Run the cell below to create your tear sheet.
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bt = get_backtest('5f015f6a8bc6454735fced54')
bt.create_full_tear_sheet()
100% Time: 0:00:11|##########################################################|
| Start date | 2004-01-05 |
|---|---|
| End date | 2020-06-01 |
| Total months | 196 |
| Backtest | |
| Annual return | 23.486% |
| Cumulative returns | 3073.261% |
| Annual volatility | 15.743% |
| Sharpe ratio | 1.42 |
| Calmar ratio | 1.61 |
| Stability | 0.96 |
| Max drawdown | -14.612% |
| Omega ratio | 1.30 |
| Sortino ratio | 2.18 |
| Skew | 0.81 |
| Kurtosis | 16.38 |
| Tail ratio | 1.01 |
| Daily value at risk | -1.895% |
| Gross leverage | 1.00 |
| Daily turnover | 6.346% |
| Alpha | 0.18 |
| Beta | 0.44 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 14.61 | 2020-01-23 | 2020-03-18 | 2020-04-07 | 54 |
| 1 | 13.97 | 2008-11-07 | 2008-11-12 | 2008-11-26 | 14 |
| 2 | 13.58 | 2018-06-12 | 2018-11-02 | 2019-07-26 | 294 |
| 3 | 12.74 | 2010-04-23 | 2010-05-28 | 2010-12-21 | 173 |
| 4 | 12.43 | 2009-01-02 | 2009-01-20 | 2009-04-13 | 72 |
/venvs/py35/lib/python3.5/site-packages/numpy/lib/function_base.py:3834: RuntimeWarning: Invalid value encountered in percentile RuntimeWarning)
| Stress Events | mean | min | max |
|---|---|---|---|
| Lehman | -0.11% | -1.78% | 1.95% |
| US downgrade/European Debt Crisis | 0.39% | -2.25% | 3.95% |
| Fukushima | 0.18% | -1.59% | 1.27% |
| EZB IR Event | -0.12% | -1.20% | 1.38% |
| Aug07 | 0.01% | -2.79% | 2.59% |
| Mar08 | -0.19% | -2.37% | 2.75% |
| Sept08 | -0.22% | -1.78% | 1.95% |
| 2009Q1 | -0.07% | -5.07% | 3.38% |
| 2009Q2 | 0.41% | -3.54% | 3.90% |
| Flash Crash | -0.59% | -3.64% | 3.34% |
| Apr14 | 0.14% | -1.91% | 1.57% |
| Oct14 | 0.06% | -1.96% | 1.28% |
| Fall2015 | -0.04% | -2.29% | 3.03% |
| Low Volatility Bull Market | 0.10% | -3.77% | 2.82% |
| GFC Crash | 0.13% | -8.98% | 13.10% |
| Recovery | 0.10% | -3.64% | 3.95% |
| New Normal | 0.07% | -4.11% | 7.85% |
| Top 10 long positions of all time | max |
|---|---|
| TLT-23921 | 100.58% |
| MVK-4671 | 7.95% |
| QCOR-20914 | 7.95% |
| WW-23269 | 7.84% |
| MGM-4831 | 7.58% |
| PD-5829 | 7.40% |
| SCCO-14284 | 7.32% |
| SUN-7211 | 7.28% |
| SIG-9774 | 7.27% |
| BIIB-3806 | 7.25% |
| Top 10 short positions of all time | max |
|---|
| Top 10 positions of all time | max |
|---|---|
| TLT-23921 | 100.58% |
| MVK-4671 | 7.95% |
| QCOR-20914 | 7.95% |
| WW-23269 | 7.84% |
| MGM-4831 | 7.58% |
| PD-5829 | 7.40% |
| SCCO-14284 | 7.32% |
| SUN-7211 | 7.28% |
| SIG-9774 | 7.27% |
| BIIB-3806 | 7.25% |
/venvs/py35/lib/python3.5/site-packages/statsmodels/nonparametric/kdetools.py:20: VisibleDeprecationWarning: using a non-integer number instead of an integer will result in an error in the future y = X[:m/2+1] + np.r_[0,X[m/2+1:],0]*1j /venvs/py35/src/pyfolio/pyfolio/perf_attrib.py:564: UserWarning: Could not determine risk exposures for some of this algorithm's positions. Returns from the missing assets will not be properly accounted for in performance attribution. The following assets were missing factor loadings: ['MME-4653', 'OHP-5727'].. Ignoring for exposure calculation and performance attribution. Ratio of assets missing: 0.007. Average allocation of missing assets: MME-4653 5978.242083 OHP-5727 6227.917676 dtype: float64. warnings.warn(missing_stocks_warning_msg) /venvs/py35/src/pyfolio/pyfolio/perf_attrib.py:590: UserWarning: Could not find factor loadings for 251 dates: (first missing is 2004-01-05 00:00:00+00:00, last missing is 2004-12-31 00:00:00+00:00). Truncating date range for performance attribution. warnings.warn(warning_msg)
Performance Relative to Common Risk Factors¶
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 8.95% |
| Annualized Common Return | 12.95% |
| Annualized Total Return | 23.09% |
| Specific Sharpe Ratio | 0.94 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | 0.13 | 2.47% | 45.65% |
| consumer_cyclical | 0.09 | 1.71% | 29.84% |
| financial_services | -0.05 | -0.32% | -4.74% |
| real_estate | 0.05 | 0.63% | 10.15% |
| consumer_defensive | 0.04 | 0.37% | 5.80% |
| health_care | 0.05 | 0.77% | 12.51% |
| utilities | 0.03 | 0.32% | 5.04% |
| communication_services | 0.01 | -0.03% | -0.47% |
| energy | 0.05 | 1.55% | 26.75% |
| industrials | 0.08 | 1.38% | 23.48% |
| technology | 0.20 | 3.74% | 75.86% |
| momentum | 0.23 | 0.95% | 15.74% |
| size | 0.94 | -0.64% | -9.35% |
| value | -0.39 | 0.14% | 2.12% |
| short_term_reversal | -0.21 | -0.01% | -0.22% |
| volatility | 0.03 | -0.27% | -4.11% |
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