Run the cell below to create your tear sheet.
In [1]:
bt = get_backtest('5beb7a427c08644a3de69c36')
bt.create_full_tear_sheet()
100% Time: 0:00:06|###########################################################|
| Start date | 2017-11-10 |
|---|---|
| End date | 2018-11-09 |
| Total months | 12 |
| Backtest | |
| Annual return | 9.8% |
| Cumulative returns | 9.8% |
| Annual volatility | 5.4% |
| Sharpe ratio | 1.75 |
| Calmar ratio | 5.14 |
| Stability | 0.94 |
| Max drawdown | -1.9% |
| Omega ratio | 1.34 |
| Sortino ratio | 2.79 |
| Skew | 0.38 |
| Kurtosis | 1.78 |
| Tail ratio | 1.14 |
| Daily value at risk | -0.6% |
| Gross leverage | 0.99 |
| Daily turnover | 11.3% |
| Alpha | 0.10 |
| Beta | -0.01 |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 1.92 | 2017-12-14 | 2018-01-03 | 2018-01-08 | 18 |
| 1 | 1.83 | 2018-01-09 | 2018-01-29 | 2018-03-22 | 53 |
| 2 | 1.83 | 2018-10-31 | 2018-11-09 | NaT | NaN |
| 3 | 1.51 | 2018-08-27 | 2018-09-05 | 2018-09-17 | 16 |
| 4 | 1.36 | 2018-05-11 | 2018-06-05 | 2018-06-08 | 21 |
| Stress Events | mean | min | max |
|---|---|---|---|
| New Normal | 0.04% | -0.91% | 1.65% |
| Top 10 long positions of all time | max |
|---|---|
| PTE-26972 | 1.40% |
| RAD-6330 | 1.32% |
| WOW-50902 | 1.31% |
| FTR-2069 | 1.30% |
| SNCR-32234 | 1.29% |
| SONC-7027 | 1.27% |
| ENVA-47979 | 1.27% |
| FRTA-50398 | 1.27% |
| SYNT-24790 | 1.26% |
| RGNX-49409 | 1.26% |
| Top 10 short positions of all time | max |
|---|---|
| RXDX-44685 | -1.73% |
| HRTX-22651 | -1.39% |
| INSY-44665 | -1.38% |
| ESPR-44989 | -1.37% |
| RETA-49995 | -1.33% |
| FIT-49139 | -1.30% |
| HTZ-50070 | -1.29% |
| FATE-45429 | -1.29% |
| TGTX-13984 | -1.28% |
| CRSP-50400 | -1.27% |
| Top 10 positions of all time | max |
|---|---|
| RXDX-44685 | 1.73% |
| PTE-26972 | 1.40% |
| HRTX-22651 | 1.39% |
| INSY-44665 | 1.38% |
| ESPR-44989 | 1.37% |
| RETA-49995 | 1.33% |
| RAD-6330 | 1.32% |
| WOW-50902 | 1.31% |
| FIT-49139 | 1.30% |
| FTR-2069 | 1.30% |
| All positions ever held | max |
|---|---|
| RXDX-44685 | 1.73% |
| PTE-26972 | 1.40% |
| HRTX-22651 | 1.39% |
| INSY-44665 | 1.38% |
| ESPR-44989 | 1.37% |
| RETA-49995 | 1.33% |
| RAD-6330 | 1.32% |
| WOW-50902 | 1.31% |
| FIT-49139 | 1.30% |
| FTR-2069 | 1.30% |
| HTZ-50070 | 1.29% |
| SNCR-32234 | 1.29% |
| FATE-45429 | 1.29% |
| TGTX-13984 | 1.28% |
| CRSP-50400 | 1.27% |
| FMI-45499 | 1.27% |
| ATRA-47901 | 1.27% |
| SONC-7027 | 1.27% |
| ENVA-47979 | 1.27% |
| FRTA-50398 | 1.27% |
| SYNT-24790 | 1.26% |
| RVNC-46315 | 1.26% |
| VRAY-48015 | 1.26% |
| RGNX-49409 | 1.26% |
| LOXO-47432 | 1.25% |
| APPN-50903 | 1.25% |
| SCS-18347 | 1.24% |
| DRYS-26994 | 1.24% |
| ALDR-46869 | 1.23% |
| SD-50348 | 1.23% |
| TREX-20028 | 1.22% |
| BPT-1068 | 1.22% |
| MRTX-45080 | 1.22% |
| SGMS-22637 | 1.22% |
| TELL-4982 | 1.22% |
| CATO-1219 | 1.21% |
| IMMU-3891 | 1.21% |
| RH-43599 | 1.21% |
| MNK-44917 | 1.20% |
| GPRO-47208 | 1.20% |
| VSTM-42426 | 1.20% |
| DRNA-46271 | 1.20% |
| GLYC-46135 | 1.19% |
| SIEN-47968 | 1.19% |
| EGO-24547 | 1.19% |
| BLDP-13798 | 1.19% |
| RIGL-25226 | 1.19% |
| MDXG-34049 | 1.19% |
| DBD-2100 | 1.18% |
| MGNX-45643 | 1.18% |
| CTL-1960 | 1.18% |
| NVTA-48628 | 1.18% |
| EPZM-44830 | 1.18% |
| CVNA-50807 | 1.18% |
| WYNN-24124 | 1.18% |
| LJPC-11512 | 1.18% |
| ESV-2621 | 1.17% |
| MDGL-33298 | 1.17% |
| FRAC-50612 | 1.17% |
| RCII-24827 | 1.17% |
| VRSN-18221 | 1.17% |
| IMGN-3885 | 1.17% |
| I-44539 | 1.16% |
| WING-49126 | 1.16% |
| BHVN-50839 | 1.16% |
| DLTH-49615 | 1.16% |
| CRC-48073 | 1.16% |
| URGN-50831 | 1.16% |
| XXII-32588 | 1.16% |
| NVR-5513 | 1.16% |
| CHRS-48026 | 1.16% |
| PBYI-42689 | 1.16% |
| PRTA-43730 | 1.16% |
| SGYP-32331 | 1.16% |
| CLVS-42166 | 1.16% |
| INO-3150 | 1.16% |
| APRN-50990 | 1.16% |
| SAGE-47332 | 1.16% |
| CHK-8461 | 1.16% |
| WTW-23269 | 1.16% |
| FOSL-8816 | 1.15% |
| OMER-38827 | 1.15% |
| CRAY-21374 | 1.15% |
| UIS-7761 | 1.15% |
| ASRT-18010 | 1.15% |
| SFLY-32660 | 1.15% |
| AGX-28450 | 1.15% |
| BABY-22865 | 1.15% |
| DVAX-25972 | 1.15% |
| OIS-22464 | 1.15% |
| CBAY-46189 | 1.15% |
| LITE-49288 | 1.14% |
| BAS-27886 | 1.14% |
| NG-25781 | 1.14% |
| QEP-39778 | 1.14% |
| BTE-28232 | 1.14% |
| INST-49594 | 1.14% |
| REN-34800 | 1.14% |
| AKAO-46528 | 1.14% |
| MAXR-51271 | 1.14% |
| NKTR-24572 | 1.14% |
| LAUR-50639 | 1.14% |
| HEES-28023 | 1.13% |
| SN-42264 | 1.13% |
| NIHD-24622 | 1.13% |
| AKCA-51037 | 1.13% |
| MTCH-49608 | 1.13% |
| AMAG-659 | 1.13% |
| ITCI-46053 | 1.13% |
| TXMD-28966 | 1.13% |
| CBL-9890 | 1.13% |
| ADMS-46722 | 1.13% |
| AKRX-270 | 1.13% |
| CDNA-47321 | 1.13% |
| CYH-21608 | 1.13% |
| CPG-46206 | 1.13% |
| APLS-51423 | 1.13% |
| AIMT-49323 | 1.13% |
| RUN-49321 | 1.13% |
| ICHR-50509 | 1.13% |
| GIII-3210 | 1.13% |
| CORT-26191 | 1.13% |
| HK-31032 | 1.12% |
| ECYT-40814 | 1.12% |
| SAM-24822 | 1.12% |
| DERM-47845 | 1.12% |
| ZIOP-31341 | 1.12% |
| FI-45248 | 1.12% |
| WTI-26986 | 1.12% |
| WATT-46650 | 1.12% |
| AXON-49107 | 1.12% |
| DXCM-27173 | 1.12% |
| ARWR-10417 | 1.12% |
| CARA-46283 | 1.12% |
| EDIT-49736 | 1.12% |
| GME-23438 | 1.12% |
| MTSI-42646 | 1.12% |
| TRXC-29042 | 1.12% |
| VCEL-16437 | 1.12% |
| WSC-49494 | 1.12% |
| UPL-50782 | 1.12% |
| CBB-24891 | 1.11% |
| PIR-6000 | 1.11% |
| REGI-42385 | 1.11% |
| AG-40607 | 1.11% |
| IOVA-36209 | 1.11% |
| ZGNX-40461 | 1.11% |
| INVA-26676 | 1.11% |
| CVE-38896 | 1.11% |
| IRTC-50399 | 1.11% |
| CRZO-17358 | 1.11% |
| TCF-7334 | 1.11% |
| ASMB-40622 | 1.11% |
| ACAD-26322 | 1.11% |
| PATK-5761 | 1.11% |
| CENX-14484 | 1.11% |
| GES-24811 | 1.11% |
| HCA-41047 | 1.11% |
| CAR-17991 | 1.11% |
| VYGR-49579 | 1.11% |
| HMHC-45861 | 1.11% |
| SMPL-51019 | 1.11% |
| AXDX-15934 | 1.11% |
| SHLD-26169 | 1.11% |
| VKTX-48997 | 1.11% |
| UNT-7806 | 1.11% |
| MSGN-39171 | 1.11% |
| TRUP-47331 | 1.11% |
| ABEO-28471 | 1.10% |
| SWCH-51268 | 1.10% |
| ORIG-41919 | 1.10% |
| NOG-35961 | 1.10% |
| RCKT-48602 | 1.10% |
| QURE-46310 | 1.10% |
| URI-18113 | 1.10% |
| AGI-44156 | 1.10% |
| JACK-20740 | 1.10% |
| GKOS-49178 | 1.10% |
| TSRO-43124 | 1.10% |
| CZR-42461 | 1.10% |
| AGIO-45143 | 1.10% |
| GNC-41182 | 1.10% |
| CVTI-12023 | 1.10% |
| MXL-39393 | 1.10% |
| TCMD-50169 | 1.10% |
| GPOR-28116 | 1.10% |
| EVBG-50264 | 1.10% |
| MNKD-26524 | 1.10% |
| ICPT-43505 | 1.10% |
| MIK-47228 | 1.10% |
| ACIA-33321 | 1.10% |
| PCRX-40815 | 1.10% |
| AMZN-16841 | 1.10% |
| PRAA-24440 | 1.10% |
| TREE-36742 | 1.10% |
| SRCI-35051 | 1.10% |
| INFN-33979 | 1.10% |
| IMMR-20877 | 1.10% |
| AR-45618 | 1.10% |
| CLDR-50810 | 1.10% |
| MNTA-26381 | 1.09% |
| FL-8383 | 1.09% |
| LGIH-45818 | 1.09% |
| TPL-7551 | 1.09% |
| RYTM-51262 | 1.09% |
| AUY-25714 | 1.09% |
| TNDM-45852 | 1.09% |
| NAVI-46782 | 1.09% |
| CRBP-47955 | 1.09% |
| XPER-25705 | 1.09% |
| CARG-51281 | 1.09% |
| NTNX-50338 | 1.09% |
| CLF-1595 | 1.09% |
| MUX-7845 | 1.09% |
| SHOP-49060 | 1.09% |
| ACOR-28077 | 1.09% |
| LQ-46721 | 1.09% |
| VNTR-51091 | 1.09% |
| WD-40592 | 1.09% |
| LNTH-49189 | 1.09% |
| DRQ-17646 | 1.09% |
| ACHN-32790 | 1.09% |
| HP-3647 | 1.09% |
| EURN-48487 | 1.09% |
| CSU-17639 | 1.09% |
| JCP-4118 | 1.09% |
| GCO-3131 | 1.09% |
| MMYT-40028 | 1.09% |
| SNAP-50683 | 1.08% |
| FANG-43512 | 1.08% |
| BGCP-20973 | 1.08% |
| RE-13720 | 1.08% |
| NVCR-49460 | 1.08% |
| RCM-39652 | 1.08% |
| SBAC-20281 | 1.08% |
| SSRM-15591 | 1.08% |
| ZUMZ-27229 | 1.08% |
| LPSN-21415 | 1.08% |
| SCMP-34477 | 1.08% |
| GSM-38638 | 1.08% |
| KBH-4199 | 1.08% |
| STML-44041 | 1.08% |
| EIGI-45735 | 1.08% |
| ARQL-15752 | 1.08% |
| CTMX-49470 | 1.08% |
| KEM-4265 | 1.08% |
| ERI-47743 | 1.08% |
| RIG-9038 | 1.08% |
| JNCE-50619 | 1.08% |
| SSTI-50927 | 1.08% |
| FTI-22784 | 1.08% |
| DVMT-50242 | 1.08% |
| SAH-24786 | 1.08% |
| NSM-42611 | 1.08% |
| WPX-42251 | 1.08% |
| HZO-18917 | 1.08% |
| PLCE-24789 | 1.07% |
| LXRX-21413 | 1.07% |
| BKE-915 | 1.07% |
| FBC-16754 | 1.07% |
| EAT-2404 | 1.07% |
| AZPN-11999 | 1.07% |
| GPI-24787 | 1.07% |
| HALO-26766 | 1.07% |
| HBM-40301 | 1.07% |
| BCRX-10905 | 1.07% |
| YNDX-41484 | 1.07% |
| WRI-8267 | 1.07% |
| SAND-43329 | 1.07% |
| XHR-48575 | 1.07% |
| TLRD-7203 | 1.07% |
| SGH-50900 | 1.07% |
| CRK-1663 | 1.07% |
| PTCT-44955 | 1.07% |
| JUNO-48317 | 1.07% |
| DPZ-26466 | 1.07% |
| XNCR-45942 | 1.07% |
| XL-8340 | 1.07% |
| BHC-10908 | 1.07% |
| EEQ-24073 | 1.07% |
| ANF-15622 | 1.07% |
| KRG-26562 | 1.07% |
| ENTA-44332 | 1.07% |
| AXL-19672 | 1.07% |
| LW-50430 | 1.07% |
| TDG-28161 | 1.07% |
| PGNX-17908 | 1.07% |
| COLL-49016 | 1.07% |
| MEOH-4795 | 1.07% |
| CHGG-45847 | 1.07% |
| AUPH-47621 | 1.07% |
| BOLD-50135 | 1.07% |
| TBPH-46932 | 1.07% |
| SGRY-49456 | 1.07% |
| PLUG-20776 | 1.07% |
| IONS-4031 | 1.07% |
| LPI-42263 | 1.07% |
| AMRS-40165 | 1.07% |
| SBLK-28112 | 1.06% |
| AFSI-32871 | 1.06% |
| PMT-38630 | 1.06% |
| GLUU-33566 | 1.06% |
| CROX-28078 | 1.06% |
| EROS-45867 | 1.06% |
| MPAA-10992 | 1.06% |
| FPRX-45430 | 1.06% |
| GRPN-42118 | 1.06% |
| WM-19181 | 1.06% |
| RPD-49275 | 1.06% |
| TSLA-39840 | 1.06% |
