Portfolio

lightgbmLGBM beta neutral buffer· rebalanceo 2020-05-29

Ver run completo

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 rebalanceos
2020-05-29históricoir a última5 / 72 rebalanceos
202012
01-3102-2803-3104-3005-2906-3007-3108-3109-3010-3011-3012-31
202112
01-2902-2603-3104-3005-2806-3007-3008-3109-3010-2911-3012-31
202212
01-3102-2803-3104-2905-3106-3007-2908-3109-3010-3111-3012-30
202312
01-3102-2803-3104-2805-3106-3007-3108-3109-2910-3111-3012-29
202412
01-3102-2903-2804-3005-3106-2807-3108-3009-3010-3111-2912-31
202512
01-3102-2803-3104-3005-3006-3007-3108-2909-3010-3111-2812-31

Snapshot (histórico)

Long book

15

gross 36.0%

Short book

15

gross -64.0%

Sectores cubiertos

10

30 posiciones

Sortino del run

-0.50

Realizado en los 63 días posteriores

exposición media por posición

Long avg

11.72%

Short avg

5.58%

bajar = bueno para el short

Spread long − short

6.14%

Long book

15 posiciones
#TickerCompañíaSectorScorePesoRet realizado 63d
1NCLHNorwegian Cruise Line Holdings Ltd.Consumer Cyclical0.4892.40%2.29%
2APAAPA CorporationEnergy0.4682.40%25.08%
3DXCDXC Technology CompanyTechnology0.4542.40%33.14%
4BAThe Boeing CompanyIndustrials0.4082.40%14.95%
5PRUPrudential Financial, Inc.Financial Services0.4032.40%15.09%
6ADSBread Financial Holdings, Inc.Financial Services0.3722.40%-6.09%
7AESThe AES CorporationUtilities0.3672.40%36.40%
8WDCWestern Digital CorporationTechnology0.3462.40%-12.96%
9NTAPNetApp, Inc.Technology0.3332.40%8.07%
10JWNNordstrom, Inc.Consumer Cyclical0.3192.40%-5.70%
11OXYOccidental Petroleum CorporationEnergy0.3172.40%-5.00%
12CCLCarnival Corporation & plcConsumer Cyclical0.3142.40%2.44%
13SPGSimon Property Group, Inc.Real Estate0.3132.40%14.56%
14AMPAmeriprise Financial, Inc.Financial Services0.3122.40%10.55%
15CRMSalesforce, Inc.Technology0.3012.40%43.00%

Short book

15 posiciones
#TickerCompañíaSectorScorePesoRet realizado 63d
1ODFLOld Dominion Freight Line, Inc.Industrials-0.517-4.26%17.68%
2WSTWest Pharmaceutical Services, Inc.Healthcare-0.441-4.26%24.76%
3LUMNLumen Technologies, Inc.Communication Services-0.416-4.26%10.30%
4TMUST-Mobile US, Inc.Communication Services-0.408-4.26%15.37%
5HRLHormel Foods CorporationConsumer Defensive-0.382-4.26%4.08%
6CORCencora, Inc.Healthcare-0.358-4.26%2.90%
7DVADaVita Inc.Healthcare-0.347-4.26%7.90%
8MCKMcKesson CorporationHealthcare-0.345-4.26%-3.24%
9VRTXVertex Pharmaceuticals IncorporatedHealthcare-0.311-4.26%-6.00%
10FASTFastenal CompanyIndustrials-0.309-4.26%18.86%
11KHCThe Kraft Heinz CompanyConsumer Defensive-0.299-4.26%14.81%
12MKTXMarketAxess Holdings Inc.Financial Services-0.284-4.26%-6.94%
13CICigna CorporationHealthcare-0.276-4.26%-8.94%
14TAT&T Inc.Communication Services-0.262-4.26%-0.71%
15CAHCardinal Health, Inc.Healthcare-0.246-4.26%-7.05%

Sector exposure en el rebalanceo seleccionado

2020-05-29
SectorLongShortNetn longn short
Healthcare0.0%29.9%-29.85%07
Communication Services0.0%12.8%-12.79%03
Financial Services7.2%4.3%2.94%31
Industrials2.4%8.5%-6.13%12
Technology9.6%0.0%9.61%40
Consumer Defensive0.0%8.5%-8.53%02
Consumer Cyclical7.2%0.0%7.21%30
Energy4.8%0.0%4.80%20
Real Estate2.4%0.0%2.40%10
Utilities2.4%0.0%2.40%10