Portfolio
lightgbmLGBM dual tail macro· 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
8
30 posiciones
Sortino del run
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
30.37%
Short avg
26.46%
bajar = bueno para el short
Spread long − short
3.91%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | 0.691 | 3.33% | 63.96% |
| 2 | FTI | TechnipFMC plc | Energy | 0.663 | 3.33% | 5.37% |
| 3 | HP | Helmerich & Payne, Inc. | Energy | 0.656 | 3.33% | 30.70% |
| 4 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.640 | 3.33% | 48.49% |
| 5 | WDC | Western Digital Corporation | Technology | 0.638 | 3.33% | 10.63% |
| 6 | SLB | SLB N.V. | Energy | 0.637 | 3.33% | 34.79% |
| 7 | BA | The Boeing Company | Industrials | 0.626 | 3.33% | 32.18% |
| 8 | BKR | Baker Hughes Company | Energy | 0.612 | 3.33% | 46.53% |
| 9 | NTAP | NetApp, Inc. | Technology | 0.604 | 3.33% | 9.60% |
| 10 | COP | ConocoPhillips | Energy | 0.598 | 3.33% | 32.90% |
| 11 | MOS | The Mosaic Company | Basic Materials | 0.597 | 3.33% | 20.54% |
| 12 | XLNX | Xilinx, Inc. | Technology | 0.586 | 3.33% | 19.57% |
| 13 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.586 | 3.33% | 39.08% |
| 14 | JWN | Nordstrom, Inc. | Consumer Cyclical | 0.570 | 3.33% | 13.10% |
| 15 | DD | DuPont de Nemours, Inc. | Basic Materials | 0.563 | 3.33% | 48.12% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FANG | Diamondback Energy, Inc. | Energy | 0.364 | -3.33% | 46.63% |
| 2 | DISH | DISH Network Corporation | Communication Services | 0.433 | -3.33% | 61.62% |
| 3 | OXY | Occidental Petroleum Corporation | Energy | 0.499 | -3.33% | 48.36% |
| 4 | LUMN | Lumen Technologies, Inc. | Communication Services | 0.384 | -3.33% | 14.04% |
| 5 | COTY | Coty Inc. | Consumer Defensive | 0.512 | -3.33% | -3.19% |
| 6 | LYV | Live Nation Entertainment, Inc. | Communication Services | 0.451 | -3.33% | 16.86% |
| 7 | CNC | Centene Corporation | Healthcare | 0.346 | -3.33% | 15.32% |
| 8 | ABMD | Abiomed, Inc. | Healthcare | 0.449 | -3.33% | 56.90% |
| 9 | NLSN | Nielsen Holdings plc | Industrials | 0.424 | -3.33% | 21.07% |
| 10 | VTRS | Viatris Inc. | Healthcare | 0.487 | -3.33% | 10.00% |
| 11 | MNST | Monster Beverage Corporation | Consumer Defensive | 0.244 | -3.33% | 26.22% |
| 12 | HAS | Hasbro, Inc. | Consumer Cyclical | 0.558 | -3.33% | 7.31% |
| 13 | ZBH | Zimmer Biomet Holdings, Inc. | Healthcare | 0.341 | -3.33% | 28.83% |
| 14 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | 0.402 | -3.33% | 22.18% |
| 15 | DLTR | Dollar Tree, Inc. | Consumer Defensive | 0.412 | -3.33% | 24.71% |
Sector exposure en el rebalanceo seleccionado
2020-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 20.0% | 6.7% | 13.33% | 6 | 2 |
| Consumer Defensive | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Healthcare | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Basic Materials | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Communication Services | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Cyclical | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Technology | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |