Portfolio
lightgbmLGBM dual tail· rebalanceo 2020-04-30
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
15.24%
Short avg
1.65%
bajar = bueno para el short
Spread long − short
13.58%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MOS | The Mosaic Company | Basic Materials | 0.706 | 3.33% | 19.30% |
| 2 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.705 | 3.33% | 18.55% |
| 3 | HAL | Halliburton Company | Energy | 0.703 | 3.33% | 38.71% |
| 4 | FTI | TechnipFMC plc | Energy | 0.695 | 3.33% | -3.06% |
| 5 | WDC | Western Digital Corporation | Technology | 0.695 | 3.33% | 6.27% |
| 6 | BA | The Boeing Company | Industrials | 0.679 | 3.33% | 16.95% |
| 7 | HP | Helmerich & Payne, Inc. | Energy | 0.679 | 3.33% | 10.34% |
| 8 | SYF | Synchrony Financial | Financial Services | 0.675 | 3.33% | 18.83% |
| 9 | NTAP | NetApp, Inc. | Technology | 0.671 | 3.33% | 7.70% |
| 10 | LRCX | Lam Research Corporation | Technology | 0.669 | 3.33% | 47.71% |
| 11 | JWN | Nordstrom, Inc. | Consumer Cyclical | 0.666 | 3.33% | -25.46% |
| 12 | SLB | SLB N.V. | Energy | 0.658 | 3.33% | 14.80% |
| 13 | BKR | Baker Hughes Company | Energy | 0.653 | 3.33% | 13.48% |
| 14 | ALGN | Align Technology, Inc. | Healthcare | 0.649 | 3.33% | 36.85% |
| 15 | KSS | Kohl's Corporation | Consumer Cyclical | 0.647 | 3.33% | 7.59% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | OXY | Occidental Petroleum Corporation | Energy | 0.411 | -3.33% | 3.31% |
| 2 | FANG | Diamondback Energy, Inc. | Energy | 0.349 | -3.33% | -0.13% |
| 3 | COTY | Coty Inc. | Consumer Defensive | 0.596 | -3.33% | -33.38% |
| 4 | UA | Under Armour, Inc. | Consumer Cyclical | 0.555 | -3.33% | 8.00% |
| 5 | WRK | WestRock Company | Consumer Cyclical | 0.391 | -3.33% | -13.00% |
| 6 | TSN | Tyson Foods, Inc. | Consumer Defensive | 0.421 | -3.33% | 3.02% |
| 7 | FOX | Fox Corporation | Communication Services | 0.359 | -3.33% | 2.96% |
| 8 | FOXA | Fox Corporation | Communication Services | 0.354 | -3.33% | 1.35% |
| 9 | KHC | The Kraft Heinz Company | Consumer Defensive | 0.315 | -3.33% | 17.03% |
| 10 | DVA | DaVita Inc. | Healthcare | 0.244 | -3.33% | 13.30% |
| 11 | TPR | Tapestry, Inc. | Consumer Cyclical | 0.603 | -3.33% | -12.67% |
| 12 | DISH | DISH Network Corporation | Communication Services | 0.465 | -3.33% | 29.15% |
| 13 | CPRI | Capri Holdings Limited | Consumer Cyclical | 0.529 | -3.33% | 7.05% |
| 14 | DISCK | Warner Bros. Discovery, Inc. | Communication Services | 0.325 | -3.33% | -3.07% |
| 15 | ELV | Elevance Health Inc. | Healthcare | 0.390 | -3.33% | 1.87% |
Sector exposure en el rebalanceo seleccionado
2020-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 10.0% | 13.3% | -3.33% | 3 | 4 |
| Energy | 16.7% | 6.7% | 10.00% | 5 | 2 |
| Communication Services | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Healthcare | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Technology | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Financial Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |