Run the cell below to create your tear sheet, or return to your algorithm.
In [1]:
bt = get_backtest('5a825097bd3a48411ed45f14')
bt.create_full_tear_sheet()
100% Time: 0:01:01|###########################################################|
| Start date | 2003-01-07 |
|---|---|
| End date | 2018-02-05 |
| Total months | 180 |
| Backtest | |
| Annual return | 8.5% |
| Cumulative returns | 243.9% |
| Annual volatility | 6.6% |
| Sharpe ratio | 1.27 |
| Calmar ratio | 1.07 |
| Stability | 0.94 |
| Max drawdown | -8.0% |
| Omega ratio | 1.27 |
| Sortino ratio | 2.06 |
| Skew | 0.76 |
| Kurtosis | 11.47 |
| Tail ratio | 1.23 |
| Daily value at risk | -0.8% |
| Gross leverage | 1.00 |
| Daily turnover | 33.0% |
| Alpha | 0.08 |
| Beta | 0.02 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 7.96 | 2008-04-01 | 2008-07-14 | 2008-10-13 | 140 |
| 1 | 7.30 | 2016-03-28 | 2016-09-26 | 2017-07-25 | 347 |
| 2 | 6.66 | 2012-04-12 | 2012-09-14 | 2013-06-04 | 299 |
| 3 | 5.89 | 2005-05-18 | 2005-09-21 | 2006-04-27 | 247 |
| 4 | 5.85 | 2008-11-07 | 2008-11-20 | 2008-11-25 | 13 |
/usr/local/lib/python2.7/dist-packages/numpy/lib/function_base.py:3834: RuntimeWarning: Invalid value encountered in percentile RuntimeWarning)
| Stress Events | mean | min | max |
|---|---|---|---|
| Lehmann | -0.02% | -1.77% | 1.88% |
| US downgrade/European Debt Crisis | 0.27% | -0.82% | 1.61% |
| Fukushima | 0.03% | -0.41% | 0.67% |
| US Housing | 0.13% | -0.61% | 0.76% |
| EZB IR Event | 0.06% | -0.66% | 0.49% |
| Aug07 | 0.16% | -0.82% | 1.07% |
| Mar08 | 0.32% | -0.69% | 1.44% |
| Sept08 | -0.01% | -1.77% | 1.41% |
| 2009Q1 | 0.18% | -1.29% | 1.89% |
| 2009Q2 | 0.13% | -4.46% | 2.85% |
| Flash Crash | 0.14% | -0.08% | 0.50% |
| Apr14 | -0.01% | -1.77% | 1.34% |
| Oct14 | 0.00% | -1.11% | 0.77% |
| Fall2015 | 0.02% | -0.74% | 0.79% |
| Low Volatility Bull Market | 0.03% | -1.06% | 1.10% |
| GFC Crash | 0.10% | -2.28% | 3.76% |
| Recovery | 0.02% | -4.46% | 2.85% |
| New Normal | 0.02% | -1.77% | 2.09% |
| Top 10 long positions of all time | max |
|---|---|
| ACAS-17334 | 1.93% |
| LEN-4417 | 1.86% |
| BSC-1111 | 1.80% |
| DHI-2298 | 1.62% |
| WYNN-24124 | 1.61% |
| SLG-17448 | 1.57% |
| CTX-1975 | 1.55% |
| LEAP-27411 | 1.53% |
| RIG-9038 | 1.48% |
| BZH-10728 | 1.48% |
| Top 10 short positions of all time | max |
|---|---|
| CHK-8461 | -1.91% |
| TXT-7674 | -1.90% |
| LVS-26882 | -1.60% |
| VRTX-8045 | -1.57% |
| PLD-19135 | -1.54% |
| SUNE-13306 | -1.53% |
| SCTY-43721 | -1.51% |
| SLM-6935 | -1.45% |
| GMCR-9736 | -1.43% |
| AMLN-374 | -1.40% |
| Top 10 positions of all time | max |
|---|---|
| ACAS-17334 | 1.93% |
| CHK-8461 | 1.91% |
| TXT-7674 | 1.90% |
| LEN-4417 | 1.86% |
| BSC-1111 | 1.80% |
| DHI-2298 | 1.62% |
| WYNN-24124 | 1.61% |
| LVS-26882 | 1.60% |
| VRTX-8045 | 1.57% |
| SLG-17448 | 1.57% |
| All positions ever held | max |
|---|---|
| ACAS-17334 | 1.93% |
| CHK-8461 | 1.91% |
| TXT-7674 | 1.90% |
| LEN-4417 | 1.86% |
| BSC-1111 | 1.80% |
| DHI-2298 | 1.62% |
| WYNN-24124 | 1.61% |
| LVS-26882 | 1.60% |
| VRTX-8045 | 1.57% |
| SLG-17448 | 1.57% |
| CTX-1975 | 1.55% |
| PLD-19135 | 1.54% |
| LEAP-27411 | 1.53% |
| SUNE-13306 | 1.53% |
| SCTY-43721 | 1.51% |
| RIG-9038 | 1.48% |
| BZH-10728 | 1.48% |
| JPM-25006 | 1.48% |
| PNC-6068 | 1.45% |
| SLM-6935 | 1.45% |
| KBH-4199 | 1.45% |
| GMCR-9736 | 1.43% |
| NRG-26143 | 1.43% |
| KRFT-43405 | 1.42% |
| FSLR-32902 | 1.42% |
| BK-903 | 1.41% |
| AMLN-374 | 1.40% |
| MI-5025 | 1.40% |
| PLD-24785 | 1.40% |
| MAC-10984 | 1.39% |
| ICE-27809 | 1.39% |
| ETFC-15474 | 1.39% |
| PHM-5969 | 1.38% |
| MER-4796 | 1.38% |
| BAC-700 | 1.37% |
| RAX-36714 | 1.37% |
| GEN-22720 | 1.37% |
| JWN-5382 | 1.36% |
| KKD-21410 | 1.36% |
| SCCO-14284 | 1.36% |
| CF-27558 | 1.36% |
| AMG-17800 | 1.35% |
| ADS-22747 | 1.35% |
| AABA-14848 | 1.35% |
| CE-26960 | 1.35% |
| ESI-24831 | 1.35% |
| MNST-3450 | 1.34% |
| VMC-7998 | 1.34% |
| RYL-6612 | 1.34% |
| MRO-5035 | 1.34% |
| SWN-7244 | 1.33% |
| TEX-7408 | 1.33% |
| DAL-33729 | 1.33% |
| S-6616 | 1.33% |
| STLD-16108 | 1.33% |
| HBAN-3472 | 1.33% |
| UAA-27822 | 1.33% |
| JNPR-20239 | 1.33% |
| CFC-1359 | 1.32% |
| MS-17080 | 1.32% |
| C-1335 | 1.32% |
| ARIA-11880 | 1.32% |
| FB-42950 | 1.32% |
| SPG-10528 | 1.32% |
| FLS-17207 | 1.32% |
| AXP-679 | 1.31% |
| ACF-85 | 1.31% |
| WFC-8151 | 1.31% |
| F-2673 | 1.31% |
| DFS-34011 | 1.31% |
| FITB-2855 | 1.31% |
| CLR-33856 | 1.31% |
| JCP-4118 | 1.31% |
| UAL-28051 | 1.31% |
| HST-9947 | 1.30% |
| AKS-10897 | 1.30% |
| ON-21429 | 1.30% |
| STT-7139 | 1.30% |
| CERN-1419 | 1.30% |
| CNX-24758 | 1.30% |
| IMCL-3871 | 1.30% |
| LM-4488 | 1.30% |
| TZOO-25805 | 1.30% |
| RRC-19249 | 1.29% |
| DRYS-26994 | 1.29% |
| ATML-607 | 1.29% |
| SD-35006 | 1.29% |
| GPRO-47208 | 1.29% |
| FST-2935 | 1.29% |
| SPGI-4849 | 1.28% |
| COF-12160 | 1.28% |
| RF-34913 | 1.28% |
| MU-5121 | 1.28% |
| AVP-660 | 1.28% |
| APOL-24829 | 1.28% |
| HTZ-50070 | 1.28% |
| UNH-7792 | 1.28% |
| STX-24518 | 1.28% |
| WY-8326 | 1.28% |
| NVDA-19725 | 1.28% |
| FTO-18561 | 1.27% |
| AET-168 | 1.27% |
| BUCY-26506 | 1.27% |
| CYBR-47779 | 1.27% |
| OVTI-21799 | 1.27% |
| STR-7171 | 1.27% |
| ILMN-21774 | 1.27% |
| P-41579 | 1.27% |
| WHR-8178 | 1.27% |
| MCO-22139 | 1.27% |
| VLO-7990 | 1.27% |
| AMD-351 | 1.27% |
| HZNP-41766 | 1.27% |
| RCL-8863 | 1.27% |
| ISRG-25339 | 1.27% |
| BSX-1131 | 1.26% |
| EP-2568 | 1.26% |
| JNS-24556 | 1.26% |
| AAOI-45503 | 1.26% |
| HP-3647 | 1.26% |
| SHLD-26169 | 1.26% |
| HOT-3642 | 1.26% |
| PXP-24112 | 1.26% |
| VMED-26491 | 1.26% |
| PAY-27206 | 1.26% |
| WLT-13771 | 1.26% |
| WDC-8132 | 1.25% |
| MOS-26721 | 1.25% |
| BJS-902 | 1.25% |
| MWW-24923 | 1.25% |
| MDR-4752 | 1.25% |
| RSH-21550 | 1.25% |
| FWLT-3076 | 1.25% |
| EOG-2564 | 1.25% |
| MRVL-21666 | 1.25% |
| PALM-24105 | 1.25% |
| VNO-8014 | 1.25% |
| LSI-4553 | 1.25% |
| X-8329 | 1.25% |
| Q-17104 | 1.25% |
| MAS-4665 | 1.25% |
| MTB-5117 | 1.25% |
| VMW-34545 | 1.24% |
| XEC-24125 | 1.24% |
| CCL-24692 | 1.24% |
| RL-24832 | 1.24% |
| CCI-19258 | 1.24% |
| FDRY-20602 | 1.24% |
| HK-26487 | 1.24% |
| RS-11955 | 1.24% |
| HES-216 | 1.24% |
| TIF-7447 | 1.24% |
| SNDK-13940 | 1.24% |
| MHS-25445 | 1.24% |
| SPXC-7086 | 1.23% |
| FCX-13197 | 1.23% |
| LULU-34395 | 1.23% |
| NDAQ-27026 | 1.23% |
| ATHR-25967 | 1.23% |
| MSI-4974 | 1.23% |
| MLM-10796 | 1.23% |
| SOHU-21813 | 1.23% |
| SPWR-27817 | 1.23% |
| JEC-4120 | 1.23% |
| PCYC-13711 | 1.23% |
| NFLX-23709 | 1.23% |
| ICPT-43505 | 1.23% |
| KIM-4238 | 1.23% |
| XTO-9074 | 1.23% |
| CAH-1376 | 1.23% |
| TSN-7684 | 1.23% |
| NEM-5261 | 1.23% |
| GT-3384 | 1.23% |
| TDW-7364 | 1.23% |
| EQT-2587 | 1.23% |
| URI-18113 | 1.22% |
| AGN-205 | 1.22% |
| WTW-23269 | 1.22% |
| CSIQ-32856 | 1.22% |
| TAP-76 | 1.22% |
| NBR-5214 | 1.22% |
| BIIB-3806 | 1.22% |
| KEY-4221 | 1.22% |
| CEPH-1416 | 1.22% |
| CYMI-15638 | 1.22% |
| HOG-3499 | 1.22% |
| ANF-15622 | 1.22% |
| CREE-8459 | 1.22% |
| MYL-5166 | 1.22% |
| CLF-1595 | 1.22% |
| MA-32146 | 1.22% |
| MHK-4963 | 1.22% |
| AAPL-24 | 1.22% |
| SINA-21448 | 1.22% |
| FDO-2760 | 1.22% |
| GOOG_L-26578 | 1.22% |
| GRPN-42118 | 1.22% |
| LRCX-4537 | 1.22% |
| ZION-8399 | 1.22% |
| TOL-7530 | 1.22% |
| GPS-3321 | 1.21% |
| PXD-17436 | 1.21% |
| AMCC-17799 | 1.21% |
| SANM-8869 | 1.21% |
| AGCO-197 | 1.21% |
| ADM-128 | 1.21% |
| COG-1746 | 1.21% |
| NTRS-5479 | 1.21% |
| ONXX-14986 | 1.21% |
| GRMN-22316 | 1.21% |
| SUN-7211 | 1.21% |
| PCS-24839 | 1.21% |
| ANR-27035 | 1.21% |
| TPR-22099 | 1.21% |
| FLEX-10953 | 1.21% |
| URBN-10303 | 1.21% |
| AKAM-20680 | 1.21% |
| CENX-14484 | 1.21% |
| HAR-3455 | 1.21% |
| PTEN-10254 | 1.21% |
| ANDV-7612 | 1.21% |
| RAD-6330 | 1.20% |
| CSX-1937 | 1.20% |
| VZ-21839 | 1.20% |
| MEDI-4768 | 1.20% |
| TLAB-7468 | 1.20% |
| JOY-22996 | 1.20% |
| ACI-88 | 1.20% |
| FLR-24833 | 1.20% |
| GGP-8817 | 1.20% |
| AV-22092 | 1.20% |
| MYGN-13698 | 1.20% |
| DSX-27116 | 1.20% |
| SHAW-10509 | 1.20% |
| BLUE-44935 | 1.20% |
| DRI-12882 | 1.20% |
| BTU-22660 | 1.20% |
| DNR-15789 | 1.20% |
| AVGO-38650 | 1.20% |
| DVN-2368 | 1.20% |
| DELL-25317 | 1.20% |
| DDR-8468 | 1.20% |
| BHI-858 | 1.20% |
| VSEA-20037 | 1.20% |
| SLAB-21326 | 1.20% |
| VIAV-20387 | 1.20% |
| SKX-20284 | 1.20% |
| PNRA-20133 | 1.20% |
| BBY-754 | 1.20% |
| AAXN-22846 | 1.19% |
| ARO-23650 | 1.19% |
| APC-455 | 1.19% |
| BLK-20689 | 1.19% |
| HCA-41047 | 1.19% |
| CRK-1663 | 1.19% |
| ADI-122 | 1.19% |
| GE-3149 | 1.19% |
| WMB-8214 | 1.19% |
| EQR-9540 | 1.19% |
| TER-7401 | 1.19% |
| MJN-38084 | 1.19% |
| ARNC-2 | 1.19% |
| CA-1209 | 1.19% |
| KWK-19902 | 1.19% |
| LU-14756 | 1.19% |
| NE-5249 | 1.19% |
| FTR-2069 | 1.19% |
| HLF-26892 | 1.19% |
| OAS-39797 | 1.19% |
| VFC-7949 | 1.19% |
| REGN-6413 | 1.19% |
| ULTA-34953 | 1.19% |
| RHT-20541 | 1.19% |
| DECK-9909 | 1.19% |
| ATI-24840 | 1.19% |
| HNZ-3617 | 1.19% |
| SWKS-23821 | 1.19% |
| PSA-24962 | 1.19% |
| CYD-12311 | 1.19% |
| CIEN-16453 | 1.19% |
| MGM-4831 | 1.19% |
| OKE-5634 | 1.19% |
| WFM-8158 | 1.19% |
| NVLS-5509 | 1.19% |
| GLW-3241 | 1.19% |
| TSCO-10869 | 1.19% |
| MNK-44917 | 1.18% |
| GME-23438 | 1.18% |
| XRX-8354 | 1.18% |
| RH-43599 | 1.18% |
| WLL-25707 | 1.18% |
| EW-21382 | 1.18% |
| APKT-32724 | 1.18% |
| PDE-6151 | 1.18% |
| ROK-6536 | 1.18% |
| ALXN-14328 | 1.18% |
| CAM-13176 | 1.18% |
| STI-7152 | 1.18% |
| OVER-23148 | 1.18% |
| ITT-14081 | 1.18% |
| ARUN-33588 | 1.18% |
| OMC-5651 | 1.18% |
| S-2938 | 1.18% |
| LNKD-41451 | 1.18% |
| TIE-15230 | 1.18% |
| PWR-6269 | 1.18% |
| FFIV-20208 | 1.18% |
| IONS-4031 | 1.18% |
| CVH-2010 | 1.18% |
| BG-22959 | 1.18% |
| CTSH-18870 | 1.18% |
| DDD-12959 | 1.18% |
| ATVI-9883 | 1.18% |
| SIG-9774 | 1.18% |
| PD-5829 | 1.18% |
| PETM-9435 | 1.18% |
| BBBY-739 | 1.18% |
| HSY-3695 | 1.18% |
| SMTC-6961 | 1.17% |
| DIS-2190 | 1.17% |
| ADSK-67 | 1.17% |
| AES-166 | 1.17% |
| GRP-21397 | 1.17% |
| AON-438 | 1.17% |
| GES-24811 | 1.17% |
| GM-40430 | 1.17% |
| MEE-22324 | 1.17% |
| CHKP-15101 | 1.17% |
| APA-448 | 1.17% |
| WCG-26440 | 1.17% |
| AMGN-368 | 1.17% |
| IR-4010 | 1.17% |
| CLVS-42166 | 1.17% |
| EXPD-2663 | 1.17% |
| TEL-34014 | 1.17% |
| DNDN_Q-21612 | 1.17% |
| SNI-36372 | 1.17% |
| LUV-4589 | 1.17% |
| FAST-2696 | 1.17% |
| TSRO-43124 | 1.17% |
| ADTN-11718 | 1.17% |
| LVLT-18587 | 1.17% |
| SRPT-16999 | 1.17% |
| LB-4564 | 1.17% |
| OI-5626 | 1.17% |
| QCOR-20914 | 1.17% |
| PRGO-6161 | 1.17% |
| OUTR-24791 | 1.17% |
| MON-22140 | 1.17% |
| AMZN-16841 | 1.17% |
| AAL-45971 | 1.17% |
| SIRI-11901 | 1.17% |
| CRDN-1844 | 1.17% |
| IDTI-3808 | 1.17% |
| LAMR-15516 | 1.17% |
| CMA-1620 | 1.17% |
| CBI-1287 | 1.17% |
| ICST-21505 | 1.17% |
| VTR-18821 | 1.16% |
| EBAY-24819 | 1.16% |
| HRI-32887 | 1.16% |
| HPQ-3735 | 1.16% |
| STEC-7145 | 1.16% |
| MAT-4668 | 1.16% |
| WFT-19336 | 1.16% |
| BIG-22657 | 1.16% |
| ESV-2621 | 1.16% |
| CHRW-17632 | 1.16% |
| BOT-27714 | 1.16% |
| CAT-1267 | 1.16% |
| FNSR-20866 | 1.16% |
| TXU-7677 | 1.16% |
| MFE-26434 | 1.16% |
| DOV-2262 | 1.16% |
| EQIX-24482 | 1.16% |
| CELG-1406 | 1.16% |
| ADBE-114 | 1.16% |
| NTRI-21697 | 1.16% |
| NAV-5199 | 1.16% |
| DOW-2263 | 1.16% |
| V-35920 | 1.16% |
| NVR-5513 | 1.16% |
| KORS-42270 | 1.16% |
| PMCS-17098 | 1.16% |
| CY-2043 | 1.16% |
| TPX-25802 | 1.16% |
| ASKJ-20325 | 1.16% |
| UPL-22406 | 1.16% |
| NYX-28145 | 1.16% |
| ACL-23477 | 1.16% |
| CDE-1374 | 1.16% |
| SII-6884 | 1.15% |
| CNVR-21346 | 1.15% |
| GR-3327 | 1.15% |
| EXPE-27543 | 1.15% |
| CMI-1985 | 1.15% |
| ESRX-2618 | 1.15% |
| INCY-10187 | 1.15% |
| BBT-16850 | 1.15% |
