Portfolio
lightgbmLGBM long only· 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 100.0%
Short book
0
gross 0.0%
Sectores cubiertos
7
15 posiciones
Sortino del run
1.72
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
36.27%
Short avg
—
bajar = bueno para el short
Spread long − short
—
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PRU | Prudential Financial, Inc. | Financial Services | 0.449 | 6.67% | 24.52% |
| 2 | DXC | DXC Technology Company | Technology | 0.441 | 6.67% | 29.97% |
| 3 | BA | The Boeing Company | Industrials | 0.419 | 6.67% | 32.18% |
| 4 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.397 | 6.67% | 54.20% |
| 5 | WDC | Western Digital Corporation | Technology | 0.340 | 6.67% | 10.63% |
| 6 | LNC | Lincoln National Corporation | Financial Services | 0.339 | 6.67% | 38.67% |
| 7 | HAL | Halliburton Company | Energy | 0.338 | 6.67% | 63.96% |
| 8 | NTAP | NetApp, Inc. | Technology | 0.329 | 6.67% | 9.60% |
| 9 | DVN | Devon Energy Corporation | Energy | 0.324 | 6.67% | 50.03% |
| 10 | INTU | Intuit Inc. | Technology | 0.312 | 6.67% | 32.95% |
| 11 | APA | APA Corporation | Energy | 0.297 | 6.67% | 117.69% |
| 12 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.288 | 6.67% | 26.01% |
| 13 | ADS | Bread Financial Holdings, Inc. | Financial Services | 0.287 | 6.67% | 34.30% |
| 14 | MOS | The Mosaic Company | Basic Materials | 0.286 | 6.67% | 20.54% |
| 15 | WAT | Waters Corporation | Healthcare | 0.284 | 6.67% | -1.19% |
Short book
0 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| Sin posiciones short. | ||||||
Sector exposure en el rebalanceo seleccionado
2020-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 33.3% | 0.0% | 33.33% | 5 | 0 |
| Energy | 20.0% | 0.0% | 20.00% | 3 | 0 |
| Financial Services | 20.0% | 0.0% | 20.00% | 3 | 0 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 1 | 0 |
| Consumer Cyclical | 6.7% | 0.0% | 6.67% | 1 | 0 |
| Healthcare | 6.7% | 0.0% | 6.67% | 1 | 0 |
| Industrials | 6.7% | 0.0% | 6.67% | 1 | 0 |