Portfolio
lightgbmLGBM no sector· 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
8
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
3.82%
Short avg
-3.50%
bajar = bueno para el short
Spread long − short
7.32%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BA | The Boeing Company | Industrials | 0.466 | 3.33% | -11.67% |
| 2 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.377 | 3.33% | 4.76% |
| 3 | SYF | Synchrony Financial | Financial Services | 0.371 | 3.33% | 10.48% |
| 4 | LNC | Lincoln National Corporation | Financial Services | 0.361 | 3.33% | -5.68% |
| 5 | WDC | Western Digital Corporation | Technology | 0.337 | 3.33% | -15.14% |
| 6 | NTAP | NetApp, Inc. | Technology | 0.296 | 3.33% | 3.65% |
| 7 | PRU | Prudential Financial, Inc. | Financial Services | 0.285 | 3.33% | 1.01% |
| 8 | UNM | Unum Group | Financial Services | 0.284 | 3.33% | 5.14% |
| 9 | DFS | Discover Financial Services | Financial Services | 0.284 | 3.33% | 28.13% |
| 10 | SCHW | The Charles Schwab Corporation | Financial Services | 0.278 | 3.33% | 21.46% |
| 11 | VRSN | VeriSign, Inc. | Technology | 0.272 | 3.33% | -10.61% |
| 12 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.271 | 3.33% | 13.17% |
| 13 | CBRE | CBRE Group, Inc. | Real Estate | 0.257 | 3.33% | 19.79% |
| 14 | DXC | DXC Technology Company | Technology | 0.249 | 3.33% | 1.48% |
| 15 | VNO | Vornado Realty Trust | Real Estate | 0.247 | 3.33% | -8.69% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.534 | -3.33% | -2.39% |
| 2 | LEN | Lennar Corporation | Consumer Cyclical | -0.389 | -3.33% | -4.39% |
| 3 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.387 | -3.33% | 4.35% |
| 4 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.375 | -3.33% | -1.98% |
| 5 | CHD | Church & Dwight Co., Inc. | Consumer Defensive | -0.344 | -3.33% | -5.27% |
| 6 | LIN | Linde plc | Basic Materials | -0.336 | -3.33% | -9.95% |
| 7 | UPS | United Parcel Service, Inc. | Industrials | -0.335 | -3.33% | 10.62% |
| 8 | NEM | Newmont Corporation | Basic Materials | -0.322 | -3.33% | -7.74% |
| 9 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.320 | -3.33% | -7.46% |
| 10 | FAST | Fastenal Company | Industrials | -0.311 | -3.33% | -8.75% |
| 11 | EFX | Equifax Inc. | Industrials | -0.310 | -3.33% | -17.34% |
| 12 | SWKS | Skyworks Solutions, Inc. | Technology | -0.307 | -3.33% | -3.75% |
| 13 | BIO | Bio-Rad Laboratories, Inc. | Healthcare | -0.306 | -3.33% | 9.92% |
| 14 | FBIN | Fortune Brands Innovations, Inc. | Industrials | -0.292 | -3.33% | 3.34% |
| 15 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.288 | -3.33% | -11.72% |
Sector exposure en el rebalanceo seleccionado
2020-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 23.3% | 0.0% | 23.33% | 7 | 0 |
| Industrials | 3.3% | 16.7% | -13.33% | 1 | 5 |
| Technology | 13.3% | 3.3% | 10.00% | 4 | 1 |
| Consumer Cyclical | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Real Estate | 6.7% | 0.0% | 6.67% | 2 | 0 |