Portfolio
lightgbmLGBM no sector· 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
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
36.71%
Short avg
14.15%
bajar = bueno para el short
Spread long − short
22.56%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LNC | Lincoln National Corporation | Financial Services | 0.485 | 3.33% | 38.67% |
| 2 | DXC | DXC Technology Company | Technology | 0.461 | 3.33% | 29.97% |
| 3 | PRU | Prudential Financial, Inc. | Financial Services | 0.447 | 3.33% | 24.52% |
| 4 | BA | The Boeing Company | Industrials | 0.438 | 3.33% | 32.18% |
| 5 | DVN | Devon Energy Corporation | Energy | 0.411 | 3.33% | 50.03% |
| 6 | ADS | Bread Financial Holdings, Inc. | Financial Services | 0.369 | 3.33% | 34.30% |
| 7 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.347 | 3.33% | 54.20% |
| 8 | OKE | ONEOK, Inc. | Energy | 0.343 | 3.33% | 54.90% |
| 9 | HAL | Halliburton Company | Energy | 0.325 | 3.33% | 63.96% |
| 10 | DFS | Discover Financial Services | Financial Services | 0.323 | 3.33% | 43.59% |
| 11 | INTU | Intuit Inc. | Technology | 0.323 | 3.33% | 32.95% |
| 12 | NTAP | NetApp, Inc. | Technology | 0.315 | 3.33% | 9.60% |
| 13 | HP | Helmerich & Payne, Inc. | Energy | 0.314 | 3.33% | 30.70% |
| 14 | UNM | Unum Group | Financial Services | 0.303 | 3.33% | 21.29% |
| 15 | CMA | Comerica Incorporated | Financial Services | 0.295 | 3.33% | 29.76% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.453 | -3.33% | 2.80% |
| 2 | COR | Cencora, Inc. | Healthcare | -0.426 | -3.33% | 14.76% |
| 3 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.421 | -3.33% | 30.43% |
| 4 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.419 | -3.33% | 32.01% |
| 5 | DVA | DaVita Inc. | Healthcare | -0.413 | -3.33% | 10.50% |
| 6 | KR | The Kroger Co. | Consumer Defensive | -0.410 | -3.33% | 10.07% |
| 7 | BIIB | Biogen Inc. | Healthcare | -0.383 | -3.33% | -10.22% |
| 8 | NEM | Newmont Corporation | Basic Materials | -0.378 | -3.33% | 28.23% |
| 9 | WMT | Walmart Inc. | Consumer Defensive | -0.366 | -3.33% | 5.18% |
| 10 | TMUS | T-Mobile US, Inc. | Communication Services | -0.360 | -3.33% | 22.05% |
| 11 | AKAM | Akamai Technologies, Inc. | Technology | -0.327 | -3.33% | 14.91% |
| 12 | DG | Dollar General Corporation | Consumer Defensive | -0.315 | -3.33% | 22.25% |
| 13 | MCK | McKesson Corporation | Healthcare | -0.296 | -3.33% | 12.85% |
| 14 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.287 | -3.33% | -4.02% |
| 15 | REGN | Regeneron Pharmaceuticals, Inc. | Healthcare | -0.285 | -3.33% | 20.42% |
Sector exposure en el rebalanceo seleccionado
2020-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Healthcare | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Consumer Defensive | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Energy | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Technology | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Cyclical | 3.3% | 0.0% | 3.33% | 1 | 0 |