Portfolio
lightgbmLGBM macro· 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
8
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
8.18%
Short avg
8.46%
bajar = bueno para el short
Spread long − short
-0.28%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PRU | Prudential Financial, Inc. | Financial Services | 0.556 | 3.33% | 15.09% |
| 2 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.506 | 3.33% | 2.29% |
| 3 | UNM | Unum Group | Financial Services | 0.485 | 3.33% | 18.41% |
| 4 | LNC | Lincoln National Corporation | Financial Services | 0.465 | 3.33% | -3.65% |
| 5 | APA | APA Corporation | Energy | 0.463 | 3.33% | 25.08% |
| 6 | C | Citigroup Inc. | Financial Services | 0.455 | 3.33% | 6.57% |
| 7 | SYF | Synchrony Financial | Financial Services | 0.443 | 3.33% | 21.00% |
| 8 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.436 | 3.33% | 7.69% |
| 9 | DXC | DXC Technology Company | Technology | 0.414 | 3.33% | 33.14% |
| 10 | RF | Regions Financial Corporation | Financial Services | 0.413 | 3.33% | 3.29% |
| 11 | FITB | Fifth Third Bancorp | Financial Services | 0.404 | 3.33% | 7.77% |
| 12 | ADS | Bread Financial Holdings, Inc. | Financial Services | 0.401 | 3.33% | -6.09% |
| 13 | FTI | TechnipFMC plc | Energy | 0.399 | 3.33% | -0.64% |
| 14 | WDC | Western Digital Corporation | Technology | 0.390 | 3.33% | -12.96% |
| 15 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | 0.385 | 3.33% | 5.71% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.522 | -3.33% | 17.68% |
| 2 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.464 | -3.33% | 24.76% |
| 3 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.424 | -3.33% | 4.08% |
| 4 | CI | Cigna Corporation | Healthcare | -0.370 | -3.33% | -8.94% |
| 5 | MCK | McKesson Corporation | Healthcare | -0.338 | -3.33% | -3.24% |
| 6 | FAST | Fastenal Company | Industrials | -0.332 | -3.33% | 18.86% |
| 7 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.325 | -3.33% | -6.00% |
| 8 | COR | Cencora, Inc. | Healthcare | -0.325 | -3.33% | 2.90% |
| 9 | TGT | Target Corporation | Consumer Defensive | -0.320 | -3.33% | 23.80% |
| 10 | MNST | Monster Beverage Corporation | Consumer Defensive | -0.311 | -3.33% | 15.25% |
| 11 | TMUS | T-Mobile US, Inc. | Communication Services | -0.309 | -3.33% | 15.37% |
| 12 | REGN | Regeneron Pharmaceuticals, Inc. | Healthcare | -0.306 | -3.33% | 0.52% |
| 13 | DIS | The Walt Disney Company | Communication Services | -0.305 | -3.33% | 13.21% |
| 14 | DLTR | Dollar Tree, Inc. | Consumer Defensive | -0.303 | -3.33% | -1.59% |
| 15 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.299 | -3.33% | 10.30% |
Sector exposure en el rebalanceo seleccionado
2020-05-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 30.0% | 0.0% | 30.00% | 9 | 0 |
| Healthcare | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Consumer Defensive | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Communication Services | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Cyclical | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Energy | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Industrials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Technology | 6.7% | 0.0% | 6.67% | 2 | 0 |