| CNCE-46367 | 1.06% |
| LHCG-27342 | 1.06% |
| SIX-39612 | 1.06% |
| CM-17813 | 1.06% |
| CNHI-45538 | 1.06% |
| UVV-7885 | 1.06% |
| AAPL-24 | 1.06% |
| IBP-46365 | 1.06% |
| LNG-22096 | 1.06% |
| LB-4564 | 1.06% |
| SIRI-11901 | 1.06% |
| DDD-12959 | 1.06% |
| NBR-5214 | 1.06% |
| SIG-9774 | 1.06% |
| PETS-25867 | 1.06% |
| AEM-154 | 1.06% |
| BOOT-47980 | 1.06% |
| LCI-23602 | 1.06% |
| SCHL-6705 | 1.06% |
| SITE-49959 | 1.06% |
| TOL-7530 | 1.06% |
| CIFS-51100 | 1.06% |
| CASA-51576 | 1.06% |
| BAC-700 | 1.06% |
| AAXN-22846 | 1.05% |
| UBS-48129 | 1.05% |
| INSM-21778 | 1.05% |
| OSTK-23714 | 1.05% |
| INTU-8655 | 1.05% |
| FG-50112 | 1.05% |
| RDUS-46871 | 1.05% |
| CALA-47830 | 1.05% |
| ABBV-43694 | 1.05% |
| GTT-44938 | 1.05% |
| TVTY-371 | 1.05% |
| TROX-40530 | 1.05% |
| YUM-17787 | 1.05% |
| CSOD-41098 | 1.05% |
| MTW-4656 | 1.05% |
| AAOI-45503 | 1.05% |
| CBPX-46307 | 1.05% |
| OPK-23120 | 1.05% |
| AHT-25398 | 1.05% |
| AHL-25712 | 1.05% |
| WFT-19336 | 1.05% |
| FHB-50181 | 1.05% |
| NCMI-33317 | 1.05% |
| RARE-46285 | 1.05% |
| CLNY-47230 | 1.05% |
| KLDX-49463 | 1.05% |
| SOHU-21813 | 1.05% |
| VEEV-45667 | 1.05% |
| SFIX-51467 | 1.05% |
| LULU-34395 | 1.05% |
| WVE-49585 | 1.05% |
| EGRX-46354 | 1.05% |
| SEMG-39358 | 1.05% |
| SAFM-6624 | 1.05% |
| GDV-25655 | 1.05% |
| PCAR-5787 | 1.05% |
| KLAC-4246 | 1.05% |
| STAY-45848 | 1.05% |
| HLNE-50680 | 1.05% |
| SBRA-26096 | 1.05% |
| MSCI-35078 | 1.05% |
| AVEO-39350 | 1.05% |
| CELG-1406 | 1.05% |
| CLR-33856 | 1.05% |
| KPTI-45799 | 1.05% |
| CRM-26401 | 1.05% |
| RSPP-46182 | 1.05% |
| ABMD-53 | 1.05% |
| CMO-1655 | 1.05% |
| SGMO-21447 | 1.05% |
| NVMI-21427 | 1.05% |
| NVAX-14112 | 1.05% |
| OR-47173 | 1.05% |
| FHN-26204 | 1.05% |
| SA-26203 | 1.05% |
| NGD-27323 | 1.05% |
| KRA-39079 | 1.05% |
| KYN-26660 | 1.05% |
| BCEI-50824 | 1.05% |
| CYTK-26232 | 1.05% |
| REI-42894 | 1.05% |
| NXGN-6311 | 1.05% |
| MCFT-49274 | 1.05% |
| AVXS-49751 | 1.05% |
| ADRO-48925 | 1.05% |
| HRB-3660 | 1.05% |
| OSB-49758 | 1.04% |
| RAMP-110 | 1.04% |
| ONCE-48547 | 1.04% |
| PODD-33858 | 1.04% |
| NVDA-19725 | 1.04% |
| CAI-33864 | 1.04% |
| MRVL-21666 | 1.04% |
| WRD-50537 | 1.04% |
| LLNW-33989 | 1.04% |
| TUSK-50378 | 1.04% |
| CACC-1216 | 1.04% |
| CY-2043 | 1.04% |
| ADTN-11718 | 1.04% |
| LM-4488 | 1.04% |
| ESLT-15991 | 1.04% |
| FSLR-32902 | 1.04% |
| BTG-44884 | 1.04% |
| EXPR-39626 | 1.04% |
| EXK-33236 | 1.04% |
| SBH-32866 | 1.04% |
| PZZA-9252 | 1.04% |
| GAB-3084 | 1.04% |
| MDCO-21906 | 1.04% |
| ARCC-26672 | 1.04% |
| CC-49210 | 1.04% |
| R-6326 | 1.04% |
| AEO-11086 | 1.04% |
| DWDP-51157 | 1.04% |
| HRI-32887 | 1.04% |
| PBH-27027 | 1.04% |
| MCD-4707 | 1.04% |
| AVGO-38650 | 1.04% |
| NTB-50279 | 1.04% |
| MHLD-36164 | 1.04% |
| ENDP-21750 | 1.04% |
| HIBB-15815 | 1.04% |
| DO-13635 | 1.04% |
| VET-44278 | 1.04% |
| TYG-26016 | 1.04% |
| T-6653 | 1.04% |
| GBDC-39496 | 1.04% |
| GOLF-50424 | 1.04% |
| BGS-33892 | 1.04% |
| REXR-45111 | 1.04% |
| AQUA-51375 | 1.04% |
| PJT-49448 | 1.04% |
| BKS-9693 | 1.04% |
| COMM-45734 | 1.04% |
| RDC-6392 | 1.03% |
| HAL-3443 | 1.03% |
| LEXE_A-50444 | 1.03% |
| EGBN-20713 | 1.03% |
| OAS-39797 | 1.03% |
| GSAT-32819 | 1.03% |
| SEDG-48823 | 1.03% |
| BID-869 | 1.03% |
| BRK_B-11100 | 1.03% |
| PETQ-51064 | 1.03% |
| LVNT_A-43298 | 1.03% |
| SNBR-19559 | 1.03% |
| RRD-2248 | 1.03% |
| BKNG-19917 | 1.03% |
| ENB-19374 | 1.03% |
| CHTR-39095 | 1.03% |
| MPWR-26811 | 1.03% |
| DKS-24070 | 1.03% |
| VCRA-42726 | 1.03% |
| VVV-50325 | 1.03% |
| EQC-3675 | 1.03% |
| DOVA-50985 | 1.03% |
| PSLV-40322 | 1.03% |
| NAD-20117 | 1.03% |
| TNET-46633 | 1.03% |
| QNST-39218 | 1.03% |
| DECK-9909 | 1.03% |
| TWO-38887 | 1.03% |
| MCO-22139 | 1.03% |
| SBGI-13098 | 1.03% |
| PHYS-39273 | 1.03% |
| AXS-25305 | 1.03% |
| NLY-17702 | 1.03% |
| HII-41111 | 1.03% |
| HEAR-40197 | 1.03% |
| IPXL-37849 | 1.03% |
| CHH-24865 | 1.03% |
| GOV-38446 | 1.03% |
| TPX-25802 | 1.03% |
| GCI-49203 | 1.03% |
| DB-23113 | 1.03% |
| NAK-26776 | 1.03% |
| USAT-31164 | 1.03% |
| STNG-39422 | 1.03% |
| DENN-18148 | 1.03% |
| MBI-4684 | 1.03% |
| TAHO-39938 | 1.03% |
| ON-21429 | 1.03% |
| AERI-45733 | 1.03% |
| CARS-50891 | 1.03% |
| TIME-46965 | 1.03% |
| MIC-26898 | 1.03% |
| CHUY-43215 | 1.03% |
| WIFI-41374 | 1.03% |
| CTB-1942 | 1.03% |
| RTRX-41663 | 1.03% |
| TSLX-46599 | 1.02% |
| CWST-17643 | 1.02% |
| MAG-34175 | 1.02% |
| MYOK-49535 | 1.02% |
| VSM-50287 | 1.02% |
| FLXN-46344 | 1.02% |
| BG-22959 | 1.02% |
