Portfolio
lightgbmLGBM dual tail· rebalanceo 2020-07-31
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
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-1.47%
Short avg
-5.93%
bajar = bueno para el short
Spread long − short
4.45%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FTI | TechnipFMC plc | Energy | 0.718 | 3.33% | -37.65% |
| 2 | BA | The Boeing Company | Industrials | 0.695 | 3.33% | -11.67% |
| 3 | SYF | Synchrony Financial | Financial Services | 0.692 | 3.33% | 10.48% |
| 4 | NTAP | NetApp, Inc. | Technology | 0.684 | 3.33% | 3.65% |
| 5 | BKR | Baker Hughes Company | Energy | 0.679 | 3.33% | -4.59% |
| 6 | CMA | Comerica Incorporated | Financial Services | 0.674 | 3.33% | 19.65% |
| 7 | SLB | SLB N.V. | Energy | 0.672 | 3.33% | -21.86% |
| 8 | DXC | DXC Technology Company | Technology | 0.663 | 3.33% | 1.48% |
| 9 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.657 | 3.33% | 16.34% |
| 10 | CSCO | Cisco Systems, Inc. | Technology | 0.653 | 3.33% | -26.37% |
| 11 | WDC | Western Digital Corporation | Technology | 0.651 | 3.33% | -15.14% |
| 12 | USB | U.S. Bancorp | Financial Services | 0.650 | 3.33% | 6.85% |
| 13 | MOS | The Mosaic Company | Basic Materials | 0.648 | 3.33% | 30.44% |
| 14 | HIG | The Hartford Financial Services Group, Inc. | Financial Services | 0.646 | 3.33% | -7.87% |
| 15 | DOW | Dow Inc. | Basic Materials | 0.645 | 3.33% | 14.17% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DISH | DISH Network Corporation | Communication Services | 0.348 | -3.33% | -28.69% |
| 2 | FANG | Diamondback Energy, Inc. | Energy | 0.392 | -3.33% | -42.41% |
| 3 | UA | Under Armour, Inc. | Consumer Cyclical | 0.641 | -3.33% | 33.03% |
| 4 | OXY | Occidental Petroleum Corporation | Energy | 0.455 | -3.33% | -51.18% |
| 5 | DIS | The Walt Disney Company | Communication Services | 0.346 | -3.33% | 4.12% |
| 6 | CHD | Church & Dwight Co., Inc. | Consumer Defensive | 0.226 | -3.33% | -5.27% |
| 7 | NOV | NOV Inc. | Energy | 0.539 | -3.33% | -32.12% |
| 8 | FOXA | Fox Corporation | Communication Services | 0.457 | -3.33% | 1.47% |
| 9 | DRI | Darden Restaurants, Inc. | Consumer Cyclical | 0.470 | -3.33% | 21.33% |
| 10 | NWL | Newell Brands Inc. | Consumer Defensive | 0.526 | -3.33% | 8.93% |
| 11 | DLTR | Dollar Tree, Inc. | Consumer Defensive | 0.376 | -3.33% | -4.53% |
| 12 | FOX | Fox Corporation | Communication Services | 0.435 | -3.33% | 0.41% |
| 13 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | 0.618 | -3.33% | -0.85% |
| 14 | ZBH | Zimmer Biomet Holdings, Inc. | Healthcare | 0.393 | -3.33% | -2.53% |
| 15 | SEE | Sealed Air Corporation | Consumer Cyclical | 0.492 | -3.33% | 9.39% |
Sector exposure en el rebalanceo seleccionado
2020-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 10.0% | 10.0% | 0.00% | 3 | 3 |
| Consumer Cyclical | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Communication Services | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Financial Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Technology | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |