Portfolio
lightgbmLGBM dual tail macro· 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
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
13.03%
Short avg
11.35%
bajar = bueno para el short
Spread long − short
1.68%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | 0.695 | 3.33% | 38.71% |
| 2 | FTI | TechnipFMC plc | Energy | 0.657 | 3.33% | -3.06% |
| 3 | HP | Helmerich & Payne, Inc. | Energy | 0.652 | 3.33% | 10.34% |
| 4 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.646 | 3.33% | 18.55% |
| 5 | BA | The Boeing Company | Industrials | 0.645 | 3.33% | 16.95% |
| 6 | WDC | Western Digital Corporation | Technology | 0.640 | 3.33% | 6.27% |
| 7 | BKR | Baker Hughes Company | Energy | 0.630 | 3.33% | 13.48% |
| 8 | SLB | SLB N.V. | Energy | 0.609 | 3.33% | 14.80% |
| 9 | NTAP | NetApp, Inc. | Technology | 0.608 | 3.33% | 7.70% |
| 10 | COP | ConocoPhillips | Energy | 0.574 | 3.33% | -2.57% |
| 11 | JWN | Nordstrom, Inc. | Consumer Cyclical | 0.571 | 3.33% | -25.46% |
| 12 | MOS | The Mosaic Company | Basic Materials | 0.570 | 3.33% | 19.30% |
| 13 | SYF | Synchrony Financial | Financial Services | 0.568 | 3.33% | 18.83% |
| 14 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.564 | 3.33% | 13.94% |
| 15 | LRCX | Lam Research Corporation | Technology | 0.559 | 3.33% | 47.71% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | OXY | Occidental Petroleum Corporation | Energy | 0.472 | -3.33% | 3.31% |
| 2 | FANG | Diamondback Energy, Inc. | Energy | 0.350 | -3.33% | -0.13% |
| 3 | DISH | DISH Network Corporation | Communication Services | 0.454 | -3.33% | 29.15% |
| 4 | UA | Under Armour, Inc. | Consumer Cyclical | 0.411 | -3.33% | 8.00% |
| 5 | COTY | Coty Inc. | Consumer Defensive | 0.494 | -3.33% | -33.38% |
| 6 | ABMD | Abiomed, Inc. | Healthcare | 0.425 | -3.33% | 49.14% |
| 7 | VTRS | Viatris Inc. | Healthcare | 0.486 | -3.33% | -0.15% |
| 8 | ZBH | Zimmer Biomet Holdings, Inc. | Healthcare | 0.425 | -3.33% | 15.05% |
| 9 | LUMN | Lumen Technologies, Inc. | Communication Services | 0.371 | -3.33% | -2.72% |
| 10 | MGM | MGM Resorts International | Consumer Cyclical | 0.494 | -3.33% | 6.95% |
| 11 | LYV | Live Nation Entertainment, Inc. | Communication Services | 0.428 | -3.33% | 12.84% |
| 12 | NLSN | Nielsen Holdings plc | Industrials | 0.418 | -3.33% | 3.31% |
| 13 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | 0.456 | -3.33% | 71.03% |
| 14 | GIS | General Mills, Inc. | Consumer Defensive | 0.171 | -3.33% | 6.79% |
| 15 | PRGO | Perrigo Company plc | Healthcare | 0.331 | -3.33% | 1.05% |
Sector exposure en el rebalanceo seleccionado
2020-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 20.0% | 6.7% | 13.33% | 6 | 2 |
| Consumer Cyclical | 6.7% | 10.0% | -3.33% | 2 | 3 |
| Healthcare | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Communication Services | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Technology | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Financial Services | 3.3% | 0.0% | 3.33% | 1 | 0 |