Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2020-06-30
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 38.0%
Short book
15
gross -62.0%
Sectores cubiertos
9
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
7.18%
Short avg
2.24%
bajar = bueno para el short
Spread long − short
4.93%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PRU | Prudential Financial, Inc. | Financial Services | 0.410 | 2.54% | 9.14% |
| 2 | WDC | Western Digital Corporation | Technology | 0.354 | 2.54% | -14.97% |
| 3 | APA | APA Corporation | Energy | 0.332 | 2.54% | -31.55% |
| 4 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.319 | 2.54% | 12.46% |
| 5 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | 0.312 | 2.54% | 74.57% |
| 6 | FTI | TechnipFMC plc | Energy | 0.303 | 2.54% | -9.05% |
| 7 | FITB | Fifth Third Bancorp | Financial Services | 0.296 | 2.54% | 14.59% |
| 8 | UNM | Unum Group | Financial Services | 0.292 | 2.54% | 7.19% |
| 9 | WAT | Waters Corporation | Healthcare | 0.292 | 2.54% | 8.27% |
| 10 | PFG | Principal Financial Group, Inc. | Financial Services | 0.288 | 2.54% | 1.56% |
| 11 | PPL | PPL Corporation | Utilities | 0.284 | 2.54% | 5.23% |
| 12 | DXC | DXC Technology Company | Technology | 0.283 | 2.54% | 10.07% |
| 13 | BA | The Boeing Company | Industrials | 0.283 | 2.54% | -8.72% |
| 14 | NTAP | NetApp, Inc. | Technology | 0.275 | 2.54% | 1.86% |
| 15 | CRM | Salesforce, Inc. | Technology | 0.274 | 2.54% | 26.98% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EFX | Equifax Inc. | Industrials | -0.426 | -4.13% | -9.85% |
| 2 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.350 | -4.13% | 3.51% |
| 3 | COR | Cencora, Inc. | Healthcare | -0.345 | -4.13% | -2.16% |
| 4 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.341 | -4.13% | 20.09% |
| 5 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.337 | -4.13% | 4.43% |
| 6 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.311 | -4.13% | 7.27% |
| 7 | CMG | Chipotle Mexican Grill, Inc. | Consumer Cyclical | -0.292 | -4.13% | 15.17% |
| 8 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.290 | -4.13% | -4.45% |
| 9 | MAS | Masco Corporation | Consumer Cyclical | -0.289 | -4.13% | 10.74% |
| 10 | MCK | McKesson Corporation | Healthcare | -0.277 | -4.13% | -1.04% |
| 11 | CI | Cigna Corporation | Healthcare | -0.277 | -4.13% | -11.73% |
| 12 | TMUS | T-Mobile US, Inc. | Communication Services | -0.256 | -4.13% | 7.47% |
| 13 | CAH | Cardinal Health, Inc. | Healthcare | -0.252 | -4.13% | -8.57% |
| 14 | FAST | Fastenal Company | Industrials | -0.223 | -4.13% | 5.26% |
| 15 | T | AT&T Inc. | Communication Services | -0.213 | -4.13% | -2.49% |
Sector exposure en el rebalanceo seleccionado
2020-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 2.5% | 20.7% | -18.12% | 1 | 5 |
| Industrials | 2.5% | 12.4% | -9.86% | 1 | 3 |
| Technology | 12.7% | 0.0% | 12.68% | 5 | 0 |
| Communication Services | 0.0% | 12.4% | -12.39% | 0 | 3 |
| Consumer Cyclical | 2.5% | 8.3% | -5.73% | 1 | 2 |
| Financial Services | 10.1% | 0.0% | 10.14% | 4 | 0 |
| Consumer Defensive | 0.0% | 8.3% | -8.26% | 0 | 2 |
| Energy | 5.1% | 0.0% | 5.07% | 2 | 0 |
| Utilities | 2.5% | 0.0% | 2.54% | 1 | 0 |