Portfolio
lightgbmLGBM dual tail· 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
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
30.62%
Short avg
29.87%
bajar = bueno para el short
Spread long − short
0.75%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | 0.733 | 3.33% | 63.96% |
| 2 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.708 | 3.33% | 48.49% |
| 3 | FTI | TechnipFMC plc | Energy | 0.693 | 3.33% | 5.37% |
| 4 | MOS | The Mosaic Company | Basic Materials | 0.688 | 3.33% | 20.54% |
| 5 | HP | Helmerich & Payne, Inc. | Energy | 0.684 | 3.33% | 30.70% |
| 6 | NTAP | NetApp, Inc. | Technology | 0.674 | 3.33% | 9.60% |
| 7 | BA | The Boeing Company | Industrials | 0.664 | 3.33% | 32.18% |
| 8 | WDC | Western Digital Corporation | Technology | 0.664 | 3.33% | 10.63% |
| 9 | JWN | Nordstrom, Inc. | Consumer Cyclical | 0.658 | 3.33% | 13.10% |
| 10 | BKR | Baker Hughes Company | Energy | 0.657 | 3.33% | 46.53% |
| 11 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.651 | 3.33% | 39.08% |
| 12 | SYF | Synchrony Financial | Financial Services | 0.650 | 3.33% | 40.97% |
| 13 | KSS | Kohl's Corporation | Consumer Cyclical | 0.648 | 3.33% | 44.07% |
| 14 | CSCO | Cisco Systems, Inc. | Technology | 0.647 | 3.33% | 19.31% |
| 15 | SLB | SLB N.V. | Energy | 0.646 | 3.33% | 34.79% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | OXY | Occidental Petroleum Corporation | Energy | 0.446 | -3.33% | 48.36% |
| 2 | FANG | Diamondback Energy, Inc. | Energy | 0.366 | -3.33% | 46.63% |
| 3 | DISH | DISH Network Corporation | Communication Services | 0.496 | -3.33% | 61.62% |
| 4 | COTY | Coty Inc. | Consumer Defensive | 0.571 | -3.33% | -3.19% |
| 5 | DVA | DaVita Inc. | Healthcare | 0.240 | -3.33% | 10.50% |
| 6 | FOXA | Fox Corporation | Communication Services | 0.347 | -3.33% | 18.67% |
| 7 | FOX | Fox Corporation | Communication Services | 0.361 | -3.33% | 22.16% |
| 8 | CVX | Chevron Corporation | Energy | 0.406 | -3.33% | 25.99% |
| 9 | DISCK | Warner Bros. Discovery, Inc. | Communication Services | 0.319 | -3.33% | 8.73% |
| 10 | KHC | The Kraft Heinz Company | Consumer Defensive | 0.374 | -3.33% | 30.43% |
| 11 | CPRI | Capri Holdings Limited | Consumer Cyclical | 0.524 | -3.33% | 54.33% |
| 12 | PVH | PVH Corp. | Consumer Cyclical | 0.587 | -3.33% | 35.82% |
| 13 | KR | The Kroger Co. | Consumer Defensive | 0.270 | -3.33% | 10.07% |
| 14 | NOV | NOV Inc. | Energy | 0.522 | -3.33% | 23.29% |
| 15 | LEN | Lennar Corporation | Consumer Cyclical | 0.443 | -3.33% | 54.59% |
Sector exposure en el rebalanceo seleccionado
2020-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 16.7% | 13.3% | 3.33% | 5 | 4 |
| Consumer Cyclical | 10.0% | 10.0% | 0.00% | 3 | 3 |
| Communication Services | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Technology | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Financial Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |