Portfolio
lightgbmLGBM macro· 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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
8
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-39.75%
Short avg
-18.78%
bajar = bueno para el short
Spread long − short
-20.97%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PRU | Prudential Financial, Inc. | Financial Services | 0.431 | 3.33% | -42.93% |
| 2 | DXC | DXC Technology Company | Technology | 0.397 | 3.33% | -64.28% |
| 3 | CMA | Comerica Incorporated | Financial Services | 0.364 | 3.33% | -63.87% |
| 4 | UNM | Unum Group | Financial Services | 0.360 | 3.33% | -44.42% |
| 5 | PFG | Principal Financial Group, Inc. | Financial Services | 0.360 | 3.33% | -42.02% |
| 6 | ADS | Bread Financial Holdings, Inc. | Financial Services | 0.350 | 3.33% | -77.50% |
| 7 | NUE | Nucor Corporation | Basic Materials | 0.341 | 3.33% | -14.30% |
| 8 | XLNX | Xilinx, Inc. | Technology | 0.340 | 3.33% | -2.15% |
| 9 | KSS | Kohl's Corporation | Consumer Cyclical | 0.331 | 3.33% | -85.58% |
| 10 | NTAP | NetApp, Inc. | Technology | 0.327 | 3.33% | -27.27% |
| 11 | LNC | Lincoln National Corporation | Financial Services | 0.325 | 3.33% | -49.67% |
| 12 | BK | The Bank of New York Mellon Corporation | Financial Services | 0.311 | 3.33% | -23.17% |
| 13 | SCHW | The Charles Schwab Corporation | Financial Services | 0.310 | 3.33% | -24.47% |
| 14 | SIVB | SVB Financial Group | Financial Services | 0.309 | 3.33% | -29.41% |
| 15 | INTU | Intuit Inc. | Technology | 0.298 | 3.33% | -5.24% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CPRT | Copart, Inc. | Industrials | -0.363 | -3.33% | -25.64% |
| 2 | HES | Hess Corporation | Energy | -0.360 | -3.33% | -19.04% |
| 3 | CAG | Conagra Brands, Inc. | Consumer Defensive | -0.354 | -3.33% | 2.05% |
| 4 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.337 | -3.33% | -1.59% |
| 5 | HSY | The Hershey Company | Consumer Defensive | -0.317 | -3.33% | -15.92% |
| 6 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.316 | -3.33% | -40.29% |
| 7 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.311 | -3.33% | -23.88% |
| 8 | DISCK | Warner Bros. Discovery, Inc. | Communication Services | -0.309 | -3.33% | -32.85% |
| 9 | PAYC | Paycom Software, Inc. | Technology | -0.309 | -3.33% | -26.52% |
| 10 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.308 | -3.33% | -48.96% |
| 11 | NVR | NVR, Inc. | Consumer Cyclical | -0.302 | -3.33% | -21.83% |
| 12 | DG | Dollar General Corporation | Consumer Defensive | -0.298 | -3.33% | 12.77% |
| 13 | T | AT&T Inc. | Communication Services | -0.296 | -3.33% | -19.91% |
| 14 | LDOS | Leidos Holdings, Inc. | Technology | -0.287 | -3.33% | -3.12% |
| 15 | MO | Altria Group, Inc. | Consumer Defensive | -0.286 | -3.33% | -16.96% |
Sector exposure en el rebalanceo seleccionado
2020-01-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 30.0% | 0.0% | 30.00% | 9 | 0 |
| Consumer Defensive | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Technology | 13.3% | 6.7% | 6.67% | 4 | 2 |
| Consumer Cyclical | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |