Portfolio
lightgbmLGBM dual tail· 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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
8
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
2.95%
Short avg
2.66%
bajar = bueno para el short
Spread long − short
0.28%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FTI | TechnipFMC plc | Energy | 0.749 | 3.33% | -9.05% |
| 2 | NTAP | NetApp, Inc. | Technology | 0.697 | 3.33% | 1.86% |
| 3 | SLB | SLB N.V. | Energy | 0.696 | 3.33% | -12.32% |
| 4 | BA | The Boeing Company | Industrials | 0.694 | 3.33% | -8.72% |
| 5 | SYF | Synchrony Financial | Financial Services | 0.690 | 3.33% | 20.06% |
| 6 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.685 | 3.33% | 8.23% |
| 7 | WDC | Western Digital Corporation | Technology | 0.685 | 3.33% | -14.97% |
| 8 | HAL | Halliburton Company | Energy | 0.681 | 3.33% | -3.15% |
| 9 | BKR | Baker Hughes Company | Energy | 0.680 | 3.33% | -13.73% |
| 10 | MOS | The Mosaic Company | Basic Materials | 0.669 | 3.33% | 39.25% |
| 11 | HIG | The Hartford Financial Services Group, Inc. | Financial Services | 0.662 | 3.33% | -1.48% |
| 12 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.662 | 3.33% | 8.70% |
| 13 | CMA | Comerica Incorporated | Financial Services | 0.653 | 3.33% | 7.98% |
| 14 | ANET | Arista Networks, Inc. | Technology | 0.650 | 3.33% | -1.23% |
| 15 | XRX | Xerox Holdings Corporation | Industrials | 0.648 | 3.33% | 22.76% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FANG | Diamondback Energy, Inc. | Energy | 0.386 | -3.33% | -26.53% |
| 2 | DISH | DISH Network Corporation | Communication Services | 0.360 | -3.33% | -17.64% |
| 3 | UA | Under Armour, Inc. | Consumer Cyclical | 0.641 | -3.33% | 12.89% |
| 4 | OXY | Occidental Petroleum Corporation | Energy | 0.431 | -3.33% | -55.26% |
| 5 | LYV | Live Nation Entertainment, Inc. | Communication Services | 0.493 | -3.33% | 15.77% |
| 6 | LEN | Lennar Corporation | Consumer Cyclical | 0.392 | -3.33% | 31.41% |
| 7 | LUMN | Lumen Technologies, Inc. | Communication Services | 0.360 | -3.33% | 4.43% |
| 8 | DIS | The Walt Disney Company | Communication Services | 0.288 | -3.33% | 9.35% |
| 9 | DLTR | Dollar Tree, Inc. | Consumer Defensive | 0.336 | -3.33% | -2.22% |
| 10 | FOX | Fox Corporation | Communication Services | 0.421 | -3.33% | 4.66% |
| 11 | DHI | D.R. Horton, Inc. | Consumer Cyclical | 0.413 | -3.33% | 34.20% |
| 12 | FOXA | Fox Corporation | Communication Services | 0.421 | -3.33% | 4.13% |
| 13 | CMG | Chipotle Mexican Grill, Inc. | Consumer Cyclical | 0.400 | -3.33% | 15.17% |
| 14 | ROST | Ross Stores, Inc. | Consumer Cyclical | 0.536 | -3.33% | 6.79% |
| 15 | GIS | General Mills, Inc. | Consumer Defensive | 0.225 | -3.33% | 2.80% |
Sector exposure en el rebalanceo seleccionado
2020-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Communication Services | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Consumer Cyclical | 3.3% | 16.7% | -13.33% | 1 | 5 |
| Energy | 13.3% | 6.7% | 6.67% | 4 | 2 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Technology | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Industrials | 6.7% | 0.0% | 6.67% | 2 | 0 |