| MTN-24799 | 1.02% |
| IVC-4084 | 1.02% |
| CCJ-14479 | 1.02% |
| ATNX-50938 | 1.02% |
| ASNA-2105 | 1.02% |
| NBL-5213 | 1.02% |
| KKR-39905 | 1.02% |
| AINV-26183 | 1.02% |
| INT-3950 | 1.02% |
| V-35920 | 1.02% |
| BLUE-44935 | 1.02% |
| COLM-18403 | 1.02% |
| GOGO-44965 | 1.02% |
| INVH-50642 | 1.02% |
| AMBA-43495 | 1.02% |
| CMCS_A-1637 | 1.02% |
| ITG-25095 | 1.02% |
| DEI-32770 | 1.02% |
| OCN-15697 | 1.02% |
| CXO-34440 | 1.02% |
| DSW-27409 | 1.02% |
| KFY-19803 | 1.02% |
| CONE-43984 | 1.02% |
| HOV-3645 | 1.02% |
| AMAT-337 | 1.02% |
| LILA_K-49206 | 1.02% |
| JPS-24013 | 1.02% |
| HPP-39816 | 1.02% |
| HR-8965 | 1.02% |
| HUM-3718 | 1.02% |
| CNS-26569 | 1.02% |
| ETW-27659 | 1.02% |
| UBNT-42027 | 1.02% |
| CLDX-19187 | 1.02% |
| ESE-2608 | 1.02% |
| BR-33562 | 1.02% |
| CORE-27864 | 1.02% |
| AGEN-21104 | 1.02% |
| RBA-18480 | 1.02% |
| UNH-7792 | 1.02% |
| CSTE-42704 | 1.02% |
| KERX-21789 | 1.02% |
| WSR-40055 | 1.02% |
| CADE-50779 | 1.02% |
| HD-3496 | 1.02% |
| CCOI-23428 | 1.02% |
| CLI-11752 | 1.02% |
| ALLE-45874 | 1.02% |
| TGH-34810 | 1.02% |
| MBUU-46284 | 1.01% |
| FNV-41886 | 1.01% |
| CLS-19063 | 1.01% |
| RDFN-51079 | 1.01% |
| DNLI-51542 | 1.01% |
| IGT-48892 | 1.01% |
| HF-33240 | 1.01% |
| AMWD-405 | 1.01% |
| WABC-8084 | 1.01% |
| HLX-17180 | 1.01% |
| WGO-8168 | 1.01% |
| HRL-3668 | 1.01% |
| ALEX-43060 | 1.01% |
| NFLX-23709 | 1.01% |
| LRCX-4537 | 1.01% |
| BKD-27830 | 1.01% |
| AES-166 | 1.01% |
| CJ-50690 | 1.01% |
| VAC-42125 | 1.01% |
| TK-13289 | 1.01% |
| OSIS-17718 | 1.01% |
| NWN-5523 | 1.01% |
| YRCW-8370 | 1.01% |
| DNR-15789 | 1.01% |
| KMPR-7795 | 1.01% |
| FSM-41915 | 1.01% |
| PM-35902 | 1.01% |
| LSI-24823 | 1.01% |
| FMSA-47848 | 1.01% |
| KMI-40852 | 1.01% |
| HAIN-10649 | 1.01% |
| GTE-31619 | 1.01% |
| SHEN-22166 | 1.01% |
| STMP-26286 | 1.00% |
| GWRE-42402 | 1.00% |
| AVP-660 | 1.00% |
| TWLO-50077 | 1.00% |
| GLPI-45656 | 1.00% |
| TPR-22099 | 1.00% |
| RWT-13451 | 1.00% |
| MCHP-8677 | 1.00% |
| ADVM-47422 | 1.00% |
| CEF-1402 | 1.00% |
| AGNC-36243 | 1.00% |
| PVAC-6258 | 1.00% |
| MOH-25349 | 1.00% |
| CZZ-34560 | 1.00% |
| BPOP-1062 | 1.00% |
| AKBA-46583 | 1.00% |
| XENT-47373 | 1.00% |
| NYRT-46760 | 1.00% |
| LBTY_K-27608 | 1.00% |
| USCR-40241 | 1.00% |
| IIIN-3849 | 1.00% |
| STAR-24862 | 1.00% |
| AYX-50735 | 1.00% |
| GBT-49335 | 1.00% |
| VIRT-48943 | 1.00% |
| ALNY-26335 | 1.00% |
| WLH-43733 | 1.00% |
| ZTS-44060 | 1.00% |
| VNDA-28326 | 1.00% |
| ARNA-21724 | 1.00% |
| NCS-935 | 0.99% |
| TSE-47098 | 0.99% |
| MDR-4752 | 0.99% |
| HPR-26865 | 0.99% |
| CMPR-27674 | 0.99% |
| YEXT-50781 | 0.99% |
| LE-46579 | 0.99% |
| XLRN-45431 | 0.99% |
| PSTG-49464 | 0.99% |
| APTI-50318 | 0.98% |
| MAT-4668 | 0.98% |
| BW-49208 | 0.98% |
| DHT-27705 | 0.98% |
| ECPG-25320 | 0.98% |
| VRTU-34483 | 0.98% |
| CALM-16169 | 0.98% |
| ANIP-25565 | 0.97% |
| LBRD_K-48010 | 0.97% |
| PDS-5855 | 0.97% |
| FNGN-39363 | 0.96% |
| ELY-2514 | 0.95% |
| PLSE-49957 | 0.95% |
| AXGN-4413 | 0.94% |
| CDK-47752 | 0.94% |
| SQ-49610 | 0.93% |
| WIN-27019 | 0.86% |
| PKG-20773 | 0.84% |
| MRTN-5038 | 0.83% |
| CMD-1722 | 0.81% |
| PSEC-26517 | 0.76% |
| NCLH-43981 | 0.72% |
| NYT-5551 | 0.62% |
| CWH-50366 | 0.59% |
| PRTY-48933 | 0.58% |
| ARRY-22192 | 0.55% |
| NAV-5199 | 0.54% |
| AYR-32475 | 0.51% |
| PTEN-10254 | 0.44% |
| FOR-35245 | 0.41% |
| MRO-5035 | 0.37% |
| PI-50138 | 0.30% |
| WPM-27437 | 0.25% |
| IAG-24491 | 0.25% |
| TRHC-50333 | 0.23% |
| VICR-7965 | 0.23% |
| CMC-1636 | 0.18% |
| MDCA-12800 | 0.13% |
| ENPH-42749 | 0.10% |
| VGR-21572 | 0.00% |
Performance Relative to Common Risk Factors¶
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 10.36% |
| Annualized Common Return | -0.50% |
| Annualized Total Return | 9.81% |
| Specific Sharpe Ratio | 1.97 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | -0.00 | 0.27% | 0.27% |
| consumer_cyclical | 0.08 | 0.68% | 0.68% |
| financial_services | -0.01 | 0.48% | 0.49% |
| real_estate | 0.02 | -0.16% | -0.16% |
| consumer_defensive | -0.00 | -0.03% | -0.03% |
| health_care | -0.16 | -3.09% | -3.10% |
| utilities | -0.00 | 0.01% | 0.01% |
| communication_services | 0.01 | 0.54% | 0.54% |
| energy | 0.00 | -0.75% | -0.76% |
| industrials | -0.01 | -0.05% | -0.05% |
| technology | 0.03 | 0.22% | 0.22% |
| momentum | -0.01 | 0.06% | 0.06% |
| size | 0.18 | -0.01% | -0.01% |
| value | -0.23 | -0.02% | -0.02% |
| short_term_reversal | 0.22 | 0.60% | 0.60% |
| volatility | -0.28 | 0.78% | 0.78% |