| NFX-10231 | 1.15% |
| MATK-10209 | 1.15% |
| WCC-20163 | 1.15% |
| ANET-47063 | 1.15% |
| GENZ-3166 | 1.15% |
| YELP-42596 | 1.15% |
| FDX-2765 | 1.15% |
| HAL-3443 | 1.15% |
| AMBA-43495 | 1.15% |
| WU-32603 | 1.15% |
| JCI-7679 | 1.15% |
| NOV-24809 | 1.15% |
| STRA-15397 | 1.15% |
| FISV-2853 | 1.15% |
| LINE-27993 | 1.15% |
| BRCM-18529 | 1.15% |
| NMX-32897 | 1.15% |
| MVL-5132 | 1.15% |
| MTW-4656 | 1.15% |
| AEO-11086 | 1.15% |
| NSC-5442 | 1.15% |
| IGT-3840 | 1.15% |
| COTY-44909 | 1.15% |
| ASH-559 | 1.15% |
| LCC-27653 | 1.15% |
| BRCD-20061 | 1.15% |
| KMX-16511 | 1.15% |
| ACAD-26322 | 1.15% |
| VER-41872 | 1.15% |
| EVHC-50499 | 1.15% |
| CAKE-1234 | 1.15% |
| DE-2127 | 1.15% |
| DISH-13017 | 1.15% |
| EMR-2530 | 1.15% |
| PII-6992 | 1.15% |
| IRF-4014 | 1.15% |
| ONE-5669 | 1.15% |
| FEYE-45451 | 1.14% |
| PCAR-5787 | 1.14% |
| CRM-26401 | 1.14% |
| XPO-26287 | 1.14% |
| ENDP-21750 | 1.14% |
| PANW-43202 | 1.14% |
| NLY-17702 | 1.14% |
| DLR-26758 | 1.14% |
| RTN-6583 | 1.14% |
| THC-5343 | 1.14% |
| MXIM-5149 | 1.14% |
| OSTK-23714 | 1.14% |
| TROW-7590 | 1.14% |
| M-2754 | 1.14% |
| VAR-7904 | 1.14% |
| SYMC-7272 | 1.14% |
| SEPR-6785 | 1.14% |
| CHS-8612 | 1.14% |
| SM-4664 | 1.14% |
| IP-3971 | 1.14% |
| USB-25010 | 1.14% |
| JBL-8831 | 1.14% |
| UTSI-21344 | 1.14% |
| FOXA-12213 | 1.14% |
| XMSR-20820 | 1.14% |
| MCP-39960 | 1.14% |
| MOS-41462 | 1.14% |
| BGC-3129 | 1.14% |
| PCP-5822 | 1.14% |
| BDK-789 | 1.14% |
| EA-2602 | 1.14% |
| BKD-27830 | 1.14% |
| ANDW-417 | 1.14% |
| DRIV-19209 | 1.14% |
| CCU-1364 | 1.14% |
| TECD-7372 | 1.14% |
| JBLU-23599 | 1.14% |
| COST-1787 | 1.14% |
| NTAP-13905 | 1.14% |
| MDT-4758 | 1.14% |
| NHP-5305 | 1.14% |
| MELI-34525 | 1.14% |
| BA-698 | 1.14% |
| PPO-34117 | 1.14% |
| SLXP-22269 | 1.14% |
| JAZZ-33959 | 1.14% |
| DATA-44747 | 1.14% |
| TSLA-39840 | 1.13% |
| REG-10027 | 1.13% |
| GS-20088 | 1.13% |
| CCMP-21371 | 1.13% |
| GILD-3212 | 1.13% |
| CYH-21608 | 1.13% |
| CSC-1898 | 1.13% |
| JAVA-7216 | 1.13% |
| MAR-25920 | 1.13% |
| NCR-16389 | 1.13% |
| OXY-5729 | 1.13% |
| ACDO-19947 | 1.13% |
| KG-18929 | 1.13% |
| ALTR-328 | 1.13% |
| RMBS-16945 | 1.13% |
| CMG-28016 | 1.13% |
| OPEN-38418 | 1.13% |
| BID-869 | 1.13% |
| CECO-24834 | 1.13% |
| CROX-28078 | 1.13% |
| LYB-39546 | 1.13% |
| SLB-6928 | 1.13% |
| ABBV-43694 | 1.13% |
| ICOS-3791 | 1.13% |
| ADCT-115 | 1.13% |
| SPLK-42815 | 1.13% |
| COP-23998 | 1.13% |
| UPS-20940 | 1.13% |
| VRSN-18221 | 1.13% |
| LMT-12691 | 1.13% |
| CVX-23112 | 1.13% |
| SVU-7233 | 1.13% |
| MBLY-47430 | 1.13% |
| BDX-794 | 1.13% |
| DNA-24847 | 1.13% |
| KOMG-24617 | 1.13% |
| PX-6272 | 1.13% |
| TRW-25948 | 1.13% |
| PCL-5813 | 1.13% |
| ACN-25555 | 1.13% |
| UNP-7800 | 1.13% |
| TGT-21090 | 1.13% |
| ZBH-23047 | 1.13% |
| PCLN-19917 | 1.13% |
| FE-17850 | 1.13% |
| WB-25007 | 1.13% |
| ACIA-33321 | 1.13% |
| MUR-5126 | 1.13% |
| HOLX-3629 | 1.13% |
| KRB-4298 | 1.13% |
| MDVN-28160 | 1.13% |
| BMRN-20330 | 1.13% |
| LXK-13891 | 1.13% |
| XLNX-8344 | 1.13% |
| IVZ-16589 | 1.13% |
| DO-13635 | 1.13% |
| PCG-5792 | 1.13% |
| INTU-8655 | 1.13% |
| MOGN-4962 | 1.13% |
| CFG-47777 | 1.13% |
| TGNA-3128 | 1.13% |
| ZNGA-42277 | 1.13% |
| THE-25957 | 1.13% |
| WYN-32393 | 1.13% |
| MMC-4914 | 1.13% |
| MBG-20248 | 1.13% |
| MAN-4654 | 1.13% |
| PVH-6257 | 1.12% |
| HBI-32497 | 1.12% |
| CAR-17991 | 1.12% |
| ABC-22954 | 1.12% |
| RTI-6579 | 1.12% |
| QCOM-6295 | 1.12% |
| BEAS-16723 | 1.12% |
| ATGE-2371 | 1.12% |
| HFC-3620 | 1.12% |
| MSFT-5061 | 1.12% |
| RVBD-32618 | 1.12% |
| TRA-7561 | 1.12% |
| CEG-20066 | 1.12% |
| T-6653 | 1.12% |
| WBA-8089 | 1.12% |
| HGSI-10409 | 1.12% |
| SBUX-6683 | 1.12% |
| WPX-42251 | 1.12% |
| BCOR-24011 | 1.12% |
| BNI-995 | 1.12% |
| ACS-11873 | 1.12% |
| UTX-7883 | 1.12% |
| IAC-26470 | 1.12% |
| SLCA-42436 | 1.12% |
| GLG-3232 | 1.12% |
| CVC-2000 | 1.12% |
| STJ-7156 | 1.12% |
| APD-460 | 1.12% |
| NUE-5488 | 1.12% |
| ISSX-18444 | 1.12% |
| XRAY-8352 | 1.12% |
| CTXS-14014 | 1.12% |
| AFFX-15064 | 1.12% |
| OLED-14774 | 1.12% |
| MCK-12350 | 1.12% |
| CBE-1283 | 1.12% |
| COV-34010 | 1.12% |
| MLNM-14966 | 1.12% |
| LNG-22096 | 1.12% |
| DLTR-12652 | 1.12% |
| ROST-6546 | 1.12% |
| TTWO-16820 | 1.12% |
| ISIL-21166 | 1.12% |
| FMD-25582 | 1.12% |
| MRK-5029 | 1.12% |
| GWW-3421 | 1.12% |
| CXO-34440 | 1.12% |
| ADRX-15063 | 1.12% |
| FIO-41554 | 1.12% |
| LBTY_A-27357 | 1.12% |
| JCI-4117 | 1.12% |
| PH-5956 | 1.12% |
| GNSS-18293 | 1.12% |
| RICE-46240 | 1.12% |
| PYPL-49242 | 1.12% |
| KSS-4313 | 1.12% |
| YRCW-8370 | 1.12% |
| WDAY-43510 | 1.12% |
| FOSL-8816 | 1.12% |
| R-6326 | 1.12% |
| HSP-26243 | 1.12% |
| BEC-801 | 1.12% |
| SHOP-49060 | 1.11% |
| FANG-43512 | 1.11% |
| UVN-15728 | 1.11% |
| MPC-41636 | 1.11% |
| WSM-8284 | 1.11% |
| NBL-5213 | 1.11% |
| SPLS-7061 | 1.11% |
| BJ-17167 | 1.11% |
| STZ-24873 | 1.11% |
| FL-8383 | 1.11% |
| PPL-6119 | 1.11% |
| WLP-8210 | 1.11% |
| FTI-22784 | 1.11% |
| PFE-5923 | 1.11% |
| NWL-5520 | 1.11% |
| DVA-22110 | 1.11% |
| RFMD-17107 | 1.11% |
| FIT-49139 | 1.11% |
| SSYS-12107 | 1.11% |
| ZG-41730 | 1.11% |
| DD-2119 | 1.11% |
| ETN-2633 | 1.11% |
| AWE-21361 | 1.11% |
| ARE-16843 | 1.11% |
| VRTS-10555 | 1.11% |
| CTV-17188 | 1.11% |
| DISC_A-36930 | 1.11% |
| AGN-8572 | 1.11% |
| LF-23879 | 1.11% |
| CYBX-8464 | 1.11% |
| PBCT-5769 | 1.11% |
| HOV-3645 | 1.11% |
| DUK-2351 | 1.11% |
| WM-19181 | 1.11% |
| TDC-34661 | 1.11% |
| ODP-5583 | 1.11% |
| FRX-3014 | 1.11% |
| BEXP-16853 | 1.11% |
| LLTC-4485 | 1.11% |
| LOW-4521 | 1.11% |
| EHC-3661 | 1.11% |
| RAI-20277 | 1.11% |
| SIRF-26210 | 1.11% |
| SWC-12362 | 1.11% |
| SPN-14141 | 1.11% |
| TJX-7457 | 1.11% |
| ITW-4080 | 1.11% |
| VECO-12267 | 1.11% |
| CRR-14700 | 1.11% |
| HON-25090 | 1.11% |
| LYO-4618 | 1.11% |
| JAH-23784 | 1.11% |
| KLAC-4246 | 1.11% |
| NTLI-24573 | 1.11% |
| BEN-812 | 1.11% |
| BWA-9514 | 1.11% |
| AMTD-16586 | 1.11% |
| EL-13841 | 1.11% |
| ELX-10747 | 1.11% |
| PIXR-13915 | 1.11% |
| CPN-35531 | 1.10% |
| EMC-2518 | 1.10% |
| CVS-4799 | 1.10% |
| CME-24475 | 1.10% |
| DTV-26111 | 1.10% |
| CNXT-19682 | 1.10% |
| SWK-7242 | 1.10% |
| TRI-20156 | 1.10% |
| JUNO-48317 | 1.10% |
| NOC-5387 | 1.10% |
| PHS-5977 | 1.10% |
| GTAT-36628 | 1.10% |
| PDG-5836 | 1.10% |
| CRUS-1882 | 1.10% |
| OA-600 | 1.10% |
| WYE-23555 | 1.10% |
| APH-465 | 1.10% |
| ESS-11465 | 1.10% |
| QLGC-10829 | 1.10% |
| HRB-3660 | 1.10% |
| AVB-18834 | 1.10% |
| LLY-4487 | 1.10% |
| APTV-42173 | 1.10% |
| TWTR-45815 | 1.10% |
| ORCL-5692 | 1.10% |
| PSUN-8716 | 1.10% |
| EXC-22114 | 1.10% |
| MIR-27990 | 1.10% |
| PDLI-5847 | 1.10% |
| IDCC-3801 | 1.10% |
| AYE-17618 | 1.10% |
| INTC-3951 | 1.10% |
| BRL-1093 | 1.10% |
| YUM-17787 | 1.10% |
| COX-12527 | 1.10% |
| HAS-3460 | 1.10% |
| TWC-33133 | 1.10% |
| NYCB-22250 | 1.10% |
| MCHP-8677 | 1.10% |
| AVT-661 | 1.10% |
| FMC-2893 | 1.10% |
| RRD-2248 | 1.10% |
| GDP-13363 | 1.10% |
| MSTR-23889 | 1.10% |
| HLX-17180 | 1.10% |
| ROH-6535 | 1.10% |
| NEE-2968 | 1.10% |
| IPI-36093 | 1.10% |
| BMY-980 | 1.10% |
| MLNX-33316 | 1.10% |
| SCHW-6704 | 1.10% |
| SYNA-23398 | 1.10% |
| GDT-12321 | 1.10% |
| CNC-23283 | 1.10% |
| CBG-26367 | 1.10% |
| ERT-22594 | 1.10% |
| GD-3136 | 1.10% |
| YNDX-41484 | 1.10% |
| IBM-3766 | 1.10% |
| NKE-5328 | 1.10% |
| IPG-3990 | 1.10% |
| DDS-2126 | 1.10% |
| ANN-430 | 1.10% |
| APPX-23275 | 1.10% |
| TWX-357 | 1.10% |
| CBH-1736 | 1.10% |
| LIFE-19800 | 1.10% |
| LO-36346 | 1.10% |
| BXP-17009 | 1.10% |
| AMT-24760 | 1.10% |
| AZO-693 | 1.10% |
| GPOR-28116 | 1.10% |
| HCN-3488 | 1.10% |
| DKS-24070 | 1.10% |
| HL-3585 | 1.10% |
| JCG-32320 | 1.09% |
| DF-24814 | 1.09% |
| VVUS-11224 | 1.09% |
| A-24757 | 1.09% |
| SNAP-50683 | 1.09% |
| CSCO-1900 | 1.09% |
| FRT-3010 | 1.09% |
| CMCS_A-1637 | 1.09% |
| CHIR-1499 | 1.09% |
| KMI-40852 | 1.09% |
| SBAC-20281 | 1.09% |
| EYET-25893 | 1.09% |
| DTE-2330 | 1.09% |
| BLL-939 | 1.09% |
| MMM-4922 | 1.09% |
| KBR-32880 | 1.09% |
| AIG-239 | 1.09% |
| EOP-17200 | 1.09% |
| FCS-20486 | 1.09% |
| JBHT-4108 | 1.09% |
| TIBX-20438 | 1.09% |
| PSFT-6199 | 1.09% |
| CPX-28340 | 1.09% |
| LNCR-4501 | 1.09% |
| IMDC-3873 | 1.09% |
| AXLL-3189 | 1.09% |
| TMO-7493 | 1.09% |
| UTHR-20306 | 1.09% |
| KSU-4315 | 1.09% |
| MXO-24776 | 1.09% |
| EMN-10594 | 1.09% |
| AVY-663 | 1.09% |
| KR-4297 | 1.09% |
| SHW-6868 | 1.09% |
| SYK-7178 | 1.09% |
| ED-2434 | 1.09% |
| EFX-2465 | 1.09% |
| PGN-22332 | 1.09% |
| COL-22880 | 1.09% |
| NUS-16059 | 1.09% |
| MCD-4707 | 1.09% |
| HUN-27030 | 1.09% |
| COO-1769 | 1.09% |
| LEXR-21901 | 1.09% |
| ABS-60 | 1.09% |
| DST-13835 | 1.09% |
| PEG-5862 | 1.09% |
| EXP-11120 | 1.09% |
| FRO-22983 | 1.09% |
| HCP-3490 | 1.09% |
| AMAT-337 | 1.09% |
| SQ-49610 | 1.09% |
| QRVO-48384 | 1.09% |
| FLT-40597 | 1.09% |
| JCOM-22450 | 1.09% |
| AEP-161 | 1.09% |
| TXN-7671 | 1.09% |
| XOM-8347 | 1.09% |
| GP-3303 | 1.09% |
| ATHN-34692 | 1.09% |
| AAP-23175 | 1.09% |
| CTL-1960 | 1.09% |
| SWY-7254 | 1.09% |
| CAG-1228 | 1.09% |
| SNPS-6994 | 1.09% |
| CYTC-14497 | 1.08% |
| HDS-44990 | 1.08% |
| CHTR-39095 | 1.08% |
| NXTL-1237 | 1.08% |
| USG-7844 | 1.08% |
| PRX-26350 | 1.08% |
| CLB-13508 | 1.08% |
| CKFR-13506 | 1.08% |
| EIX-14372 | 1.08% |
| SGP-6836 | 1.08% |
| VSH-8050 | 1.08% |
| ORLY-8857 | 1.08% |
| WIN-27019 | 1.08% |
| OII-5629 | 1.08% |
| HD-3496 | 1.08% |
| PSX-42788 | 1.08% |
| KCI-26003 | 1.08% |
| HNT-22231 | 1.08% |
| TRIP-42230 | 1.08% |
| SGI-27271 | 1.08% |
| IOC-26617 | 1.08% |
| SFA-6799 | 1.08% |
| PM-35902 | 1.08% |
| KITE-47169 | 1.08% |
| PDCO-26437 | 1.08% |
| HLT-45993 | 1.08% |
| LLL-18738 | 1.08% |
| TRN-7583 | 1.08% |
| SIAL-6872 | 1.08% |
| EAT-2404 | 1.08% |
| COCO-19773 | 1.08% |
| WEN-8146 | 1.08% |
| OC-32608 | 1.08% |
| TRGP-40547 | 1.08% |
| CNW-1696 | 1.08% |
| UST-7862 | 1.08% |
| DGX-16348 | 1.08% |
| SCHN-10268 | 1.08% |
| MMI-40616 | 1.08% |
| DNKN-41759 | 1.08% |
| SYY-7285 | 1.08% |
| DOX-18875 | 1.08% |
| INFA-19990 | 1.08% |
| SGTL-25540 | 1.08% |
| HCBK-20374 | 1.08% |
| ETR-2637 | 1.08% |
| CIE-39073 | 1.08% |
| D-2071 | 1.08% |
| LH-12909 | 1.08% |
| MET-21418 | 1.08% |
| AR-45618 | 1.08% |
| AT-583 | 1.08% |
| PEIX-27129 | 1.08% |
| OMX-764 | 1.08% |
| CMVT-8620 | 1.08% |
| MSO-20750 | 1.08% |
| CRS-1874 | 1.08% |
| NUAN-19926 | 1.08% |
| BR-1072 | 1.08% |
| AGNC-36243 | 1.08% |
| AMP-27676 | 1.08% |
| PAYX-5767 | 1.08% |
| MDLZ-22802 | 1.08% |
| AGP-23179 | 1.08% |
| KHC-49229 | 1.08% |
| BAX-734 | 1.08% |
| IQV-44692 | 1.08% |
| GSF-23206 | 1.08% |
| SEBL-15213 | 1.08% |
| NSCN-23320 | 1.08% |
| DHR-2170 | 1.08% |
| LZ-4620 | 1.08% |
| EXTR-19973 | 1.08% |
| CIT-39053 | 1.08% |
| CTAS-1941 | 1.07% |
| AYI-23276 | 1.07% |
| ROOM-21197 | 1.07% |
| GPRO-24003 | 1.07% |
| CLX-1616 | 1.07% |
| MEL-4784 | 1.07% |
| OSK-5719 | 1.07% |
| PRU-23328 | 1.07% |
| DPZ-26466 | 1.07% |
| TMUS-33698 | 1.07% |
| KMG-4266 | 1.07% |
| CAA-7050 | 1.07% |
| HIG-14064 | 1.07% |
| GNC-41182 | 1.07% |
| TOY-7541 | 1.07% |
| DPS-36118 | 1.07% |
| W-47833 | 1.07% |
| FOX-24755 | 1.07% |
| HMA-3596 | 1.07% |
| VRSK-38817 | 1.07% |
| FLIR-9156 | 1.07% |
| AA-50428 | 1.07% |
| OS-5702 | 1.07% |
| ADT-43399 | 1.07% |
| HLT-3594 | 1.07% |
| VTSS-8073 | 1.07% |
| WAT-13962 | 1.07% |
| EYE-23844 | 1.07% |
| JNJ-4151 | 1.07% |
| HUM-3718 | 1.07% |
| LPNT-20105 | 1.07% |
| ADP-630 | 1.07% |
| AER-32916 | 1.07% |
| RKT-11042 | 1.07% |
| WWY-8323 | 1.07% |
| KMB-4263 | 1.07% |
| SE-33030 | 1.07% |
| RCII-24827 | 1.07% |
| TT-12511 | 1.07% |
| SRE-24778 | 1.07% |
| JNY-4152 | 1.07% |
| MIK-4873 | 1.07% |
| NOW-43127 | 1.07% |
| LNC-4498 | 1.07% |
| FIS-22876 | 1.07% |
| RSG-19147 | 1.07% |
| SEE-6769 | 1.07% |
| JOE-6904 | 1.07% |
| K-4192 | 1.07% |
| AI-18027 | 1.07% |
| HSH-6930 | 1.07% |
| SODA-40353 | 1.07% |
| KO-4283 | 1.07% |
| ECL-2427 | 1.07% |
| MACR-10442 | 1.07% |
| PPG-6116 | 1.07% |
| WMT-8229 | 1.07% |
| T-7289 | 1.07% |
| LL-35036 | 1.06% |
| TK-13289 | 1.06% |
| CMX-1680 | 1.06% |
| ALB-10898 | 1.06% |
| MO-4954 | 1.06% |
| BURL-45558 | 1.06% |
| PTV-20910 | 1.06% |
| GLNG-24489 | 1.06% |
| CVD-25396 | 1.06% |
| CCE-1332 | 1.06% |
| PVN-11371 | 1.06% |
| ALK-300 | 1.06% |
| WRK-49183 | 1.06% |
| PLUG-20776 | 1.06% |
| RYN-11044 | 1.06% |
| DG-38936 | 1.06% |
| STRZ_A-32045 | 1.06% |
| PG-5938 | 1.06% |
| BEAV-799 | 1.06% |
| DRL-17504 | 1.06% |
| SAVE-41498 | 1.06% |
| LEA-38921 | 1.06% |
| AEE-24783 | 1.06% |
| MAY-4627 | 1.06% |
| GRUB-46693 | 1.06% |
| WNR-27997 | 1.06% |
| ABT-62 | 1.06% |
| PE-46989 | 1.06% |
| FSL-26482 | 1.06% |
| OCR-5575 | 1.06% |
| WLTW-22857 | 1.06% |
| ANTM-23103 | 1.06% |
| FDC-2755 | 1.06% |
| ITMN-21284 | 1.06% |
| SDS-6983 | 1.06% |
| FBF-25132 | 1.06% |
| BCR-779 | 1.06% |
| CI-1539 | 1.06% |
| AFCI-15744 | 1.06% |
| EXAS-22364 | 1.06% |
| MOLX-4965 | 1.06% |
| DXCM-27173 | 1.06% |
| RGLD-6455 | 1.06% |
| PEP-5885 | 1.06% |
| BOL-1025 | 1.06% |
| MDC-4736 | 1.06% |
| FCN-14927 | 1.06% |
| BRK_B-11100 | 1.06% |
| G-3082 | 1.06% |
| EXEL-21383 | 1.06% |
| SYF-47415 | 1.06% |
| O-12087 | 1.06% |
| GDW-3144 | 1.06% |
| ME-28130 | 1.06% |
| ROKU-51231 | 1.06% |
| PBI-5773 | 1.06% |
| CE-1403 | 1.06% |
| TIVO-16661 | 1.06% |
| RLGY-43500 | 1.06% |
| JLL-19898 | 1.06% |
| HSIC-13862 | 1.06% |
| CMS-1665 | 1.06% |
| CNP-24064 | 1.06% |
| SIGM-6881 | 1.06% |
| FICO-2837 | 1.06% |
| OSI-5712 | 1.06% |
| NXTP-21182 | 1.06% |
| ADVP-15742 | 1.06% |
| TWLO-50077 | 1.06% |
| ALGN-22355 | 1.06% |
| SO-7011 | 1.06% |
| GIS-3214 | 1.05% |
| BMET-967 | 1.05% |
| VOYA-44645 | 1.05% |
| WEC-8140 | 1.05% |
| BEAM-338 | 1.05% |
| CL-1582 | 1.05% |
| L-23003 | 1.05% |
| KOG-32283 | 1.05% |
| BYD-9888 | 1.05% |
| PGR-5950 | 1.05% |
| KOSP-16647 | 1.05% |
| OHP-5727 | 1.05% |
| WWAV-43572 | 1.05% |
| TIN-7449 | 1.05% |
| CF-1745 | 1.05% |
| ANAC-40442 | 1.05% |
| QVCA-32046 | 1.05% |
| CBS-7962 | 1.05% |
| CPB-1795 | 1.05% |
| COHR-1751 | 1.05% |
| SLR-6940 | 1.05% |
| EQ-32030 | 1.05% |
| NLSN-40755 | 1.05% |
| XPER-25705 | 1.05% |
| HPE-49506 | 1.05% |
| NBIX-14972 | 1.05% |
| UCL-7702 | 1.05% |
| SABR-46776 | 1.05% |
| CVI-22766 | 1.05% |
| FHN-26204 | 1.05% |
| NCC-5226 | 1.05% |
| LMCA-43919 | 1.05% |
| SOTR-7035 | 1.05% |
| TE-7369 | 1.05% |
| LITE-49288 | 1.05% |
| ZAYO-47912 | 1.05% |
| FSH-3027 | 1.05% |
| FRC-40573 | 1.05% |
| ZBRA-8388 | 1.05% |
| PBG-19916 | 1.05% |
| HRS-3676 | 1.05% |
| GTK-3396 | 1.05% |
| PNR-6082 | 1.05% |
| KMI-20744 | 1.05% |
| ES-5484 | 1.05% |
| ROC-27572 | 1.05% |
| NCLH-43981 | 1.05% |
| RBBN-21557 | 1.05% |
| TDG-28161 | 1.05% |
| PENN-11361 | 1.05% |
| NFB-5282 | 1.05% |
| ARG-510 | 1.05% |
| APCC-456 | 1.05% |
| CG-23426 | 1.05% |
| GPT-10612 | 1.04% |
| COLE-44963 | 1.04% |
| GPN-22443 | 1.04% |
| NRF-26740 | 1.04% |
| NWSA-44931 | 1.04% |
| UHS-7749 | 1.04% |
| RAH-11189 | 1.04% |
| CIN-1550 | 1.04% |
| STN-9046 | 1.04% |
| XEL-21964 | 1.04% |
| CDNS-1385 | 1.04% |
| TRV-7041 | 1.04% |
| SJM-21935 | 1.04% |
| KRI-4302 | 1.04% |
| IRM-14388 | 1.04% |
| ZTS-44060 | 1.04% |
| NYT-5551 | 1.04% |
| FLSH-8635 | 1.04% |
| ALLY-46015 | 1.04% |
| XL-8340 | 1.04% |
| RX-19149 | 1.04% |
| MCIP-26473 | 1.04% |
| WP-42699 | 1.04% |
| TW-22183 | 1.04% |
| PPP-6127 | 1.04% |
| BXLT-49209 | 1.04% |
| ZRAN-14196 | 1.04% |
| OCLR-21366 | 1.04% |
| ABI-25270 | 1.04% |
| FHCC-18157 | 1.04% |
| HCR-3492 | 1.04% |
| BWLD-25642 | 1.04% |
| FTNT-38965 | 1.04% |
| EPC-21380 | 1.04% |
| ARNA-21724 | 1.04% |
| MCDTA-22458 | 1.04% |
| HRL-3668 | 1.04% |
| VRUS-33752 | 1.03% |
| HLTH-19794 | 1.03% |
| WWCA-15058 | 1.03% |
| TKR-7467 | 1.03% |
| LDOS-32714 | 1.03% |
| ALL-24838 | 1.03% |
| AFL-185 | 1.03% |
| VTS-24857 | 1.03% |
| URS-7828 | 1.03% |
| DVMT-50242 | 1.03% |
| MRX-13692 | 1.03% |
| CB-8580 | 1.03% |
| AN-410 | 1.03% |
| CCK-1343 | 1.03% |
| SRCL-15581 | 1.03% |
| BC-755 | 1.03% |
| MYG-5163 | 1.03% |
| GYI-18291 | 1.03% |
| AWK-36098 | 1.03% |
| MVK-4671 | 1.03% |
| CC-49210 | 1.03% |
| IVX-4089 | 1.03% |
| COMS-1763 | 1.03% |
| NI-5310 | 1.03% |
| MME-4653 | 1.03% |
| CFN-38691 | 1.03% |
| RCPT-44689 | 1.03% |
| FCAU-47888 | 1.03% |
| CZR-19734 | 1.03% |
| NVT-26551 | 1.03% |
| RA-12940 | 1.02% |
| YUMC-50392 | 1.02% |
| LPX-4531 | 1.02% |
| DXC-50716 | 1.02% |
| SRC-43414 | 1.02% |
| OIS-22464 | 1.02% |
| GXP-23126 | 1.02% |
| QEP-39778 | 1.02% |
| CB-1274 | 1.02% |
| PHA-21435 | 1.02% |
| WAB-13135 | 1.02% |
| AGR-22488 | 1.02% |
| UB-14828 | 1.02% |
| CBSS-1314 | 1.02% |
| ROP-6543 | 1.02% |
| COMM-45734 | 1.02% |
| CPGX-49141 | 1.02% |
| EXR-26566 | 1.02% |
| WCRX-32619 | 1.01% |
| AME-353 | 1.01% |
| SNA-6976 | 1.01% |
| AKRX-270 | 1.01% |
| ASO-569 | 1.01% |
| RSPP-46182 | 1.01% |
| TSG-15910 | 1.01% |
| PLL-6030 | 1.01% |
| PFCB-19614 | 1.01% |
| STK-7157 | 1.01% |
| NMG_A-20760 | 1.01% |
| WGR-8169 | 1.01% |
| BSTE-16444 | 1.01% |
| CNQR-19575 | 1.01% |
| NXPI-39994 | 1.01% |
| DWDP-51157 | 1.01% |
| DJ-2193 | 1.01% |
| VPHM-16140 | 1.01% |
| PKZ-25217 | 1.01% |
| DRC-27534 | 1.01% |
| INFO-47163 | 1.01% |
| NTP-5473 | 1.01% |
| NETL-26462 | 1.01% |
| ABGX-19024 | 1.01% |
| ISG-25757 | 1.01% |
| GDI-11130 | 1.01% |
| DRYR-25174 | 1.01% |
| SFD-6803 | 1.01% |
| WOOF-23267 | 1.01% |
| UDI-23341 | 1.01% |
| FTV-50049 | 1.00% |
| AQNT-24635 | 1.00% |
| SY-7265 | 1.00% |
| CHAP-27511 | 1.00% |
| RATL-11191 | 1.00% |
| CBST-15769 | 1.00% |
| ICO-27824 | 1.00% |
| ITC-27492 | 1.00% |
| NPSP-11356 | 1.00% |
| RBK-6356 | 1.00% |
| BIVV-50595 | 1.00% |
| ISE-27098 | 1.00% |
| APCS-21110 | 1.00% |
| AH-24815 | 1.00% |
| MIL-4876 | 1.00% |
| PLCM-14784 | 0.99% |
| ENZN-2561 | 0.99% |
| MTH-16385 | 0.98% |
| CBOE-39773 | 0.98% |
| ALNY-26335 | 0.97% |
| PBYI-42689 | 0.97% |
/usr/local/lib/python2.7/dist-packages/pyfolio/perf_attrib.py:559: 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. 19 assets were missing factor loadings, including: ADVP-15742, AFCI-15744, AWE-21361, CE-1403, CF-1745..WLP-8210. Ignoring for exposure calculation and performance attribution. Ratio of assets missing: 0.016. Average allocation of selected missing assets: ADVP-15742 43690.290622 AFCI-15744 -24051.785385 AWE-21361 45468.319545 CE-1403 73522.739138 CF-1745 46351.563710 WLP-8210 91280.903176 dtype: float64. warnings.warn(missing_stocks_warning_msg) /usr/local/lib/python2.7/dist-packages/pyfolio/perf_attrib.py:589: UserWarning: Could not find factor loadings for 502 dates: (first missing is 2003-01-06 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) /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 | 4.60% |
| Annualized Common Return | 3.14% |
| Annualized Total Return | 7.89% |
| Specific Sharpe Ratio | 1.14 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.00 | -0.19% | -2.51% |
| consumer_cyclical | 0.01 | 0.31% | 4.10% |
| financial_services | 0.01 | 1.13% | 15.78% |
| real_estate | -0.01 | 0.49% | 6.57% |
| consumer_defensive | 0.01 | 0.13% | 1.68% |
| health_care | 0.00 | 0.19% | 2.49% |
| utilities | -0.02 | -0.21% | -2.77% |
| communication_services | 0.01 | 0.14% | 1.84% |
| energy | -0.07 | -1.20% | -14.56% |
| industrials | 0.01 | 0.25% | 3.32% |
| technology | 0.03 | 0.60% | 8.11% |
| momentum | -0.04 | -0.75% | -9.37% |
| size | 0.02 | -0.27% | -3.44% |
| value | 0.00 | 0.10% | 1.31% |
| short_term_reversal | 0.58 | 2.02% | 29.96% |
| volatility | -0.07 | 0.36% | 4.87% |
