Portfolio
lightgbmLGBM beta neutral buffer· 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 35.4%
Short book
15
gross -64.6%
Sectores cubiertos
9
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
14.71%
Short avg
-1.00%
bajar = bueno para el short
Spread long − short
15.72%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.349 | 2.36% | 26.46% |
| 2 | EXC | Exelon Corporation | Utilities | 0.337 | 2.36% | 13.56% |
| 3 | WDC | Western Digital Corporation | Technology | 0.334 | 2.36% | 23.57% |
| 4 | BA | The Boeing Company | Industrials | 0.332 | 2.36% | 21.33% |
| 5 | LRCX | Lam Research Corporation | Technology | 0.317 | 2.36% | 32.09% |
| 6 | INTC | Intel Corporation | Technology | 0.313 | 2.36% | -1.73% |
| 7 | VRSN | VeriSign, Inc. | Technology | 0.307 | 2.36% | -7.22% |
| 8 | WRB | W. R. Berkley Corporation | Financial Services | 0.306 | 2.36% | 7.74% |
| 9 | UNM | Unum Group | Financial Services | 0.295 | 2.36% | 21.03% |
| 10 | DXC | DXC Technology Company | Technology | 0.289 | 2.36% | 9.97% |
| 11 | PFG | Principal Financial Group, Inc. | Financial Services | 0.275 | 2.36% | 15.71% |
| 12 | RF | Regions Financial Corporation | Financial Services | 0.264 | 2.36% | 32.45% |
| 13 | APA | APA Corporation | Energy | 0.252 | 2.36% | -18.61% |
| 14 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.250 | 2.36% | 30.32% |
| 15 | PRU | Prudential Financial, Inc. | Financial Services | 0.250 | 2.36% | 14.04% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.355 | -4.31% | -1.80% |
| 2 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.342 | -4.31% | 3.40% |
| 3 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.333 | -4.31% | 1.43% |
| 4 | UPS | United Parcel Service, Inc. | Industrials | -0.324 | -4.31% | 3.82% |
| 5 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.322 | -4.31% | -5.96% |
| 6 | DG | Dollar General Corporation | Consumer Defensive | -0.312 | -4.31% | 9.68% |
| 7 | CMG | Chipotle Mexican Grill, Inc. | Consumer Cyclical | -0.306 | -4.31% | -3.79% |
| 8 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.300 | -4.31% | -3.46% |
| 9 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.275 | -4.31% | -1.75% |
| 10 | CHD | Church & Dwight Co., Inc. | Consumer Defensive | -0.272 | -4.31% | -7.91% |
| 11 | MAS | Masco Corporation | Consumer Cyclical | -0.242 | -4.31% | -9.52% |
| 12 | FAST | Fastenal Company | Industrials | -0.240 | -4.31% | -0.66% |
| 13 | EFX | Equifax Inc. | Industrials | -0.233 | -4.31% | -0.81% |
| 14 | COR | Cencora, Inc. | Healthcare | -0.232 | -4.31% | 8.45% |
| 15 | LEN | Lennar Corporation | Consumer Cyclical | -0.223 | -4.31% | -6.18% |
Sector exposure en el rebalanceo seleccionado
2020-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 2.4% | 17.2% | -14.87% | 1 | 4 |
| Industrials | 2.4% | 17.2% | -14.87% | 1 | 4 |
| Consumer Defensive | 0.0% | 17.2% | -17.23% | 0 | 4 |
| Financial Services | 14.2% | 0.0% | 14.16% | 6 | 0 |
| Technology | 11.8% | 0.0% | 11.80% | 5 | 0 |
| Healthcare | 0.0% | 8.6% | -8.61% | 0 | 2 |
| Communication Services | 0.0% | 4.3% | -4.31% | 0 | 1 |
| Energy | 2.4% | 0.0% | 2.36% | 1 | 0 |
| Utilities | 2.4% | 0.0% | 2.36% | 1 | 0 |