Portfolio
lightgbmLGBM macro· rebalanceo 2020-02-28
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
10
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-16.75%
Short avg
-2.04%
bajar = bueno para el short
Spread long − short
-14.70%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DXC | DXC Technology Company | Technology | 0.471 | 3.33% | -45.52% |
| 2 | DVN | Devon Energy Corporation | Energy | 0.436 | 3.33% | -32.13% |
| 3 | INTU | Intuit Inc. | Technology | 0.430 | 3.33% | 3.29% |
| 4 | PRU | Prudential Financial, Inc. | Financial Services | 0.417 | 3.33% | -24.86% |
| 5 | MRO | Marathon Oil Corporation | Energy | 0.406 | 3.33% | -38.21% |
| 6 | LNC | Lincoln National Corporation | Financial Services | 0.404 | 3.33% | -19.49% |
| 7 | UNM | Unum Group | Financial Services | 0.397 | 3.33% | -42.45% |
| 8 | NTAP | NetApp, Inc. | Technology | 0.357 | 3.33% | -9.67% |
| 9 | ANET | Arista Networks, Inc. | Technology | 0.351 | 3.33% | 17.70% |
| 10 | NUE | Nucor Corporation | Basic Materials | 0.350 | 3.33% | 0.63% |
| 11 | XEC | — | Unknown | 0.342 | 3.33% | -17.63% |
| 12 | CSCO | Cisco Systems, Inc. | Technology | 0.328 | 3.33% | 12.68% |
| 13 | VRSN | VeriSign, Inc. | Technology | 0.324 | 3.33% | 10.68% |
| 14 | ADS | Bread Financial Holdings, Inc. | Financial Services | 0.323 | 3.33% | -54.51% |
| 15 | FCX | Freeport-McMoRan Inc. | Basic Materials | 0.297 | 3.33% | -11.69% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | STE | STERIS plc | Healthcare | -0.448 | -3.33% | 1.37% |
| 2 | DVA | DaVita Inc. | Healthcare | -0.415 | -3.33% | -2.33% |
| 3 | CHTR | Charter Communications, Inc. | Communication Services | -0.405 | -3.33% | 8.51% |
| 4 | CVS | CVS Health Corporation | Healthcare | -0.365 | -3.33% | 3.31% |
| 5 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.359 | -3.33% | -18.73% |
| 6 | LDOS | Leidos Holdings, Inc. | Technology | -0.344 | -3.33% | -3.37% |
| 7 | T | AT&T Inc. | Communication Services | -0.329 | -3.33% | -16.06% |
| 8 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.318 | -3.33% | 12.80% |
| 9 | NEE | NextEra Energy, Inc. | Utilities | -0.317 | -3.33% | -4.30% |
| 10 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.316 | -3.33% | -11.26% |
| 11 | COST | Costco Wholesale Corporation | Consumer Defensive | -0.307 | -3.33% | -0.05% |
| 12 | DG | Dollar General Corporation | Consumer Defensive | -0.306 | -3.33% | 18.45% |
| 13 | CAG | Conagra Brands, Inc. | Consumer Defensive | -0.296 | -3.33% | 21.25% |
| 14 | KO | The Coca-Cola Company | Consumer Defensive | -0.291 | -3.33% | -16.52% |
| 15 | DISCK | Warner Bros. Discovery, Inc. | Communication Services | -0.286 | -3.33% | -23.74% |
Sector exposure en el rebalanceo seleccionado
2020-02-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 20.0% | 3.3% | 16.67% | 6 | 1 |
| Consumer Defensive | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Financial Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Communication Services | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Healthcare | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Energy | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Cyclical | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Unknown | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |