Portfolio
lightgbmLGBM buffer· rebalanceo 2020-03-31
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
9
30 posiciones
Sortino del run
-0.04
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
32.10%
Short avg
11.82%
bajar = bueno para el short
Spread long − short
20.28%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PRU | Prudential Financial, Inc. | Financial Services | 0.449 | 3.33% | 24.52% |
| 2 | DXC | DXC Technology Company | Technology | 0.441 | 3.33% | 29.97% |
| 3 | BA | The Boeing Company | Industrials | 0.419 | 3.33% | 32.18% |
| 4 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.397 | 3.33% | 54.20% |
| 5 | WDC | Western Digital Corporation | Technology | 0.340 | 3.33% | 10.63% |
| 6 | LNC | Lincoln National Corporation | Financial Services | 0.339 | 3.33% | 38.67% |
| 7 | HAL | Halliburton Company | Energy | 0.338 | 3.33% | 63.96% |
| 8 | NTAP | NetApp, Inc. | Technology | 0.329 | 3.33% | 9.60% |
| 9 | DVN | Devon Energy Corporation | Energy | 0.324 | 3.33% | 50.03% |
| 10 | INTU | Intuit Inc. | Technology | 0.312 | 3.33% | 32.95% |
| 11 | WAT | Waters Corporation | Healthcare | 0.284 | 3.33% | -1.19% |
| 12 | CRM | Salesforce, Inc. | Technology | 0.276 | 3.33% | 35.87% |
| 13 | VRSN | VeriSign, Inc. | Technology | 0.266 | 3.33% | 18.20% |
| 14 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.256 | 3.33% | 66.35% |
| 15 | BSX | Boston Scientific Corporation | Healthcare | 0.218 | 3.33% | 15.58% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.425 | -3.33% | 32.01% |
| 2 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.414 | -3.33% | 2.80% |
| 3 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.391 | -3.33% | 30.43% |
| 4 | CPB | Campbell Soup Company | Consumer Defensive | -0.390 | -3.33% | 7.74% |
| 5 | COR | Cencora, Inc. | Healthcare | -0.388 | -3.33% | 14.76% |
| 6 | DVA | DaVita Inc. | Healthcare | -0.377 | -3.33% | 10.50% |
| 7 | BIIB | Biogen Inc. | Healthcare | -0.341 | -3.33% | -10.22% |
| 8 | CAH | Cardinal Health, Inc. | Healthcare | -0.335 | -3.33% | 8.93% |
| 9 | CVS | CVS Health Corporation | Healthcare | -0.332 | -3.33% | 10.95% |
| 10 | TMUS | T-Mobile US, Inc. | Communication Services | -0.332 | -3.33% | 22.05% |
| 11 | WMT | Walmart Inc. | Consumer Defensive | -0.325 | -3.33% | 5.18% |
| 12 | NEM | Newmont Corporation | Basic Materials | -0.316 | -3.33% | 28.23% |
| 13 | MCK | McKesson Corporation | Healthcare | -0.290 | -3.33% | 12.85% |
| 14 | T | AT&T Inc. | Communication Services | -0.280 | -3.33% | 8.75% |
| 15 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.244 | -3.33% | -7.64% |
Sector exposure en el rebalanceo seleccionado
2020-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 6.7% | 20.0% | -13.33% | 2 | 6 |
| Technology | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Consumer Defensive | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Cyclical | 3.3% | 0.0% | 3.33% | 1 | 0 |