Run the cell below to create your tear sheet.
In [1]:
bt = get_backtest('5b043887dd950f4287dbdbf3')
bt.create_full_tear_sheet()
100% Time: 0:00:04|###########################################################|
| Start date | 2005-01-11 |
|---|---|
| End date | 2005-12-30 |
| Total months | 11 |
| Backtest | |
| Annual return | 6.7% |
| Cumulative returns | 6.5% |
| Annual volatility | 3.8% |
| Sharpe ratio | 1.73 |
| Calmar ratio | 3.65 |
| Stability | 0.81 |
| Max drawdown | -1.8% |
| Omega ratio | 1.34 |
| Sortino ratio | 2.84 |
| Skew | 0.30 |
| Kurtosis | 1.17 |
| Tail ratio | 1.40 |
| Daily value at risk | -0.5% |
| Gross leverage | 1.00 |
| Daily turnover | 48.6% |
| Alpha | 0.06 |
| Beta | 0.05 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 1.83 | 2005-05-17 | 2005-06-17 | 2005-09-26 | 95 |
| 1 | 1.62 | 2005-04-11 | 2005-04-15 | 2005-04-27 | 13 |
| 2 | 1.39 | 2005-02-15 | 2005-02-25 | 2005-03-23 | 27 |
| 3 | 1.28 | 2005-10-07 | 2005-10-20 | 2005-11-01 | 18 |
| 4 | 0.61 | 2005-01-18 | 2005-01-24 | 2005-01-28 | 9 |
| Stress Events | mean | min | max |
|---|---|---|---|
| Low Volatility Bull Market | 0.03% | -0.91% | 0.89% |
| Top 10 long positions of all time | max |
|---|---|
| AMTD-16586 | 0.48% |
| RMBS-16945 | 0.48% |
| AAXN-22846 | 0.47% |
| WYNN-24124 | 0.47% |
| CYBX-8464 | 0.47% |
| SNDK-13940 | 0.47% |
| AON-438 | 0.47% |
| PALM-24105 | 0.46% |
| AV-22092 | 0.46% |
| MSTR-23889 | 0.46% |
| Top 10 short positions of all time | max |
|---|---|
| BRK_B-11100 | -0.54% |
| AMLN-374 | -0.53% |
| ISRG-25339 | -0.51% |
| CME-24475 | -0.48% |
| DNA-24847 | -0.48% |
| WDC-8132 | -0.48% |
| SANM-8869 | -0.47% |
| TER-7401 | -0.47% |
| AON-438 | -0.47% |
| VLO-7990 | -0.47% |
| Top 10 positions of all time | max |
|---|---|
| BRK_B-11100 | 0.54% |
| AMLN-374 | 0.53% |
| ISRG-25339 | 0.51% |
| CME-24475 | 0.48% |
| AMTD-16586 | 0.48% |
| DNA-24847 | 0.48% |
| WDC-8132 | 0.48% |
| RMBS-16945 | 0.48% |
| SANM-8869 | 0.47% |
| AAXN-22846 | 0.47% |
| All positions ever held | max |
|---|---|
| BRK_B-11100 | 0.54% |
| AMLN-374 | 0.53% |
| ISRG-25339 | 0.51% |
| CME-24475 | 0.48% |
| AMTD-16586 | 0.48% |
| DNA-24847 | 0.48% |
| WDC-8132 | 0.48% |
| RMBS-16945 | 0.48% |
| SANM-8869 | 0.47% |
| AAXN-22846 | 0.47% |
| TER-7401 | 0.47% |
| WYNN-24124 | 0.47% |
| AON-438 | 0.47% |
| VLO-7990 | 0.47% |
| CYBX-8464 | 0.47% |
| SNDK-13940 | 0.47% |
| MLNM-14966 | 0.46% |
| PALM-24105 | 0.46% |
| AV-22092 | 0.46% |
| MYL-5166 | 0.46% |
| TZOO-25805 | 0.46% |
| ANF-15622 | 0.46% |
| MSTR-23889 | 0.46% |
| IMCL-3871 | 0.46% |
| ROK-6536 | 0.46% |
| ATML-607 | 0.46% |
| SHLD-26169 | 0.46% |
| TLAB-7468 | 0.46% |
| MU-5121 | 0.46% |
| XMSR-20820 | 0.46% |
| WEN-8146 | 0.46% |
| MFE-26434 | 0.45% |
| NFLX-23709 | 0.45% |
| EMC-2518 | 0.45% |
| EYET-25893 | 0.45% |
| ABS-60 | 0.45% |
| TIBX-20438 | 0.45% |
| SWN-7244 | 0.45% |
| SINA-21448 | 0.45% |
| ADBE-114 | 0.45% |
| SUN-7211 | 0.45% |
| KR-4297 | 0.45% |
| DRI-12882 | 0.45% |
| NVDA-19725 | 0.45% |
| SIRI-11901 | 0.45% |
| SCHW-6704 | 0.45% |
| ANDV-7612 | 0.45% |
| JNPR-20239 | 0.45% |
| OCR-5575 | 0.45% |
| VRTS-10555 | 0.45% |
| CTSH-18870 | 0.45% |
| BZH-10728 | 0.45% |
| TDW-7364 | 0.45% |
| LU-14756 | 0.45% |
| AKAM-20680 | 0.45% |
| BRCD-20061 | 0.44% |
| STLD-16108 | 0.44% |
| UVN-15728 | 0.44% |
| MET-21418 | 0.44% |
| PSUN-8716 | 0.44% |
| FMD-25582 | 0.44% |
| PFE-5923 | 0.44% |
| OSTK-23714 | 0.44% |
| HPQ-3735 | 0.44% |
| ZBH-23047 | 0.44% |
| CELG-1406 | 0.44% |
| IMDC-3873 | 0.44% |
| KBH-4199 | 0.44% |
| NUE-5488 | 0.44% |
| NVR-5513 | 0.44% |
| F-2673 | 0.44% |
| OVTI-21799 | 0.44% |
| PNRA-20133 | 0.44% |
| GOOG_L-26578 | 0.44% |
| DO-13635 | 0.44% |
| FTO-18561 | 0.44% |
| MBI-4684 | 0.44% |
| ATVI-9883 | 0.44% |
| CEG-20066 | 0.44% |
| UPL-22406 | 0.44% |
| CHK-8461 | 0.44% |
| QLGC-10829 | 0.44% |
| PHS-5977 | 0.44% |
| DRL-17504 | 0.44% |
| FDO-2760 | 0.44% |
| MCK-12350 | 0.44% |
| CHS-8612 | 0.44% |
| TT-12511 | 0.44% |
| LM-4488 | 0.44% |
| SPLS-7061 | 0.44% |
| AVP-660 | 0.44% |
| VIAV-20387 | 0.44% |
| URBN-10303 | 0.44% |
| XL-8340 | 0.44% |
| SEBL-15213 | 0.44% |
| STJ-7156 | 0.44% |
| CREE-8459 | 0.44% |
| TIF-7447 | 0.44% |
| X-8329 | 0.44% |
| UNM-7797 | 0.44% |
| SGTL-25540 | 0.44% |
| SYMC-7272 | 0.44% |
| TOL-7530 | 0.44% |
| LIFE-19800 | 0.44% |
| NFX-10231 | 0.44% |
| BTU-22660 | 0.44% |
| JBL-8831 | 0.44% |
| PIXR-13915 | 0.43% |
| AKS-10897 | 0.43% |
| DRIV-19209 | 0.43% |
| MXIM-5149 | 0.43% |
| EYE-23844 | 0.43% |
| PD-5829 | 0.43% |
| IRF-4014 | 0.43% |
| XTO-9074 | 0.43% |
| MWW-24923 | 0.43% |
| CVC-2000 | 0.43% |
| JBLU-23599 | 0.43% |
| MATK-10209 | 0.43% |
| FFIV-20208 | 0.43% |
| EA-2602 | 0.43% |
| HIG-14064 | 0.43% |
| CMVT-8620 | 0.43% |
| S-6616 | 0.43% |
| NVLS-5509 | 0.43% |
| BG-22959 | 0.43% |
| STX-24518 | 0.43% |
| UTSI-21344 | 0.43% |
| PX-6272 | 0.43% |
| DHI-2298 | 0.43% |
| TTWO-16820 | 0.43% |
| PTEN-10254 | 0.43% |
| ASKJ-20325 | 0.43% |
| MACR-10442 | 0.43% |
| GT-3384 | 0.43% |
| MEE-22324 | 0.43% |
| EL-13841 | 0.43% |
| WMB-8214 | 0.43% |
| RHT-20541 | 0.43% |
| CIEN-16453 | 0.43% |
| ANN-430 | 0.43% |
| GDT-12321 | 0.43% |
| SLAB-21326 | 0.43% |
| ETFC-15474 | 0.43% |
| MOGN-4962 | 0.43% |
| MSO-20750 | 0.43% |
| ACS-11873 | 0.43% |
| AAPL-24 | 0.43% |
| PMCS-17098 | 0.43% |
| DE-2127 | 0.43% |
| AMD-351 | 0.43% |
| NTAP-13905 | 0.43% |
| AMAT-337 | 0.43% |
| LYO-4618 | 0.43% |
| BIIB-3806 | 0.43% |
| EOG-2564 | 0.43% |
| BEC-801 | 0.43% |
| YRCW-8370 | 0.43% |
| CI-1539 | 0.43% |
| HSIC-13862 | 0.43% |
| GP-3303 | 0.43% |
| HRB-3660 | 0.43% |
| CNX-24758 | 0.43% |
| CFC-1359 | 0.43% |
| GLW-3241 | 0.43% |
| MMC-4914 | 0.43% |
| CTXS-14014 | 0.43% |
| AGN-205 | 0.43% |
| ADSK-67 | 0.43% |
| PETM-9435 | 0.43% |
| HUM-3718 | 0.43% |
| ACI-88 | 0.43% |
| BEAS-16723 | 0.43% |
| JAVA-7216 | 0.43% |
| RFMD-17107 | 0.43% |
| LB-4564 | 0.43% |
| PDG-5836 | 0.43% |
| CBH-1736 | 0.43% |
| FCX-13197 | 0.43% |
| CLF-1595 | 0.43% |
| IGT-3840 | 0.43% |
| OMX-764 | 0.43% |
| HAL-3443 | 0.43% |
| AFFX-15064 | 0.43% |
| LUV-4589 | 0.43% |
| GILD-3212 | 0.43% |
| UNP-7800 | 0.43% |
| ANDW-417 | 0.43% |
| HSH-6930 | 0.43% |
| WAT-13962 | 0.43% |
| DELL-25317 | 0.43% |
| VRSN-18221 | 0.43% |
| HOV-3645 | 0.43% |
| ROH-6535 | 0.43% |
| PAYX-5767 | 0.43% |
| FRO-22983 | 0.43% |
| BR-1072 | 0.43% |
| KCI-26003 | 0.43% |
| PGR-5950 | 0.43% |
| BOL-1025 | 0.43% |
| USG-7844 | 0.43% |
| CHIR-1499 | 0.43% |
| TPR-22099 | 0.43% |
| WLTW-22857 | 0.43% |
| DISH-13017 | 0.43% |
| CEPH-1416 | 0.43% |
| FCS-20486 | 0.43% |
| NXTP-21182 | 0.43% |
| BJS-902 | 0.43% |
| MGM-4831 | 0.43% |
| KSS-4313 | 0.43% |
| LBTY_A-27357 | 0.43% |
| BC-755 | 0.43% |
| TGT-21090 | 0.43% |
| SWY-7254 | 0.43% |
| DVN-2368 | 0.43% |
| NRG-26143 | 0.43% |
| MNST-3450 | 0.43% |
| AEO-11086 | 0.43% |
| BRCM-18529 | 0.43% |
| PDE-6151 | 0.43% |
| KMX-16511 | 0.43% |
| TXN-7671 | 0.43% |
| JBHT-4108 | 0.43% |
| SPXC-7086 | 0.43% |
| DOX-18875 | 0.43% |
| HLT-3594 | 0.43% |
| BK-903 | 0.43% |
| THE-25957 | 0.42% |
| WFM-8158 | 0.42% |
| EAT-2404 | 0.42% |
| EBAY-24819 | 0.42% |
| SNPS-6994 | 0.42% |
| ITT-14081 | 0.42% |
| LSI-4553 | 0.42% |
| LRCX-4537 | 0.42% |
| OMC-5651 | 0.42% |
| ORCL-5692 | 0.42% |
| M-2754 | 0.42% |
| AFL-185 | 0.42% |
| FLR-24833 | 0.42% |
| GDW-3144 | 0.42% |
| BBY-754 | 0.42% |
| MHS-25445 | 0.42% |
| XRX-8354 | 0.42% |
| AES-166 | 0.42% |
| ABT-62 | 0.42% |
| WWY-8323 | 0.42% |
| UNH-7792 | 0.42% |
| OXY-5729 | 0.42% |
| CCL-24692 | 0.42% |
| BRL-1093 | 0.42% |
| IVX-4089 | 0.42% |
| NBL-5213 | 0.42% |
| NE-5249 | 0.42% |
| G-3082 | 0.42% |
| COP-23998 | 0.42% |
| HON-25090 | 0.42% |
| NOV-24809 | 0.42% |
| ODP-5583 | 0.42% |
| CAA-7050 | 0.42% |
| CECO-24834 | 0.42% |
| NBR-5214 | 0.42% |
| CA-1209 | 0.42% |
| ESV-2621 | 0.42% |
| GPS-3321 | 0.42% |
| A-24757 | 0.42% |
| SYK-7178 | 0.42% |
| IPG-3990 | 0.42% |
| KMG-4266 | 0.42% |
| SII-6884 | 0.42% |
| PXD-17436 | 0.42% |
| APA-448 | 0.42% |
| LEN-4417 | 0.42% |
| WYE-23555 | 0.42% |
| EXPD-2663 | 0.42% |
| VAR-7904 | 0.42% |
| MON-22140 | 0.42% |
| LNC-4498 | 0.42% |
| AABA-14848 | 0.42% |
| FLEX-10953 | 0.42% |
| TIN-7449 | 0.42% |
| FDRY-20602 | 0.42% |
| PLD-19135 | 0.42% |
| JCI-4117 | 0.42% |
| MRVL-21666 | 0.42% |
| BDX-794 | 0.42% |
| SEPR-6785 | 0.42% |
| EP-2568 | 0.42% |
| BYD-9888 | 0.42% |
| HOT-3642 | 0.42% |
| PHM-5969 | 0.42% |
| CVH-2010 | 0.42% |
| RYL-6612 | 0.42% |
| LPX-4531 | 0.42% |
| SYNA-23398 | 0.42% |
| ESRX-2618 | 0.42% |
| CB-8580 | 0.42% |
| NCR-16389 | 0.42% |
| MRO-5035 | 0.42% |
| CMX-1680 | 0.42% |
| FRX-3014 | 0.42% |
| PDLI-5847 | 0.42% |
| SUNE-13306 | 0.42% |
| HMA-3596 | 0.42% |
| PDCO-26437 | 0.42% |
| COST-1787 | 0.42% |
| KLAC-4246 | 0.42% |
| GENZ-3166 | 0.42% |
| CAM-13176 | 0.42% |
| AXP-679 | 0.42% |
| BHI-858 | 0.42% |
| HES-216 | 0.42% |
| MSI-4974 | 0.42% |
| AMGN-368 | 0.42% |
| ARO-23650 | 0.42% |
| GSF-23206 | 0.42% |
| JWN-5382 | 0.42% |
| CAT-1267 | 0.42% |
| XLNX-8344 | 0.42% |
| AMZN-16841 | 0.42% |
| MO-4954 | 0.42% |
| RCL-8863 | 0.42% |
| JCP-4118 | 0.42% |
| NEM-5261 | 0.42% |
| EIX-14372 | 0.42% |
| ALTR-328 | 0.42% |
| TK-13289 | 0.42% |
| IAC-26470 | 0.42% |
| Q-17104 | 0.42% |
| KKD-21410 | 0.42% |
| SLB-6928 | 0.42% |
| ACL-23477 | 0.42% |
| NSC-5442 | 0.42% |
| SPGI-4849 | 0.42% |
| APOL-24829 | 0.42% |
| MCD-4707 | 0.42% |
| CHKP-15101 | 0.42% |
| QCOM-6295 | 0.42% |
| EMN-10594 | 0.42% |
| ADM-128 | 0.42% |
| ROST-6546 | 0.42% |
| TXU-7677 | 0.42% |
| GRMN-22316 | 0.42% |
| COCO-19773 | 0.42% |
| AET-168 | 0.42% |
| WFT-19336 | 0.42% |
| WLT-13771 | 0.42% |
| BBBY-739 | 0.42% |
| MTG-5092 | 0.42% |
| TRV-7041 | 0.42% |
| ONXX-14986 | 0.42% |
| MCHP-8677 | 0.42% |
| LLY-4487 | 0.42% |
| ARNC-2 | 0.42% |
| AZO-693 | 0.42% |
| TOY-7541 | 0.42% |
| SGP-6836 | 0.42% |
| ANTM-23103 | 0.42% |
| SYY-7285 | 0.42% |
| CSX-1937 | 0.42% |
| GEN-22720 | 0.42% |
| CZR-19734 | 0.42% |
| PPP-6127 | 0.42% |
| DLTR-12652 | 0.42% |
| SBUX-6683 | 0.42% |
| BCOR-24011 | 0.42% |
| GS-20088 | 0.42% |
| CL-1582 | 0.42% |
| XOM-8347 | 0.42% |
| DOW-2263 | 0.42% |
| NWL-5520 | 0.42% |
| WY-8326 | 0.42% |
| PEG-5862 | 0.42% |
| ADI-122 | 0.42% |
| NYCB-22250 | 0.42% |
| LMT-12691 | 0.42% |
| AAP-23175 | 0.42% |
| APC-455 | 0.42% |
| EXC-22114 | 0.42% |
| FISV-2853 | 0.42% |
| AIG-239 | 0.42% |
| FOXA-12213 | 0.42% |
| TAP-76 | 0.42% |
| ETN-2633 | 0.42% |
| ELX-10747 | 0.42% |
| WHR-8178 | 0.42% |
| HOG-3499 | 0.42% |
| TXT-7674 | 0.42% |
| PFG-23151 | 0.42% |
| FST-2935 | 0.42% |
| PCAR-5787 | 0.42% |
| UHS-7749 | 0.42% |
| CCE-1332 | 0.42% |
| BEN-812 | 0.42% |
| JOE-6904 | 0.42% |
| AMT-24760 | 0.42% |
| SOHU-21813 | 0.42% |
| IBM-3766 | 0.42% |
| MEL-4784 | 0.42% |
| INTC-3951 | 0.42% |
| CAH-1376 | 0.42% |
| DTV-26111 | 0.42% |
| UCL-7702 | 0.42% |
| GGP-8817 | 0.42% |
| MDC-4736 | 0.42% |
| COF-12160 | 0.42% |
| LOW-4521 | 0.42% |
| MDT-4758 | 0.42% |
| WBA-8089 | 0.42% |
| USB-25010 | 0.42% |
| EOP-17200 | 0.42% |
| NFB-5282 | 0.42% |
| BNI-995 | 0.42% |
| BSX-1131 | 0.42% |
| MAY-4627 | 0.42% |
| RE-13720 | 0.42% |
| TWX-357 | 0.42% |
| SRE-24778 | 0.42% |
| NCC-5226 | 0.42% |
| BMET-967 | 0.42% |
| XEC-24125 | 0.42% |
| LLTC-4485 | 0.42% |
| HD-3496 | 0.42% |
| MEDI-4768 | 0.42% |
| UST-7862 | 0.42% |
| AGN-8572 | 0.42% |
| DUK-2351 | 0.42% |
| CLX-1616 | 0.42% |
| JNJ-4151 | 0.42% |
| WB-25007 | 0.42% |
| CB-1274 | 0.42% |
| EQR-9540 | 0.42% |
| ETR-2637 | 0.42% |
| JPM-25006 | 0.42% |
| SDS-6983 | 0.42% |
| LXK-13891 | 0.42% |
| FITB-2855 | 0.42% |
| MS-17080 | 0.42% |
| SPG-10528 | 0.42% |
| ZBRA-8388 | 0.42% |
| CVS-4799 | 0.42% |
| BAX-734 | 0.42% |
| CAR-17991 | 0.42% |
| LH-12909 | 0.42% |
| HSY-3695 | 0.42% |
| MAS-4665 | 0.42% |
| NTRS-5479 | 0.41% |
| CSCO-1900 | 0.41% |
| ATI-24840 | 0.41% |
| WMT-8229 | 0.41% |
| TJX-7457 | 0.41% |
| CSC-1898 | 0.41% |
| BEAM-338 | 0.41% |
| KRB-4298 | 0.41% |
| SWKS-23821 | 0.41% |
| HAR-3455 | 0.41% |
| ISIL-21166 | 0.41% |
| STN-9046 | 0.41% |
| RSH-21550 | 0.41% |
| L-4569 | 0.41% |
| VNO-8014 | 0.41% |
| SFA-6799 | 0.41% |
| DD-2119 | 0.41% |
| ABC-22954 | 0.41% |
| MAT-4668 | 0.41% |
| MUR-5126 | 0.41% |
| DOV-2262 | 0.41% |
| KMI-20744 | 0.41% |
| CAG-1228 | 0.41% |
| STT-7139 | 0.41% |
| PPL-6119 | 0.41% |
| NXTL-1237 | 0.41% |
| GIS-3214 | 0.41% |
| L-23003 | 0.41% |
| RBK-6356 | 0.41% |
| JCI-7679 | 0.41% |
| GRP-21397 | 0.41% |
| PRU-23328 | 0.41% |
| TROW-7590 | 0.41% |
| HCBK-20374 | 0.41% |
| SAF-6622 | 0.41% |
| INTU-8655 | 0.41% |
| ACN-25555 | 0.41% |
| CMI-1985 | 0.41% |
| BDK-789 | 0.41% |
| PPG-6116 | 0.41% |
| CCU-1364 | 0.41% |
| AI-18027 | 0.41% |
| GNW-26323 | 0.41% |
| FE-17850 | 0.41% |
| DF-24814 | 0.41% |
| UPS-20940 | 0.41% |
| MAR-25920 | 0.41% |
| BSC-1111 | 0.41% |
| SLM-6935 | 0.41% |
| CTX-1975 | 0.41% |
| YUM-17787 | 0.41% |
| CVX-23112 | 0.41% |
| PCG-5792 | 0.41% |
| MRK-5029 | 0.41% |
| WFC-8151 | 0.41% |
| COO-1769 | 0.41% |
| MDLZ-22802 | 0.41% |
| LLL-18738 | 0.41% |
| DIS-2190 | 0.41% |
| ASH-559 | 0.41% |
| T-6653 | 0.41% |
| PCP-5822 | 0.41% |
| IR-4010 | 0.41% |
| FSH-3027 | 0.41% |
| BCR-779 | 0.41% |
| BA-698 | 0.41% |
| HLX-17180 | 0.41% |
| MCO-22139 | 0.41% |
| AEP-161 | 0.41% |
| DHR-2170 | 0.41% |
| D-2071 | 0.41% |
| RTN-6583 | 0.41% |
| CMA-1620 | 0.41% |
| FDC-2755 | 0.41% |
| IP-3971 | 0.41% |
| FDX-2765 | 0.41% |
| APD-460 | 0.41% |
| GTK-3396 | 0.41% |
| LNCR-4501 | 0.41% |
| ZION-8399 | 0.41% |
| GE-3149 | 0.41% |
| PEP-5885 | 0.41% |
| UTX-7883 | 0.41% |
| NAV-5199 | 0.41% |
| HNZ-3617 | 0.41% |
| PGN-22332 | 0.41% |
| T-7289 | 0.41% |
| CMCS_A-1637 | 0.41% |
| VZ-21839 | 0.41% |
| SO-7011 | 0.41% |
| BBT-16850 | 0.41% |
