Run the cell below to create your tear sheet, or return to your algorithm.
In [1]:
bt = get_backtest('5a3d743660c39f41001d7057')
bt.create_full_tear_sheet()
100% Time: 0:02:58|###########################################################|
| Start date | 2016-12-22 |
|---|---|
| End date | 2017-12-21 |
| Total months | 12 |
| Backtest | |
| Annual return | 130.2% |
| Cumulative returns | 130.2% |
| Annual volatility | 6.5% |
| Sharpe ratio | 12.97 |
| Calmar ratio | 215.04 |
| Stability | 1.00 |
| Max drawdown | -0.6% |
| Omega ratio | 10.16 |
| Sortino ratio | 50.40 |
| Skew | 0.51 |
| Kurtosis | 0.17 |
| Tail ratio | 4.22 |
| Daily value at risk | -0.5% |
| Gross leverage | 0.97 |
| Daily turnover | 170.2% |
| Alpha | 0.85 |
| Beta | -0.05 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 0.61 | 2017-07-12 | 2017-07-19 | 2017-07-21 | 8 |
| 1 | 0.55 | 2017-11-06 | 2017-11-07 | 2017-11-08 | 3 |
| 2 | 0.55 | 2017-03-15 | 2017-03-16 | 2017-03-17 | 3 |
| 3 | 0.51 | 2017-08-04 | 2017-08-07 | 2017-08-08 | 3 |
| 4 | 0.46 | 2017-03-10 | 2017-03-13 | 2017-03-14 | 3 |
| Stress Events | mean | min | max |
|---|---|---|---|
| New Normal | 0.33% | -0.55% | 1.69% |
| Top 10 long positions of all time | max |
|---|---|
| PBYI-42689 | 6.45% |
| WFM-8158 | 6.37% |
| KITE-47169 | 6.18% |
| HTZ-50070 | 6.06% |
| BIO-879 | 5.96% |
| WNC-8233 | 5.70% |
| ZEN-46918 | 5.57% |
| IGT-48892 | 5.57% |
| AET-168 | 5.56% |
| TDC-34661 | 5.53% |
| Top 10 short positions of all time | max |
|---|---|
| ARNC-2 | -5.40% |
| PTEN-10254 | -5.35% |
| PRGO-6161 | -5.27% |
| FTR-2069 | -5.25% |
| NCR-16389 | -5.22% |
| JCP-4118 | -5.20% |
| JBHT-4108 | -5.17% |
| LEA-38921 | -5.13% |
| DEI-32770 | -5.10% |
| WRK-49183 | -5.09% |
| Top 10 positions of all time | max |
|---|---|
| PBYI-42689 | 6.45% |
| WFM-8158 | 6.37% |
| KITE-47169 | 6.18% |
| HTZ-50070 | 6.06% |
| BIO-879 | 5.96% |
| WNC-8233 | 5.70% |
| ZEN-46918 | 5.57% |
| IGT-48892 | 5.57% |
| AET-168 | 5.56% |
| TDC-34661 | 5.53% |
| All positions ever held | max |
|---|---|
| PBYI-42689 | 6.45% |
| WFM-8158 | 6.37% |
| KITE-47169 | 6.18% |
| HTZ-50070 | 6.06% |
| BIO-879 | 5.96% |
| WNC-8233 | 5.70% |
| ZEN-46918 | 5.57% |
| IGT-48892 | 5.57% |
| AET-168 | 5.56% |
| TDC-34661 | 5.53% |
| LAD-16238 | 5.51% |
| GPI-24787 | 5.51% |
| SM-4664 | 5.51% |
| SLCA-42436 | 5.51% |
| GVA-3123 | 5.49% |
| WST-8291 | 5.49% |
| ALB-10898 | 5.45% |
| JEC-4120 | 5.45% |
| DO-13635 | 5.44% |
| AVY-663 | 5.43% |
| GGG-3190 | 5.42% |
| WCG-26440 | 5.41% |
| ARNC-2 | 5.40% |
| AWI-32690 | 5.40% |
| CRC-48073 | 5.39% |
| XPO-26287 | 5.39% |
| ADS-22747 | 5.38% |
| LB-4564 | 5.38% |
| RMD-13089 | 5.36% |
| AJRD-3424 | 5.36% |
| SCI-7110 | 5.35% |
| PTEN-10254 | 5.35% |
| NVR-5513 | 5.35% |
| STNG-39422 | 5.35% |
| BYD-9888 | 5.33% |
| FLIR-9156 | 5.33% |
| DYN-43462 | 5.32% |
| WMGI-40816 | 5.32% |
| BKD-27830 | 5.32% |
