Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2020-01-31
Run
LGBM long only1.72LGBM 126d fundamental flexible 50 long only uncapped1.36LGBM 126d fundamental flexible 50 uncapped1.20LGBM 126d fundamental flexible uncapped0.96LGBM 126d fundamental flexible 50 sector450.96LGBM short filter0.81LGBM 126d flexible 50 beta600.81LGBM 126d fundamental flexible sector450.79LGBM 126d fundamental flexible0.64LGBM 126d flexible 50 beta400.51LGBM0.29LGBM buffer-0.04LGBM macro-0.26Ridge macro-0.33Ridge-0.33LGBM dual tail macro-0.37Ridge no sector-0.38LGBM 126d sector market cap 25 25-0.45LGBM beta neutral buffer-0.50LGBM dual tail-0.62LGBM no sector-0.71LGBM 126d—LGBM 21d—LGBM 252d—
Línea temporal
72 rebalanceosSnapshot (histórico)
Long book
15
gross 45.2%
Short book
15
gross -54.8%
Sectores cubiertos
12
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-13.40%
Short avg
-20.35%
bajar = bueno para el short
Spread long − short
6.95%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | INTU | Intuit Inc. | Technology | 0.387 | 3.01% | -5.24% |
| 2 | VRSN | VeriSign, Inc. | Technology | 0.380 | 3.01% | -0.82% |
| 3 | MA | Mastercard Incorporated | Financial Services | 0.361 | 3.01% | -18.51% |
| 4 | DXC | DXC Technology Company | Technology | 0.359 | 3.01% | -64.28% |
| 5 | NTAP | NetApp, Inc. | Technology | 0.342 | 3.01% | -27.27% |
| 6 | XLNX | Xilinx, Inc. | Technology | 0.338 | 3.01% | -2.15% |
| 7 | CME | CME Group Inc. | Financial Services | 0.335 | 3.01% | -21.40% |
| 8 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.314 | 3.01% | 14.46% |
| 9 | CSCO | Cisco Systems, Inc. | Technology | 0.270 | 3.01% | -10.85% |
| 10 | SBAC | SBA Communications Corporation | Real Estate | 0.254 | 3.01% | 14.66% |
| 11 | EW | Edwards Lifesciences Corporation | Healthcare | 0.247 | 3.01% | -6.09% |
| 12 | DD | DuPont de Nemours, Inc. | Basic Materials | 0.242 | 3.01% | -14.09% |
| 13 | PRU | Prudential Financial, Inc. | Financial Services | 0.241 | 3.01% | -42.93% |
| 14 | ADBE | Adobe Inc. | Technology | 0.239 | 3.01% | -2.51% |
| 15 | AEE | Ameren Corporation | Utilities | 0.235 | 3.01% | -13.94% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HES | Hess Corporation | Energy | -0.415 | -3.66% | -19.04% |
| 2 | T | AT&T Inc. | Communication Services | -0.370 | -3.66% | -19.91% |
| 3 | CPRT | Copart, Inc. | Industrials | -0.343 | -3.66% | -25.64% |
| 4 | CTRA | — | Unknown | -0.316 | -3.66% | 35.85% |
| 5 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.311 | -3.66% | -28.73% |
| 6 | CAG | Conagra Brands, Inc. | Consumer Defensive | -0.310 | -3.66% | 2.05% |
| 7 | DISCK | Warner Bros. Discovery, Inc. | Communication Services | -0.298 | -3.66% | -32.85% |
| 8 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.294 | -3.66% | -23.88% |
| 9 | DVA | DaVita Inc. | Healthcare | -0.283 | -3.66% | -5.31% |
| 10 | FANG | Diamondback Energy, Inc. | Energy | -0.255 | -3.66% | -53.55% |
| 11 | PAYC | Paycom Software, Inc. | Technology | -0.255 | -3.66% | -26.52% |
| 12 | ETR | Entergy Corporation | Utilities | -0.251 | -3.66% | -31.90% |
| 13 | COTY | Coty Inc. | Consumer Defensive | -0.250 | -3.66% | -67.33% |
| 14 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.243 | -3.66% | 11.18% |
| 15 | TROW | T. Rowe Price Group, Inc. | Financial Services | -0.234 | -3.66% | -19.60% |
Sector exposure en el rebalanceo seleccionado
2020-01-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 21.1% | 3.7% | 17.41% | 7 | 1 |
| Financial Services | 9.0% | 3.7% | 5.37% | 3 | 1 |
| Communication Services | 0.0% | 11.0% | -10.97% | 0 | 3 |
| Consumer Defensive | 0.0% | 7.3% | -7.31% | 0 | 2 |
| Energy | 0.0% | 7.3% | -7.31% | 0 | 2 |
| Industrials | 0.0% | 7.3% | -7.31% | 0 | 2 |
| Consumer Cyclical | 3.0% | 3.7% | -0.65% | 1 | 1 |
| Healthcare | 3.0% | 3.7% | -0.65% | 1 | 1 |
| Utilities | 3.0% | 3.7% | -0.65% | 1 | 1 |
| Unknown | 0.0% | 3.7% | -3.66% | 0 | 1 |
| Basic Materials | 3.0% | 0.0% | 3.01% | 1 | 0 |
| Real Estate | 3.0% | 0.0% | 3.01% | 1 | 0 |