Portfolio
lightgbmLGBM· rebalanceo 2020-08-31
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
10
30 posiciones
Sortino del run
0.29
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
15.04%
Short avg
6.29%
bajar = bueno para el short
Spread long − short
8.75%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.349 | 3.33% | 26.46% |
| 2 | EXC | Exelon Corporation | Utilities | 0.337 | 3.33% | 13.56% |
| 3 | WDC | Western Digital Corporation | Technology | 0.334 | 3.33% | 23.57% |
| 4 | BA | The Boeing Company | Industrials | 0.332 | 3.33% | 21.33% |
| 5 | LRCX | Lam Research Corporation | Technology | 0.317 | 3.33% | 32.09% |
| 6 | INTC | Intel Corporation | Technology | 0.313 | 3.33% | -1.73% |
| 7 | VRSN | VeriSign, Inc. | Technology | 0.307 | 3.33% | -7.22% |
| 8 | WRB | W. R. Berkley Corporation | Financial Services | 0.306 | 3.33% | 7.74% |
| 9 | ED | Consolidated Edison, Inc. | Utilities | 0.304 | 3.33% | 10.84% |
| 10 | FTI | TechnipFMC plc | Energy | 0.297 | 3.33% | 11.31% |
| 11 | UNM | Unum Group | Financial Services | 0.295 | 3.33% | 21.03% |
| 12 | DXC | DXC Technology Company | Technology | 0.289 | 3.33% | 9.97% |
| 13 | TFC | Truist Financial Corporation | Financial Services | 0.280 | 3.33% | 20.26% |
| 14 | PFG | Principal Financial Group, Inc. | Financial Services | 0.275 | 3.33% | 15.71% |
| 15 | CB | Chubb Limited | Financial Services | 0.274 | 3.33% | 20.74% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.355 | -3.33% | -1.80% |
| 2 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.342 | -3.33% | 3.40% |
| 3 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.333 | -3.33% | 1.43% |
| 4 | UPS | United Parcel Service, Inc. | Industrials | -0.324 | -3.33% | 3.82% |
| 5 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.322 | -3.33% | -5.96% |
| 6 | DG | Dollar General Corporation | Consumer Defensive | -0.312 | -3.33% | 9.68% |
| 7 | CMG | Chipotle Mexican Grill, Inc. | Consumer Cyclical | -0.306 | -3.33% | -3.79% |
| 8 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.300 | -3.33% | -3.46% |
| 9 | FDX | FedEx Corporation | Industrials | -0.291 | -3.33% | 24.69% |
| 10 | CPRT | Copart, Inc. | Industrials | -0.278 | -3.33% | 10.26% |
| 11 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.275 | -3.33% | -1.75% |
| 12 | CAH | Cardinal Health, Inc. | Healthcare | -0.274 | -3.33% | 10.11% |
| 13 | CHD | Church & Dwight Co., Inc. | Consumer Defensive | -0.272 | -3.33% | -7.91% |
| 14 | TGT | Target Corporation | Consumer Defensive | -0.272 | -3.33% | 17.75% |
| 15 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.256 | -3.33% | 37.95% |
Sector exposure en el rebalanceo seleccionado
2020-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Consumer Defensive | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Industrials | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Technology | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Consumer Cyclical | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Utilities | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |