Portfolio
lightgbmLGBM 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
6
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
16.52%
Short avg
9.94%
bajar = bueno para el short
Spread long − short
6.59%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PRU | Prudential Financial, Inc. | Financial Services | 0.608 | 3.33% | 8.14% |
| 2 | KEY | KeyCorp | Financial Services | 0.516 | 3.33% | 9.67% |
| 3 | WDC | Western Digital Corporation | Technology | 0.496 | 3.33% | 6.27% |
| 4 | UNM | Unum Group | Financial Services | 0.432 | 3.33% | 5.89% |
| 5 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.429 | 3.33% | 16.28% |
| 6 | LNC | Lincoln National Corporation | Financial Services | 0.418 | 3.33% | 14.94% |
| 7 | DFS | Discover Financial Services | Financial Services | 0.415 | 3.33% | 18.90% |
| 8 | SYF | Synchrony Financial | Financial Services | 0.406 | 3.33% | 18.83% |
| 9 | FITB | Fifth Third Bancorp | Financial Services | 0.402 | 3.33% | 12.59% |
| 10 | PFG | Principal Financial Group, Inc. | Financial Services | 0.394 | 3.33% | 20.34% |
| 11 | AMP | Ameriprise Financial, Inc. | Financial Services | 0.385 | 3.33% | 33.12% |
| 12 | AIG | American International Group, Inc. | Financial Services | 0.369 | 3.33% | 30.63% |
| 13 | C | Citigroup Inc. | Financial Services | 0.363 | 3.33% | 10.40% |
| 14 | IVZ | Invesco Ltd. | Financial Services | 0.360 | 3.33% | 24.93% |
| 15 | BA | The Boeing Company | Industrials | 0.359 | 3.33% | 16.95% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.448 | -3.33% | 9.26% |
| 2 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.400 | -3.33% | 21.87% |
| 3 | CVS | CVS Health Corporation | Healthcare | -0.385 | -3.33% | 6.06% |
| 4 | TGT | Target Corporation | Consumer Defensive | -0.367 | -3.33% | 15.65% |
| 5 | COST | Costco Wholesale Corporation | Consumer Defensive | -0.366 | -3.33% | 7.75% |
| 6 | WMT | Walmart Inc. | Consumer Defensive | -0.366 | -3.33% | 5.58% |
| 7 | KR | The Kroger Co. | Consumer Defensive | -0.365 | -3.33% | 8.94% |
| 8 | CL | Colgate-Palmolive Company | Consumer Defensive | -0.349 | -3.33% | 12.50% |
| 9 | NEM | Newmont Corporation | Basic Materials | -0.347 | -3.33% | 13.05% |
| 10 | BIIB | Biogen Inc. | Healthcare | -0.344 | -3.33% | -6.48% |
| 11 | DVA | DaVita Inc. | Healthcare | -0.332 | -3.33% | 13.30% |
| 12 | MKTX | MarketAxess Holdings Inc. | Financial Services | -0.329 | -3.33% | 13.99% |
| 13 | COR | Cencora, Inc. | Healthcare | -0.321 | -3.33% | 15.33% |
| 14 | GIS | General Mills, Inc. | Consumer Defensive | -0.318 | -3.33% | 6.79% |
| 15 | HUM | Humana Inc. | Healthcare | -0.317 | -3.33% | 5.45% |
Sector exposure en el rebalanceo seleccionado
2020-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 43.3% | 3.3% | 40.00% | 13 | 1 |
| Consumer Defensive | 0.0% | 23.3% | -23.33% | 0 | 7 |
| Healthcare | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Technology | 3.3% | 0.0% | 3.33% | 1 | 0 |