Portfolio
lightgbmLGBM buffer· rebalanceo 2020-05-29
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
10
30 posiciones
Sortino del run
-0.04
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
11.72%
Short avg
5.58%
bajar = bueno para el short
Spread long − short
6.14%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.489 | 3.33% | 2.29% |
| 2 | APA | APA Corporation | Energy | 0.468 | 3.33% | 25.08% |
| 3 | DXC | DXC Technology Company | Technology | 0.454 | 3.33% | 33.14% |
| 4 | BA | The Boeing Company | Industrials | 0.408 | 3.33% | 14.95% |
| 5 | PRU | Prudential Financial, Inc. | Financial Services | 0.403 | 3.33% | 15.09% |
| 6 | ADS | Bread Financial Holdings, Inc. | Financial Services | 0.372 | 3.33% | -6.09% |
| 7 | AES | The AES Corporation | Utilities | 0.367 | 3.33% | 36.40% |
| 8 | WDC | Western Digital Corporation | Technology | 0.346 | 3.33% | -12.96% |
| 9 | NTAP | NetApp, Inc. | Technology | 0.333 | 3.33% | 8.07% |
| 10 | JWN | Nordstrom, Inc. | Consumer Cyclical | 0.319 | 3.33% | -5.70% |
| 11 | OXY | Occidental Petroleum Corporation | Energy | 0.317 | 3.33% | -5.00% |
| 12 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.314 | 3.33% | 2.44% |
| 13 | SPG | Simon Property Group, Inc. | Real Estate | 0.313 | 3.33% | 14.56% |
| 14 | AMP | Ameriprise Financial, Inc. | Financial Services | 0.312 | 3.33% | 10.55% |
| 15 | CRM | Salesforce, Inc. | Technology | 0.301 | 3.33% | 43.00% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.517 | -3.33% | 17.68% |
| 2 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.441 | -3.33% | 24.76% |
| 3 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.416 | -3.33% | 10.30% |
| 4 | TMUS | T-Mobile US, Inc. | Communication Services | -0.408 | -3.33% | 15.37% |
| 5 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.382 | -3.33% | 4.08% |
| 6 | COR | Cencora, Inc. | Healthcare | -0.358 | -3.33% | 2.90% |
| 7 | DVA | DaVita Inc. | Healthcare | -0.347 | -3.33% | 7.90% |
| 8 | MCK | McKesson Corporation | Healthcare | -0.345 | -3.33% | -3.24% |
| 9 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.311 | -3.33% | -6.00% |
| 10 | FAST | Fastenal Company | Industrials | -0.309 | -3.33% | 18.86% |
| 11 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.299 | -3.33% | 14.81% |
| 12 | MKTX | MarketAxess Holdings Inc. | Financial Services | -0.284 | -3.33% | -6.94% |
| 13 | CI | Cigna Corporation | Healthcare | -0.276 | -3.33% | -8.94% |
| 14 | T | AT&T Inc. | Communication Services | -0.262 | -3.33% | -0.71% |
| 15 | CAH | Cardinal Health, Inc. | Healthcare | -0.246 | -3.33% | -7.05% |
Sector exposure en el rebalanceo seleccionado
2020-05-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 0.0% | 23.3% | -23.33% | 0 | 7 |
| Financial Services | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Technology | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Communication Services | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Cyclical | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Industrials | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Utilities | 3.3% | 0.0% | 3.33% | 1 | 0 |