| ADP-630 | 0.41% |
| KEY-4221 | 0.41% |
| GR-3327 | 0.41% |
| PENN-11361 | 0.41% |
| NKE-5328 | 0.41% |
| NTLI-24573 | 0.41% |
| ED-2434 | 0.41% |
| MAN-4654 | 0.41% |
| KWK-19902 | 0.41% |
| NOC-5387 | 0.41% |
| AT-583 | 0.41% |
| ISG-25757 | 0.41% |
| PNC-6068 | 0.41% |
| BMY-980 | 0.41% |
| MSFT-5061 | 0.41% |
| WM-19181 | 0.41% |
| SHW-6868 | 0.41% |
| XPER-25705 | 0.41% |
| FOX-24755 | 0.41% |
| DGX-16348 | 0.41% |
| EMR-2530 | 0.41% |
| ITW-4080 | 0.41% |
| RAI-20277 | 0.41% |
| CTAS-1941 | 0.41% |
| TGNA-3128 | 0.41% |
| WWCA-15058 | 0.41% |
| MER-4796 | 0.41% |
| BAC-700 | 0.41% |
| KMB-4263 | 0.41% |
| ALL-24838 | 0.41% |
| TRI-20156 | 0.41% |
| HNT-22231 | 0.41% |
| C-1335 | 0.41% |
| STI-7152 | 0.41% |
| PG-5938 | 0.41% |
| K-4192 | 0.41% |
| PVN-11371 | 0.41% |
| CNXT-19682 | 0.41% |
| NEE-2968 | 0.41% |
| PRX-26350 | 0.41% |
| HIB-3556 | 0.41% |
| MTB-5117 | 0.41% |
| STR-7171 | 0.41% |
| PH-5956 | 0.41% |
| FAST-2696 | 0.41% |
| RX-19149 | 0.41% |
| WSM-8284 | 0.41% |
| GD-3136 | 0.41% |
| PBG-19916 | 0.41% |
| KO-4283 | 0.41% |
| MMM-4922 | 0.41% |
| KRI-4302 | 0.41% |
| PKZ-25217 | 0.41% |
| VMED-26491 | 0.41% |
| ESI-24831 | 0.41% |
| VSH-8050 | 0.41% |
| JNY-4152 | 0.40% |
| MBG-20248 | 0.40% |
| NMG_A-20760 | 0.40% |
| LVS-26882 | 0.40% |
| MCIP-26473 | 0.40% |
| ACDO-19947 | 0.40% |
| STK-7157 | 0.40% |
| PXP-24112 | 0.40% |
| UDI-23341 | 0.40% |
/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 | 6.32% |
| Annualized Common Return | 0.12% |
| Annualized Total Return | 6.46% |
| Specific Sharpe Ratio | 2.42 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.00 | 0.08% | 0.08% |
| consumer_cyclical | 0.01 | 0.81% | 0.80% |
| financial_services | -0.00 | 0.74% | 0.72% |
| real_estate | -0.00 | -0.03% | -0.03% |
| consumer_defensive | 0.00 | 0.55% | 0.54% |
| health_care | -0.00 | -0.32% | -0.32% |
| utilities | -0.00 | 0.24% | 0.24% |
| communication_services | -0.00 | -0.12% | -0.12% |
| energy | -0.01 | -0.77% | -0.75% |
| industrials | -0.00 | -0.33% | -0.32% |
| technology | 0.01 | -1.15% | -1.13% |
| momentum | -0.04 | -0.20% | -0.20% |
| size | 0.01 | -0.15% | -0.14% |
| value | -0.03 | -0.22% | -0.21% |
| short_term_reversal | 0.34 | 0.86% | 0.84% |
| volatility | 0.02 | 0.14% | 0.14% |