| OMF-45670 | 5.31% |
| MTOR-21723 | 5.31% |
| BTU-50749 | 5.31% |
| GPN-22443 | 5.31% |
| DDR-8468 | 5.30% |
| VSTO-48531 | 5.30% |
| IEX-3816 | 5.30% |
| WAT-13962 | 5.30% |
| HFC-3620 | 5.30% |
| MBI-4684 | 5.30% |
| YUM-17787 | 5.29% |
| EAT-2404 | 5.29% |
| H-38909 | 5.28% |
| CTL-1960 | 5.28% |
| SEAS-44541 | 5.28% |
| PRGO-6161 | 5.27% |
| LPI-42263 | 5.27% |
| RGA-9037 | 5.27% |
| BAP-13612 | 5.27% |
| STE-7173 | 5.26% |
| ORI-5696 | 5.26% |
| MTZ-4667 | 5.26% |
| FTR-2069 | 5.25% |
| FDS-15129 | 5.25% |
| QEP-39778 | 5.25% |
| THC-5343 | 5.25% |
| TRU-49176 | 5.25% |
| EXP-11120 | 5.25% |
| LEA-38921 | 5.25% |
| NRG-26143 | 5.25% |
| UNVR-49138 | 5.24% |
| WLL-25707 | 5.24% |
| WWW-8321 | 5.24% |
| WCC-20163 | 5.24% |
| TXMD-28966 | 5.24% |
| REN-34800 | 5.23% |
| AR-45618 | 5.23% |
| GRA-3328 | 5.23% |
| WAL-27421 | 5.22% |
| K-4192 | 5.22% |
| SIX-39612 | 5.22% |
| NCR-16389 | 5.22% |
| CLF-1595 | 5.22% |
| AA-50428 | 5.21% |
| SNAP-50683 | 5.21% |
| CTLT-47414 | 5.21% |
| CHK-8461 | 5.21% |
| UNP-7800 | 5.21% |
| WFT-19336 | 5.21% |
| NVRO-48025 | 5.21% |
| DBD-2100 | 5.21% |
| CMP-25728 | 5.20% |
| OI-5626 | 5.20% |
| NOMD-47572 | 5.20% |
| JCP-4118 | 5.20% |
| YUMC-50392 | 5.20% |
| W-47833 | 5.20% |
| WSM-8284 | 5.20% |
| FMSA-47848 | 5.20% |
| AXL-19672 | 5.19% |
| ARCH-50357 | 5.19% |
| CAR-17991 | 5.19% |
| KMT-4271 | 5.19% |
| AAN-523 | 5.18% |
| TGNA-3128 | 5.18% |
| DIN-3846 | 5.18% |
| CAG-1228 | 5.18% |
| SUM-48746 | 5.18% |
| CRI-25576 | 5.18% |
| APD-460 | 5.18% |
| URI-18113 | 5.18% |
| MIDD-4695 | 5.18% |
| ROP-6543 | 5.18% |
| SWX-7253 | 5.18% |
| TGI-15905 | 5.18% |
| VSAT-16307 | 5.18% |
| BAX-734 | 5.18% |
| DKS-24070 | 5.17% |
| JBHT-4108 | 5.17% |
| WTW-23269 | 5.17% |
| SRCI-35051 | 5.17% |
| APTV-42173 | 5.17% |
| OPK-23120 | 5.17% |
| RH-43599 | 5.17% |
| GDDY-48863 | 5.17% |
| IPG-3990 | 5.17% |
| FMC-2893 | 5.17% |
| JLL-19898 | 5.17% |
| SQ-49610 | 5.16% |
| MSM-5066 | 5.16% |
| RDN-20276 | 5.16% |
| HUBB-3714 | 5.16% |
| AMP-27676 | 5.16% |
| CXO-34440 | 5.16% |
| MHK-4963 | 5.16% |
| ROK-6536 | 5.16% |
| JWN-5382 | 5.16% |
| PK-50535 | 5.16% |
| ALK-300 | 5.16% |
| EPAM-42463 | 5.16% |
| GATX-3266 | 5.15% |
| AYI-23276 | 5.15% |
| VMI-7897 | 5.15% |
| ALL-24838 | 5.15% |
| MRO-5035 | 5.15% |
| STZ-24873 | 5.15% |
| COL-22880 | 5.15% |
| DNB-2237 | 5.15% |
| DY-2385 | 5.15% |
| OSK-5719 | 5.15% |
| SUI-10535 | 5.15% |
| TRN-7583 | 5.15% |
| FRC-40573 | 5.15% |
| BHGE-51012 | 5.15% |
| JBL-8831 | 5.14% |
| CNX-24758 | 5.14% |
| VMC-7998 | 5.14% |
| R-6326 | 5.14% |
| ALSN-42637 | 5.14% |
| SYF-47415 | 5.14% |
| VST-50860 | 5.14% |
| IFF-3822 | 5.14% |
| HPE-49506 | 5.14% |
| VEEV-45667 | 5.14% |
| GBX-11645 | 5.14% |
| GWW-3421 | 5.14% |
| NXST-25679 | 5.14% |
| DRI-12882 | 5.13% |
| UPS-20940 | 5.13% |
| PII-6992 | 5.13% |
| SCG-6701 | 5.13% |
| EVHC-50499 | 5.13% |
| BERY-43476 | 5.13% |
| BG-22959 | 5.13% |
| HAIN-10649 | 5.13% |
| CMG-28016 | 5.13% |
| DVN-2368 | 5.13% |
| DF-24814 | 5.13% |
| AEO-11086 | 5.13% |
| RJF-6482 | 5.13% |
| IRM-14388 | 5.13% |
| TKR-7467 | 5.13% |
| AZO-693 | 5.13% |
| CNDT-50533 | 5.12% |
| MOS-41462 | 5.12% |
| CF-27558 | 5.12% |
| VER-41872 | 5.12% |
| SWK-7242 | 5.12% |
| HRB-3660 | 5.12% |
| UHS-7749 | 5.12% |
| ANTM-23103 | 5.12% |
| DNR-15789 | 5.12% |
| VNO-8014 | 5.12% |
| CMI-1985 | 5.12% |
| SNA-6976 | 5.12% |
| PANW-43202 | 5.12% |
| KIM-4238 | 5.12% |
| FDX-2765 | 5.12% |
| MCO-22139 | 5.11% |
| TOL-7530 | 5.11% |
| BLK-20689 | 5.11% |
| OA-600 | 5.11% |
| FNB-2701 | 5.11% |
| APA-448 | 5.11% |
| MCK-12350 | 5.11% |
| GWR-15139 | 5.11% |
| OC-32608 | 5.11% |
| DVA-22110 | 5.11% |
| TROX-40530 | 5.11% |
| HCA-41047 | 5.11% |
| RBC-6352 | 5.11% |
| SBH-32866 | 5.11% |
| THS-27406 | 5.11% |
| MLM-10796 | 5.11% |
| FFIV-20208 | 5.11% |
| RS-11955 | 5.11% |
| BHI-858 | 5.11% |
| TIF-7447 | 5.11% |
| XEC-24125 | 5.11% |
| MMS-24794 | 5.11% |
| HII-41111 | 5.11% |
| TEX-7408 | 5.11% |
| HPQ-3735 | 5.11% |
| LDOS-32714 | 5.11% |
| KSU-4315 | 5.11% |
| STOR-48103 | 5.11% |
| BCO-24884 | 5.11% |
| HUM-3718 | 5.10% |
| UDR-7715 | 5.10% |
| LYV-27943 | 5.10% |
| VVV-50325 | 5.10% |
| NOW-43127 | 5.10% |
| ANF-15622 | 5.10% |
| MIC-26898 | 5.10% |
| XL-8340 | 5.10% |
| WHR-8178 | 5.10% |
| MTD-17895 | 5.10% |
| SYK-7178 | 5.10% |
| IVZ-16589 | 5.10% |
| IQV-44692 | 5.10% |
| HBI-32497 | 5.10% |
| KMX-16511 | 5.10% |
| MOH-25349 | 5.10% |
| ADNT-50390 | 5.10% |
| FDC-49496 | 5.10% |
| TFX-7414 | 5.10% |
| FCX-13197 | 5.10% |
| IP-3971 | 5.10% |
| DEI-32770 | 5.10% |
| FLT-40597 | 5.10% |
| HPP-39816 | 5.10% |
| SEE-6769 | 5.10% |
| WBS-8119 | 5.10% |
| RL-24832 | 5.09% |
| WRK-49183 | 5.09% |
| KR-4297 | 5.09% |
| DAN-35359 | 5.09% |
| AXTA-48065 | 5.09% |
| EQT-2587 | 5.09% |
| TAP-76 | 5.09% |
| LII-24767 | 5.09% |
| NFLX-23709 | 5.09% |
| KEX-4220 | 5.09% |
| ATI-24840 | 5.09% |
| TER-7401 | 5.09% |
| LBTY_A-27357 | 5.09% |
| ACN-25555 | 5.09% |
| AKS-10897 | 5.09% |
| GGP-8817 | 5.09% |
| WYN-32393 | 5.09% |
| APC-455 | 5.09% |
| NEM-5261 | 5.09% |
| GPS-3321 | 5.08% |
| IR-4010 | 5.08% |
| NYRT-46760 | 5.08% |
| TPR-22099 | 5.08% |
| PBF-43713 | 5.08% |
| ASH-559 | 5.08% |
| TDG-28161 | 5.08% |
| AMC-46027 | 5.08% |
| SPLK-42815 | 5.08% |
| MD-13557 | 5.08% |
| GLW-3241 | 5.08% |
| CLB-13508 | 5.08% |
| RSPP-46182 | 5.08% |
| TSS-7616 | 5.08% |
| PHM-5969 | 5.08% |
| AIV-11598 | 5.08% |
| WMB-8214 | 5.08% |
| HLF-26892 | 5.08% |
| ENS-26530 | 5.08% |
| KNX-40606 | 5.08% |
| WR-8265 | 5.08% |
| POST-42407 | 5.08% |
| BURL-45558 | 5.08% |
| OHI-5621 | 5.08% |
| NSC-5442 | 5.08% |
| CUBE-26733 | 5.08% |
| ACM-33831 | 5.08% |
| ANDV-7612 | 5.08% |
| AGCO-197 | 5.08% |
| CFR-1427 | 5.08% |
| SEMG-39358 | 5.08% |
| HD-3496 | 5.08% |
| PE-46989 | 5.08% |
| SLB-6928 | 5.08% |
| HUN-27030 | 5.07% |
| D-2071 | 5.07% |
| ENR-49213 | 5.07% |
| UAA-27822 | 5.07% |
| TREX-20028 | 5.07% |
| PWR-6269 | 5.07% |
| ECL-2427 | 5.07% |
| ESV-2621 | 5.07% |
| AMG-17800 | 5.07% |
| RES-6426 | 5.07% |
| SKT-9052 | 5.07% |
| NFX-10231 | 5.07% |
| GPK-25429 | 5.07% |
| PX-6272 | 5.07% |
| MMM-4922 | 5.07% |
| REG-10027 | 5.07% |
| ARE-16843 | 5.07% |
| LSI-24823 | 5.07% |
| MYGN-13698 | 5.07% |
| C-1335 | 5.07% |
| SITE-49959 | 5.07% |
| MA-32146 | 5.07% |
| GME-23438 | 5.07% |
| CE-26960 | 5.07% |
| FTV-50049 | 5.07% |
| ELS-8516 | 5.07% |
| DIS-2190 | 5.06% |
| ADM-128 | 5.06% |
| GIS-3214 | 5.06% |
| DRE-2293 | 5.06% |
| PH-5956 | 5.06% |
| FLO-2876 | 5.06% |
| KORS-42270 | 5.06% |
| SPN-14141 | 5.06% |
| AER-32916 | 5.06% |
| CSCO-1900 | 5.06% |
| KATE-4479 | 5.06% |
| HON-25090 | 5.06% |
| PB-19509 | 5.06% |
| ZTS-44060 | 5.06% |
| TSE-47098 | 5.06% |
| ATUS-50970 | 5.06% |
| TJX-7457 | 5.06% |
| COG-1746 | 5.06% |
| TRV-7041 | 5.06% |
| NWL-5520 | 5.06% |
| TVPT-47788 | 5.06% |
| AIG-239 | 5.06% |
| CMA-1620 | 5.06% |
| INVH-50642 | 5.06% |
| PGR-5950 | 5.06% |
| KBH-4199 | 5.06% |
| ABBV-43694 | 5.06% |
| ZBH-23047 | 5.06% |
| TSCO-10869 | 5.06% |
| LLY-4487 | 5.06% |
| WSO-8288 | 5.06% |
| FLS-17207 | 5.06% |
| XYL-42023 | 5.06% |
| LUV-4589 | 5.06% |
| LNG-22096 | 5.06% |
| RTN-6583 | 5.06% |
| LPX-4531 | 5.06% |
| RRC-19249 | 5.06% |
| GXP-23126 | 5.06% |
| LW-50430 | 5.06% |
| HLS-3661 | 5.05% |
| CB-8580 | 5.05% |
| DSW-27409 | 5.05% |
| HOG-3499 | 5.05% |
| FLEX-10953 | 5.05% |
| DOOR-45383 | 5.05% |
| LNT-18584 | 5.05% |
| LULU-34395 | 5.05% |
| STI-7152 | 5.05% |
| SYY-7285 | 5.05% |
| RGC-23722 | 5.05% |
| WDAY-43510 | 5.05% |
| EW-21382 | 5.05% |
| FRT-3010 | 5.05% |
| MTB-5117 | 5.05% |
| PSA-24962 | 5.05% |
| SPG-10528 | 5.05% |
| CLGX-2691 | 5.05% |
| NEE-2968 | 5.05% |
| MKC-4705 | 5.05% |
| HRS-3676 | 5.05% |
| BBT-16850 | 5.05% |
| SJM-21935 | 5.05% |
| OLN-5643 | 5.05% |
| SRE-24778 | 5.05% |
| DXC-50716 | 5.05% |
| CDNS-1385 | 5.05% |
| STAY-45848 | 5.05% |
| RLJ-41417 | 5.05% |
| BECN-26643 | 5.05% |
| SSTK-43494 | 5.05% |
| GES-24811 | 5.05% |
| NI-5310 | 5.05% |
| DOV-2262 | 5.05% |
| ESS-11465 | 5.05% |
| CIEN-16453 | 5.05% |
| CNC-23283 | 5.05% |
| NOC-5387 | 5.05% |
| BRK_B-11100 | 5.05% |
| PPG-6116 | 5.05% |
| SPGI-4849 | 5.05% |
| GWRE-42402 | 5.05% |
| DOC-45113 | 5.05% |
| NRZ-44647 | 5.05% |
| RLGY-43500 | 5.05% |
| MSFT-5061 | 5.04% |
| COF-12160 | 5.04% |
| USG-7844 | 5.04% |
| HIG-14064 | 5.04% |
| EMN-10594 | 5.04% |
| TSN-7684 | 5.04% |
| ETR-2637 | 5.04% |
| WLK-26563 | 5.04% |
| OCLR-21366 | 5.04% |
| CNP-24064 | 5.04% |
| CUDA-45797 | 5.04% |
| LPLA-40445 | 5.04% |
| SHW-6868 | 5.04% |
| MTN-24799 | 5.04% |
| PCG-5792 | 5.04% |
| PSX-42788 | 5.04% |
| BC-755 | 5.04% |
| WU-32603 | 5.04% |
| CBS-7962 | 5.04% |
| EQR-9540 | 5.04% |
| ARMK-45992 | 5.04% |
| CYH-21608 | 5.04% |
| DD-2119 | 5.04% |
| EBAY-24819 | 5.04% |
| CLDR-50810 | 5.04% |
| ICE-27809 | 5.04% |
| ABC-22954 | 5.04% |
| CCI-19258 | 5.04% |
| DDD-12959 | 5.04% |
| ALLE-45874 | 5.04% |
| ANET-47063 | 5.04% |
| CCL-24692 | 5.04% |
| ITW-4080 | 5.04% |
| EMR-2530 | 5.04% |
| VMW-34545 | 5.04% |
| PCAR-5787 | 5.04% |
| AEP-161 | 5.03% |
| INTU-8655 | 5.03% |
| MO-4954 | 5.03% |
| FIT-49139 | 5.03% |
| UAL-28051 | 5.03% |
| ALXN-14328 | 5.03% |
| FE-17850 | 5.03% |
| UTHR-20306 | 5.03% |
| CL-1582 | 5.03% |
| A-24757 | 5.03% |
| HRL-3668 | 5.03% |
| PNC-6068 | 5.03% |
| SBAC-20281 | 5.03% |
| VLO-7990 | 5.03% |
| XOM-8347 | 5.03% |
| EXPE-27543 | 5.03% |
| ROST-6546 | 5.03% |
| SWC-12362 | 5.03% |
| DFS-34011 | 5.03% |
| AAPL-24 | 5.03% |
| STX-24518 | 5.03% |
| DHI-2298 | 5.03% |
| CMC-1636 | 5.03% |
| EXR-26566 | 5.03% |
| SRC-43414 | 5.03% |
| PG-5938 | 5.03% |
| LOW-4521 | 5.03% |
| BCR-779 | 5.03% |
| LNC-4498 | 5.03% |
| KMB-4263 | 5.03% |
| EIX-14372 | 5.03% |
| EFX-2465 | 5.03% |
| JAZZ-33959 | 5.03% |
| MRK-5029 | 5.03% |
| SO-7011 | 5.03% |
| PFE-5923 | 5.03% |
| APH-465 | 5.03% |
| TGT-21090 | 5.03% |
| KEY-4221 | 5.03% |
| UGI-7739 | 5.03% |
| NLY-17702 | 5.03% |
| MAS-4665 | 5.02% |
| AVP-660 | 5.02% |
| SFR-46205 | 5.02% |
| NBR-5214 | 5.02% |
| WAB-13135 | 5.02% |
| ZAYO-47912 | 5.02% |
| TMO-7493 | 5.02% |
| MAC-10984 | 5.02% |
| WMT-8229 | 5.02% |
| VFC-7949 | 5.02% |
| PPL-6119 | 5.02% |
| LYB-39546 | 5.02% |
| ES-5484 | 5.02% |
| TPX-25802 | 5.02% |
| HLT-45993 | 5.02% |
| DATA-44747 | 5.02% |
| MON-22140 | 5.02% |
| CNK-33716 | 5.02% |
| BGS-33892 | 5.02% |
| AES-166 | 5.02% |
| UNH-7792 | 5.02% |
| JNJ-4151 | 5.02% |
| CPA-27908 | 5.02% |
| AAP-23175 | 5.02% |
| ETN-2633 | 5.02% |
| FNF-47177 | 5.02% |
| BXP-17009 | 5.02% |
| CIM-35081 | 5.02% |
| CHD-1482 | 5.02% |
| BWLD-25642 | 5.01% |
| KSS-4313 | 5.01% |
| LMT-12691 | 5.01% |
| M-2754 | 5.01% |
| CRM-26401 | 5.01% |
| ENH-24608 | 5.01% |
| CSGP-20475 | 5.01% |
| BDX-794 | 5.01% |
| CBG-26367 | 5.01% |
| MGM-4831 | 5.01% |
| DVMT-50242 | 5.01% |
| PNW-6090 | 5.01% |
| PNR-6082 | 5.01% |
| CAH-1376 | 5.01% |
| LH-12909 | 5.01% |
| QCOM-6295 | 5.01% |
| GT-3384 | 5.01% |
| MCD-4707 | 5.01% |
| OXY-5729 | 5.01% |
| TWTR-45815 | 5.01% |
| HCN-3488 | 5.01% |
| BR-33562 | 5.01% |
| GIMO-44892 | 5.01% |
| SLG-17448 | 5.01% |
| DLR-26758 | 5.01% |
| CERN-1419 | 5.01% |
| PF-44375 | 5.01% |
| ASGN-557 | 5.01% |
| CAB-26412 | 5.01% |
| SNX-25697 | 5.00% |
| AEE-24783 | 5.00% |
| DLTR-12652 | 5.00% |
| SPB-38708 | 5.00% |
| HST-9947 | 5.00% |
| ABT-62 | 5.00% |
| FBHS-41928 | 5.00% |
| CPT-9348 | 5.00% |
| PLD-24785 | 5.00% |
| HAR-3455 | 5.00% |
| FB-42950 | 5.00% |
| JCI-7679 | 5.00% |
| NFG-5284 | 5.00% |
| DE-2127 | 5.00% |
| NSR-27413 | 5.00% |
| CELG-1406 | 5.00% |
| BK-903 | 5.00% |
| PKG-20773 | 5.00% |
| CVX-23112 | 5.00% |
| MET-21418 | 5.00% |
| PXD-17436 | 5.00% |
| AFL-185 | 5.00% |
| WWAV-43572 | 5.00% |
| RIG-9038 | 5.00% |
| ESRX-2618 | 5.00% |
| CDK-47752 | 5.00% |
| VNTV-42699 | 5.00% |
| EPR-17847 | 5.00% |
| ARCC-26672 | 5.00% |
| IT-9930 | 4.99% |
| DG-38936 | 4.99% |
| HR-8965 | 4.99% |
| VAR-7904 | 4.99% |
| FIS-22876 | 4.99% |
| AXP-679 | 4.99% |
| NBL-5213 | 4.99% |
| G-34442 | 4.99% |
| TTWO-16820 | 4.99% |
| TIME-46965 | 4.99% |
| AMT-24760 | 4.99% |
| COR-40146 | 4.99% |
| WEC-8140 | 4.99% |
| AN-410 | 4.99% |
| MJN-38084 | 4.99% |
| TSRO-43124 | 4.99% |
| ALR-15575 | 4.99% |
| BAH-40420 | 4.99% |
| NOV-24809 | 4.99% |
| DUK-2351 | 4.99% |
| QRVO-48384 | 4.99% |
| BIIB-3806 | 4.99% |
| RSG-19147 | 4.99% |
| GOOG_L-26578 | 4.99% |
| NUVA-26291 | 4.99% |
| PLAY-47884 | 4.99% |
| PTHN-50143 | 4.99% |
| AKRX-270 | 4.99% |
| CLX-1616 | 4.99% |
| USFD-50003 | 4.99% |
| UTX-7883 | 4.99% |
| WBMD-27669 | 4.99% |
| DHR-2170 | 4.99% |
| HTA-43032 | 4.99% |
| NVDA-19725 | 4.99% |
| VTR-18821 | 4.99% |
| BA-698 | 4.99% |
| CBI-1287 | 4.99% |
| PVH-6257 | 4.99% |
| TEL-34014 | 4.99% |
| COMM-45734 | 4.99% |
| BOH-1023 | 4.99% |
| KNX-12067 | 4.99% |
| UNIT-48962 | 4.98% |
| PM-35902 | 4.98% |
| NDAQ-27026 | 4.98% |
| CAT-1267 | 4.98% |
| WYNN-24124 | 4.98% |
| TRIP-42230 | 4.98% |
| PEG-5862 | 4.98% |
| PEP-5885 | 4.98% |
| ARW-538 | 4.98% |
| HIW-11492 | 4.98% |
| BSX-1131 | 4.98% |
| CA-1209 | 4.98% |
| DWDP-51157 | 4.98% |
| RCL-8863 | 4.98% |
| ULTA-34953 | 4.98% |
| RAI-20277 | 4.98% |
| AVB-18834 | 4.98% |
| XLNX-8344 | 4.98% |
| CFG-47777 | 4.98% |
| CY-2043 | 4.97% |
| MSG-49458 | 4.97% |
| PGRE-48104 | 4.97% |
| RICE-46240 | 4.97% |
| GILD-3212 | 4.97% |
| VZ-21839 | 4.97% |
| SON-7028 | 4.97% |
| WOOF-23267 | 4.97% |
| SC-46215 | 4.97% |
| WLTW-22857 | 4.97% |
| FHN-26204 | 4.97% |
| CHS-8612 | 4.97% |
| CCE-1332 | 4.97% |
| DTE-2330 | 4.97% |
| EXPR-39626 | 4.97% |
| LLL-18738 | 4.97% |
| GRUB-46693 | 4.97% |
| THO-7433 | 4.97% |
| CHRW-17632 | 4.96% |
| TWLO-50077 | 4.96% |
| ELLI-41243 | 4.96% |
| S-2938 | 4.96% |
| XRX-8354 | 4.96% |
| BLUE-44935 | 4.96% |
| HP-3647 | 4.96% |
| TRGP-40547 | 4.96% |
| PLNT-49322 | 4.96% |
| AME-353 | 4.96% |
| MTG-5092 | 4.96% |
| CSRA-49630 | 4.96% |
| NLSN-40755 | 4.96% |
| CDE-1374 | 4.95% |
| ILMN-21774 | 4.95% |
| FISV-2853 | 4.95% |
| ORLY-8857 | 4.95% |
| AON-438 | 4.95% |
| AKAM-20680 | 4.95% |
| SCCO-14284 | 4.95% |
| WY-8326 | 4.95% |
| MXL-39393 | 4.95% |
| VRTX-8045 | 4.95% |
| CLNS-47230 | 4.95% |
| CC-49210 | 4.95% |
| ATGE-2371 | 4.95% |
| BBY-754 | 4.95% |
| NUAN-19926 | 4.95% |
| SRPT-16999 | 4.95% |
| SAM-24822 | 4.95% |
| CCK-1343 | 4.94% |
| BWXT-39885 | 4.94% |
| GPC-3306 | 4.94% |
| CPB-1795 | 4.94% |
| VWR-47831 | 4.94% |
| YELP-42596 | 4.94% |
| MNK-44917 | 4.94% |
| BDN-9096 | 4.94% |
| GPOR-28116 | 4.94% |
| HSIC-13862 | 4.94% |
| TWX-357 | 4.94% |
| RGLD-6455 | 4.94% |
| PKI-20774 | 4.94% |
| ANSS-15071 | 4.94% |
| RF-34913 | 4.93% |
| PEN-49413 | 4.93% |
| NUE-5488 | 4.93% |
| CDEV-50376 | 4.93% |
| LC-48220 | 4.93% |
| SPR-32921 | 4.93% |
| RDC-6392 | 4.93% |
| LPT-11514 | 4.93% |
| FL-8383 | 4.93% |
| BLL-939 | 4.93% |
| CI-1539 | 4.93% |
| SCHW-6704 | 4.92% |
| SRCL-15581 | 4.92% |
| OGE-5607 | 4.92% |
| SBNY-26132 | 4.92% |
| SIG-9774 | 4.92% |
| STLD-16108 | 4.92% |
| OII-5629 | 4.92% |
| FLR-24833 | 4.92% |
| KEYS-47921 | 4.92% |
| X-8329 | 4.92% |
| RE-13720 | 4.92% |
| SINA-21448 | 4.91% |
| DNOW-46949 | 4.91% |
| CUZ-1995 | 4.91% |
| FCE_A-49700 | 4.91% |
| WRI-8267 | 4.91% |
| DPLO-47883 | 4.91% |
| HAWK-44570 | 4.91% |
| ST-39347 | 4.91% |
| CYS-38477 | 4.91% |
| EVR-32483 | 4.91% |
| CRL-21605 | 4.90% |
| CAVM-33776 | 4.90% |
| OKE-5634 | 4.90% |
| EXC-22114 | 4.90% |
| HSY-3695 | 4.89% |
| VR-34334 | 4.89% |
| NYCB-22250 | 4.89% |
| PAH-45531 | 4.89% |
| TRCO-43872 | 4.89% |
| SBGI-13098 | 4.89% |
| SNI-36372 | 4.88% |
| SVU-7233 | 4.88% |
| WEX-27045 | 4.88% |
| CFX-36176 | 4.88% |
| FNSR-20866 | 4.88% |
| OAS-39797 | 4.87% |
| GNC-41182 | 4.87% |
| KRC-16374 | 4.87% |
| CACI-1218 | 4.87% |
| ESRT-45559 | 4.87% |
| LM-4488 | 4.87% |
| YNDX-41484 | 4.87% |
| HXL-3738 | 4.87% |
| AOS-6949 | 4.86% |
| INCY-10187 | 4.86% |
| PAYC-46744 | 4.86% |
| CR-1835 | 4.86% |
| AERI-45733 | 4.86% |
| LEG-4415 | 4.86% |
| EL-13841 | 4.86% |
| PSTG-49464 | 4.85% |
| INGR-18142 | 4.85% |
| CSL-1909 | 4.85% |
| MDR-4752 | 4.85% |
| ALGN-22355 | 4.85% |
| TTC-7623 | 4.84% |
| BWA-9514 | 4.84% |
| SKX-20284 | 4.84% |
| MSI-4974 | 4.84% |
| BANC-23943 | 4.83% |
| GPT-26520 | 4.82% |
| SMG-6736 | 4.82% |
| COO-1769 | 4.82% |
| STT-7139 | 4.82% |
| CW-2015 | 4.82% |
| MAN-4654 | 4.82% |
| DEPO-18010 | 4.81% |
| AAOI-45503 | 4.81% |
| CXW-22102 | 4.81% |
| FSLR-32902 | 4.81% |
| HZNP-41766 | 4.81% |
| SHAK-48543 | 4.81% |
| GD-3136 | 4.81% |
| ETFC-15474 | 4.81% |
| CIT-39053 | 4.80% |
| LVLT-18587 | 4.79% |
| CWH-50366 | 4.79% |
| NTNX-50338 | 4.79% |
| ATU-484 | 4.78% |
| RAD-6330 | 4.78% |
| KS-30759 | 4.78% |
| NAT-17553 | 4.77% |
| IMAX-11498 | 4.77% |
| DOX-18875 | 4.77% |
| IIVI-3854 | 4.76% |
| STL-19730 | 4.76% |
| AXS-25305 | 4.76% |
| CRZO-17358 | 4.76% |
| SERV-47207 | 4.75% |
| MMC-4914 | 4.75% |
| LAMR-15516 | 4.74% |
| PPC-39111 | 4.74% |
| ABCO-23176 | 4.74% |
| CPE-12011 | 4.73% |
| NEWR-48253 | 4.71% |
| ABG-24761 | 4.70% |
| HLX-17180 | 4.70% |
| BMS-975 | 4.70% |
| PUMP-50718 | 4.69% |
| DDS-2126 | 4.69% |
| GKOS-49178 | 4.67% |
| TEN-7422 | 4.66% |
| DCI-2109 | 4.65% |
| RPM-6557 | 4.64% |
| PBH-27027 | 4.64% |
| IPHI-40399 | 4.63% |
| TK-13289 | 4.63% |
| FET-42784 | 4.62% |
| HRC-3471 | 4.62% |
| VG-32143 | 4.62% |
| WERN-8147 | 4.61% |
| AGO-26211 | 4.60% |
| SF-6798 | 4.59% |
| WAGE-42919 | 4.56% |
| FRAN-41737 | 4.55% |
| WOR-8306 | 4.55% |
| DRQ-17646 | 4.54% |
| DFT-34886 | 4.53% |
| TDS-7362 | 4.53% |
| CTB-1942 | 4.49% |
| PFG-23151 | 4.48% |
| TCO-7346 | 4.47% |
| ATW-624 | 4.46% |
| EPC-21380 | 4.38% |
| CABO-49204 | 4.34% |
| GNRC-39208 | 4.28% |
| UPL-50782 | 4.26% |
| AMN-23178 | 4.18% |
| EGP-2471 | 4.14% |
| UHAL-12141 | 4.13% |
| BLMN-43283 | 4.11% |
| ODFL-5582 | 4.07% |
| KBR-32880 | 4.07% |
| MSCI-35078 | 4.06% |
| TTMI-22072 | 4.02% |
| KEM-4265 | 4.01% |
| AJG-266 | 3.94% |
| ITT-14081 | 3.91% |
| UBNT-42027 | 3.90% |
| NMBL-46002 | 3.88% |
| POL-22049 | 3.86% |
| NE-5249 | 3.84% |
| OFC-18404 | 3.78% |
| WBT-49760 | 3.69% |
| TXT-7674 | 3.69% |
| WDR-18508 | 3.68% |
| SNBR-19559 | 3.66% |
| MPW-27443 | 3.64% |
| JELD-50634 | 3.64% |
| FAF-39664 | 3.63% |
| RHI-6465 | 3.61% |
| CTAS-1941 | 3.57% |
| SHO-26728 | 3.56% |
| EVH-49100 | 3.54% |
| BOX-48486 | 3.54% |
| TDOC-49222 | 3.53% |
| HUBS-47872 | 3.49% |
| UFS-2329 | 3.46% |
| MRC-42786 | 3.46% |
| MORE-47284 | 3.44% |
| HRI-32887 | 3.44% |
| AHL-25712 | 3.40% |
| LQ-46721 | 3.36% |
| TCF-7334 | 3.34% |
| SN-42264 | 3.33% |
| HHC-40378 | 3.32% |
| CZZ-34560 | 3.32% |
| RACE-49515 | 3.25% |
| MSTR-23889 | 3.21% |
| AL-41280 | 3.18% |
| PBCT-5769 | 3.15% |
| CACC-1216 | 3.10% |
| CARS-50891 | 3.08% |
| PFGC-49455 | 3.06% |
| PBI-5773 | 3.05% |
| TDY-7367 | 2.99% |
| SEM-38786 | 2.97% |
| MFA-18590 | 2.97% |
| Y-8369 | 2.96% |
| BKU-40783 | 2.95% |
| KOS-41416 | 2.91% |
| AFSI-32871 | 2.87% |
| SFL-26386 | 2.74% |
| FICO-2837 | 2.73% |
| MDCO-21906 | 2.71% |
| PAY-27206 | 2.56% |
| VSH-8050 | 2.52% |
| FII-18709 | 2.49% |
| SGMO-21447 | 2.43% |
| BXMT-24697 | 2.37% |
| VSM-50287 | 2.37% |
| LXFT-44986 | 2.35% |
| ROL-6539 | 2.27% |
| BPMC-49000 | 2.26% |
| GDI-50869 | 2.20% |
| BOBE-1016 | 2.19% |
| CRS-1874 | 2.14% |
| BDC-26479 | 2.12% |
| GCP-49727 | 2.10% |
| LCII-2295 | 2.06% |
| COTV-50002 | 2.01% |
| MKL-4649 | 1.86% |
| VVC-21458 | 1.83% |
| MDP-4751 | 1.79% |
| MULE-50719 | 1.66% |
| IDTI-3808 | 1.64% |
| WRB-916 | 1.54% |
| DLX-2212 | 1.38% |
| MUX-7845 | 1.29% |
| UVV-7885 | 0.96% |
/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 | 65.13% |
| Annualized Common Return | 39.33% |
| Annualized Total Return | 130.05% |
| Specific Sharpe Ratio | 7.65 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | 0.02 | 4.17% | 4.18% |
| consumer_cyclical | -0.03 | -1.50% | -1.51% |
| financial_services | 0.02 | 6.45% | 6.48% |
| real_estate | 0.01 | 0.97% | 0.97% |
| consumer_defensive | 0.01 | 0.87% | 0.87% |
| health_care | 0.01 | 2.16% | 2.17% |
| utilities | 0.01 | 2.71% | 2.72% |
| communication_services | -0.01 | -0.04% | -0.04% |
| energy | -0.02 | 5.95% | 5.98% |
| industrials | -0.04 | 3.68% | 3.69% |
| technology | -0.01 | 0.04% | 0.04% |
| momentum | 0.02 | 2.52% | 2.53% |
| size | 0.06 | -0.08% | -0.08% |
| value | -0.03 | 1.43% | 1.43% |
| short_term_reversal | 0.00 | 0.97% | 0.97% |
| volatility | -0.05 | 3.61% | 3.62% |
