 0.34% |
| ACIA-33321 | 0.34% |
| DWA-26750 | 0.34% |
| TE-7369 | 0.34% |
| IPGP-33033 | 0.34% |
| USFD-50003 | 0.34% |
| SNPS-6994 | 0.34% |
| PMCS-17098 | 0.34% |
| CFX-36176 | 0.34% |
| ANSS-15071 | 0.34% |
| CBRL-1308 | 0.34% |
| WLK-26563 | 0.34% |
| ARG-510 | 0.34% |
| ADT-43399 | 0.34% |
| LSI-24823 | 0.34% |
| L-4569 | 0.34% |
| QLIK-39921 | 0.34% |
| WCN-38453 | 0.34% |
| CB-1274 | 0.34% |
| BIVV-50595 | 0.34% |
| STR-7171 | 0.34% |
| ENH-24608 | 0.34% |
| PCP-5822 | 0.34% |
| ATML-607 | 0.34% |
| ISIL-21166 | 0.34% |
| ACC-26553 | 0.34% |
| FCS-20486 | 0.34% |
| SWI-38388 | 0.34% |
| DDS-2126 | 0.34% |
| BXLT-49209 | 0.34% |
| ZLTQ-42037 | 0.34% |
| FNF-47177 | 0.34% |
| TRCO-43872 | 0.34% |
| DRII-45112 | 0.34% |
| CACC-1216 | 0.34% |
| CPHD-21603 | 0.34% |
| KING-46610 | 0.34% |
| WOOF-23267 | 0.34% |
| AXLL-3189 | 0.34% |
| MENT-4794 | 0.34% |
| TRI-23825 | 0.34% |
| WBMD-27669 | 0.33% |
| MPW-27443 | 0.33% |
| CST-44508 | 0.33% |
| AWAY-41667 | 0.33% |
| ALLE-45874 | 0.33% |
| CPT-9348 | 0.33% |
| BEE-26410 | 0.33% |
| PVTB-20273 | 0.33% |
| OA-600 | 0.33% |
| CYT-10590 | 0.33% |
| FNFG-24551 | 0.33% |
| SWC-12362 | 0.33% |
| CNL-1703 | 0.33% |
| ALTR-328 | 0.33% |
| SCCO-14284 | 0.33% |
| TERP-47334 | 0.32% |
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 5.59% |
| Annualized Common Return | 0.32% |
| Annualized Total Return | 5.93% |
| Specific Sharpe Ratio | 2.03 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.00 | -0.04% | -0.07% |
| consumer_cyclical | -0.00 | -0.13% | -0.26% |
| financial_services | -0.00 | -0.21% | -0.42% |
| real_estate | 0.00 | 0.03% | 0.05% |
| consumer_defensive | 0.00 | 0.05% | 0.10% |
| health_care | -0.01 | 0.10% | 0.21% |
| utilities | 0.00 | 0.01% | 0.03% |
| communication_services | -0.00 | -0.01% | -0.02% |
| energy | 0.00 | 0.08% | 0.16% |
| industrials | -0.00 | -0.06% | -0.11% |
| technology | -0.01 | -0.16% | -0.31% |
| momentum | 0.01 | 0.13% | 0.25% |
| size | -0.19 | 0.37% | 0.74% |
| value | 0.03 | -0.03% | -0.06% |
| short_term_reversal | 0.04 | 0.06% | 0.13% |
| volatility | -0.02 | 0.12% | 0.23% |
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 5.59% |
| Annualized Common Return | 0.32% |
| Annualized Total Return | 5.93% |
| Specific Sharpe Ratio | 2.03 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.00 | -0.04% | -0.07% |
| consumer_cyclical | -0.00 | -0.13% | -0.26% |
| financial_services | -0.00 | -0.21% | -0.42% |
| real_estate | 0.00 | 0.03% | 0.05% |
| consumer_defensive | 0.00 | 0.05% | 0.10% |
| health_care | -0.01 | 0.10% | 0.21% |
| utilities | 0.00 | 0.01% | 0.03% |
| communication_services | -0.00 | -0.01% | -0.02% |
| energy | 0.00 | 0.08% | 0.16% |
| industrials | -0.00 | -0.06% | -0.11% |
| technology | -0.01 | -0.16% | -0.31% |
| momentum | 0.01 | 0.13% | 0.25% |
| size | -0.19 | 0.37% | 0.74% |
| value | 0.03 | -0.03% | -0.06% |
| short_term_reversal | 0.04 | 0.06% | 0.13% |
| volatility | -0.02 | 0.12% | 0.23% |