Notebook
In [6]:
# bt = get_backtest('').create_perf_attrib_tear_sheet()
bt = get_backtest('').create_perf_attrib_tear_sheet()

# bt.create_full_tear_sheet()

100% Time: 0:00:01|###########################################################|
Summary Statistics
Annualized Specific Return 0.117448
Annualized Common Return -0.002199
Annualized Total Return 0.114849
Specific Sharpe Ratio 1.486476
Exposures Summary Average Risk Factor Exposure Annualized Return Cumulative Return
basic_materials -0.033901 -0.003756 -0.022295
consumer_cyclical 0.008551 0.000396 0.002377
financial_services 0.000000 0.000000 0.000000
real_estate 0.000000 0.000000 0.000000
consumer_defensive -0.014657 -0.002485 -0.014801
health_care 0.009456 0.004798 0.029095
utilities 0.000000 0.000000 0.000000
communication_services 0.004106 0.000313 0.001877
energy 0.008663 0.000033 0.000199
industrials -0.033784 -0.004364 -0.025866
technology 0.008450 0.000326 0.001957
momentum -0.078681 0.004268 0.025850
size -0.010730 -0.002251 -0.013413
value -0.020613 -0.000271 -0.001622
short_term_reversal -0.045982 -0.004963 -0.029374
volatility -0.255779 0.005688 0.034572