Portfolio
lightgbmLGBM no sector· 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
9
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
10.94%
Short avg
7.00%
bajar = bueno para el short
Spread long − short
3.95%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LNC | Lincoln National Corporation | Financial Services | 0.469 | 3.33% | -3.65% |
| 2 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.461 | 3.33% | 2.29% |
| 3 | APA | APA Corporation | Energy | 0.453 | 3.33% | 25.08% |
| 4 | BA | The Boeing Company | Industrials | 0.430 | 3.33% | 14.95% |
| 5 | ADS | Bread Financial Holdings, Inc. | Financial Services | 0.425 | 3.33% | -6.09% |
| 6 | DXC | DXC Technology Company | Technology | 0.400 | 3.33% | 33.14% |
| 7 | PRU | Prudential Financial, Inc. | Financial Services | 0.386 | 3.33% | 15.09% |
| 8 | SYF | Synchrony Financial | Financial Services | 0.362 | 3.33% | 21.00% |
| 9 | UNM | Unum Group | Financial Services | 0.358 | 3.33% | 18.41% |
| 10 | JWN | Nordstrom, Inc. | Consumer Cyclical | 0.352 | 3.33% | -5.70% |
| 11 | FTI | TechnipFMC plc | Energy | 0.345 | 3.33% | -0.64% |
| 12 | NTAP | NetApp, Inc. | Technology | 0.344 | 3.33% | 8.07% |
| 13 | DFS | Discover Financial Services | Financial Services | 0.340 | 3.33% | 9.35% |
| 14 | HAL | Halliburton Company | Energy | 0.339 | 3.33% | 30.44% |
| 15 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.333 | 3.33% | 2.44% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.554 | -3.33% | 24.76% |
| 2 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.524 | -3.33% | 17.68% |
| 3 | TMUS | T-Mobile US, Inc. | Communication Services | -0.461 | -3.33% | 15.37% |
| 4 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.402 | -3.33% | -6.00% |
| 5 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.362 | -3.33% | 14.81% |
| 6 | DVA | DaVita Inc. | Healthcare | -0.358 | -3.33% | 7.90% |
| 7 | COR | Cencora, Inc. | Healthcare | -0.351 | -3.33% | 2.90% |
| 8 | MCK | McKesson Corporation | Healthcare | -0.330 | -3.33% | -3.24% |
| 9 | MKTX | MarketAxess Holdings Inc. | Financial Services | -0.326 | -3.33% | -6.94% |
| 10 | STE | STERIS plc | Healthcare | -0.325 | -3.33% | -4.46% |
| 11 | REGN | Regeneron Pharmaceuticals, Inc. | Healthcare | -0.322 | -3.33% | 0.52% |
| 12 | EFX | Equifax Inc. | Industrials | -0.321 | -3.33% | 8.48% |
| 13 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.321 | -3.33% | 4.08% |
| 14 | FAST | Fastenal Company | Industrials | -0.317 | -3.33% | 18.86% |
| 15 | NEM | Newmont Corporation | Basic Materials | -0.307 | -3.33% | 10.21% |
Sector exposure en el rebalanceo seleccionado
2020-05-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 20.0% | 3.3% | 16.67% | 6 | 1 |
| Healthcare | 0.0% | 23.3% | -23.33% | 0 | 7 |
| Industrials | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Consumer Cyclical | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Energy | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Technology | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |