Portfolio
lightgbmLGBM no sector· 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
7
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
13.47%
Short avg
12.23%
bajar = bueno para el short
Spread long − short
1.24%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BA | The Boeing Company | Industrials | 0.449 | 3.33% | 16.95% |
| 2 | WDC | Western Digital Corporation | Technology | 0.402 | 3.33% | 6.27% |
| 3 | PRU | Prudential Financial, Inc. | Financial Services | 0.372 | 3.33% | 8.14% |
| 4 | NTAP | NetApp, Inc. | Technology | 0.350 | 3.33% | 7.70% |
| 5 | LNC | Lincoln National Corporation | Financial Services | 0.347 | 3.33% | 14.94% |
| 6 | OKE | ONEOK, Inc. | Energy | 0.344 | 3.33% | 3.15% |
| 7 | DFS | Discover Financial Services | Financial Services | 0.340 | 3.33% | 18.90% |
| 8 | DXC | DXC Technology Company | Technology | 0.336 | 3.33% | 6.46% |
| 9 | PFG | Principal Financial Group, Inc. | Financial Services | 0.302 | 3.33% | 20.34% |
| 10 | ADS | Bread Financial Holdings, Inc. | Financial Services | 0.300 | 3.33% | -4.45% |
| 11 | INTU | Intuit Inc. | Technology | 0.297 | 3.33% | 16.15% |
| 12 | XLNX | Xilinx, Inc. | Technology | 0.279 | 3.33% | 25.74% |
| 13 | IVZ | Invesco Ltd. | Financial Services | 0.274 | 3.33% | 24.93% |
| 14 | SYF | Synchrony Financial | Financial Services | 0.270 | 3.33% | 18.83% |
| 15 | WAT | Waters Corporation | Healthcare | 0.269 | 3.33% | 17.98% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MKTX | MarketAxess Holdings Inc. | Financial Services | -0.398 | -3.33% | 13.99% |
| 2 | NEM | Newmont Corporation | Basic Materials | -0.378 | -3.33% | 13.05% |
| 3 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.359 | -3.33% | 17.03% |
| 4 | KR | The Kroger Co. | Consumer Defensive | -0.358 | -3.33% | 8.94% |
| 5 | DVA | DaVita Inc. | Healthcare | -0.344 | -3.33% | 13.30% |
| 6 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.338 | -3.33% | 9.26% |
| 7 | CNC | Centene Corporation | Healthcare | -0.335 | -3.33% | 0.43% |
| 8 | EFX | Equifax Inc. | Industrials | -0.331 | -3.33% | 16.71% |
| 9 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.316 | -3.33% | 21.87% |
| 10 | COR | Cencora, Inc. | Healthcare | -0.309 | -3.33% | 15.33% |
| 11 | HUM | Humana Inc. | Healthcare | -0.303 | -3.33% | 5.45% |
| 12 | CPRT | Copart, Inc. | Industrials | -0.302 | -3.33% | 17.13% |
| 13 | CAH | Cardinal Health, Inc. | Healthcare | -0.295 | -3.33% | 15.08% |
| 14 | DG | Dollar General Corporation | Consumer Defensive | -0.284 | -3.33% | 9.78% |
| 15 | CVS | CVS Health Corporation | Healthcare | -0.275 | -3.33% | 6.06% |
Sector exposure en el rebalanceo seleccionado
2020-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 23.3% | 3.3% | 20.00% | 7 | 1 |
| Healthcare | 3.3% | 20.0% | -16.67% | 1 | 6 |
| Technology | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Consumer Defensive | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Industrials | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |