Portfolio
lightgbmLGBM macro· 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
6
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
2.26%
Short avg
-0.51%
bajar = bueno para el short
Spread long − short
2.77%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WDC | Western Digital Corporation | Technology | 0.521 | 3.33% | -15.14% |
| 2 | BA | The Boeing Company | Industrials | 0.475 | 3.33% | -11.67% |
| 3 | PRU | Prudential Financial, Inc. | Financial Services | 0.457 | 3.33% | 1.01% |
| 4 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.448 | 3.33% | 4.76% |
| 5 | NTAP | NetApp, Inc. | Technology | 0.413 | 3.33% | 3.65% |
| 6 | DXC | DXC Technology Company | Technology | 0.410 | 3.33% | 1.48% |
| 7 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.403 | 3.33% | 13.17% |
| 8 | C | Citigroup Inc. | Financial Services | 0.383 | 3.33% | -18.38% |
| 9 | INTC | Intel Corporation | Technology | 0.371 | 3.33% | -8.02% |
| 10 | LNC | Lincoln National Corporation | Financial Services | 0.368 | 3.33% | -5.68% |
| 11 | UNM | Unum Group | Financial Services | 0.361 | 3.33% | 5.14% |
| 12 | SYF | Synchrony Financial | Financial Services | 0.357 | 3.33% | 10.48% |
| 13 | SCHW | The Charles Schwab Corporation | Financial Services | 0.354 | 3.33% | 21.46% |
| 14 | RF | Regions Financial Corporation | Financial Services | 0.340 | 3.33% | 22.60% |
| 15 | KEY | KeyCorp | Financial Services | 0.335 | 3.33% | 9.00% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.488 | -3.33% | -2.39% |
| 2 | CHD | Church & Dwight Co., Inc. | Consumer Defensive | -0.422 | -3.33% | -5.27% |
| 3 | NVR | NVR, Inc. | Consumer Cyclical | -0.376 | -3.33% | 2.02% |
| 4 | LEN | Lennar Corporation | Consumer Cyclical | -0.351 | -3.33% | -4.39% |
| 5 | ROL | Rollins, Inc. | Consumer Cyclical | -0.343 | -3.33% | 9.01% |
| 6 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.335 | -3.33% | -3.79% |
| 7 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.332 | -3.33% | 4.35% |
| 8 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.329 | -3.33% | -7.46% |
| 9 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.327 | -3.33% | -1.98% |
| 10 | HSIC | Henry Schein, Inc. | Healthcare | -0.327 | -3.33% | -10.90% |
| 11 | HCA | HCA Healthcare, Inc. | Healthcare | -0.301 | -3.33% | -1.49% |
| 12 | HBI | Hanesbrands Inc. | Consumer Cyclical | -0.301 | -3.33% | 12.56% |
| 13 | CL | Colgate-Palmolive Company | Consumer Defensive | -0.292 | -3.33% | 3.54% |
| 14 | UPS | United Parcel Service, Inc. | Industrials | -0.290 | -3.33% | 10.62% |
| 15 | CVS | CVS Health Corporation | Healthcare | -0.278 | -3.33% | -12.14% |
Sector exposure en el rebalanceo seleccionado
2020-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 30.0% | 0.0% | 30.00% | 9 | 0 |
| Consumer Cyclical | 3.3% | 20.0% | -16.67% | 1 | 6 |
| Healthcare | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Technology | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Industrials | 3.3% | 6.7% | -3.33% | 1 | 2 |