Portfolio
lightgbmLGBM 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
9
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
46.63%
Short avg
12.00%
bajar = bueno para el short
Spread long − short
34.62%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PRU | Prudential Financial, Inc. | Financial Services | 0.649 | 3.33% | 24.52% |
| 2 | DVN | Devon Energy Corporation | Energy | 0.572 | 3.33% | 50.03% |
| 3 | LNC | Lincoln National Corporation | Financial Services | 0.549 | 3.33% | 38.67% |
| 4 | DXC | DXC Technology Company | Technology | 0.491 | 3.33% | 29.97% |
| 5 | UNM | Unum Group | Financial Services | 0.488 | 3.33% | 21.29% |
| 6 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.467 | 3.33% | 54.20% |
| 7 | APA | APA Corporation | Energy | 0.458 | 3.33% | 117.69% |
| 8 | HAL | Halliburton Company | Energy | 0.447 | 3.33% | 63.96% |
| 9 | MRO | Marathon Oil Corporation | Energy | 0.403 | 3.33% | 64.58% |
| 10 | INTU | Intuit Inc. | Technology | 0.387 | 3.33% | 32.95% |
| 11 | DFS | Discover Financial Services | Financial Services | 0.372 | 3.33% | 43.59% |
| 12 | IVZ | Invesco Ltd. | Financial Services | 0.370 | 3.33% | 26.75% |
| 13 | VTR | Ventas, Inc. | Real Estate | 0.364 | 3.33% | 52.50% |
| 14 | BKR | Baker Hughes Company | Energy | 0.355 | 3.33% | 46.53% |
| 15 | BA | The Boeing Company | Industrials | 0.351 | 3.33% | 32.18% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.622 | -3.33% | 2.80% |
| 2 | WMT | Walmart Inc. | Consumer Defensive | -0.537 | -3.33% | 5.18% |
| 3 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.517 | -3.33% | 32.01% |
| 4 | BIIB | Biogen Inc. | Healthcare | -0.479 | -3.33% | -10.22% |
| 5 | COR | Cencora, Inc. | Healthcare | -0.448 | -3.33% | 14.76% |
| 6 | K | Kellanova | Consumer Defensive | -0.441 | -3.33% | 8.48% |
| 7 | KR | The Kroger Co. | Consumer Defensive | -0.432 | -3.33% | 10.07% |
| 8 | COST | Costco Wholesale Corporation | Consumer Defensive | -0.427 | -3.33% | 6.30% |
| 9 | DVA | DaVita Inc. | Healthcare | -0.405 | -3.33% | 10.50% |
| 10 | TMUS | T-Mobile US, Inc. | Communication Services | -0.399 | -3.33% | 22.05% |
| 11 | GIS | General Mills, Inc. | Consumer Defensive | -0.391 | -3.33% | 13.77% |
| 12 | DG | Dollar General Corporation | Consumer Defensive | -0.385 | -3.33% | 22.25% |
| 13 | CLX | The Clorox Company | Consumer Defensive | -0.384 | -3.33% | 23.43% |
| 14 | CPB | Campbell Soup Company | Consumer Defensive | -0.383 | -3.33% | 7.74% |
| 15 | CVS | CVS Health Corporation | Healthcare | -0.377 | -3.33% | 10.95% |
Sector exposure en el rebalanceo seleccionado
2020-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Defensive | 0.0% | 30.0% | -30.00% | 0 | 9 |
| Energy | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Financial Services | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Healthcare | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Technology | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Cyclical | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |