Portfolio
lightgbmLGBM dual tail· 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
8
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
23.04%
Short avg
12.29%
bajar = bueno para el short
Spread long − short
10.76%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | SYF | Synchrony Financial | Financial Services | 0.727 | 3.33% | 24.47% |
| 2 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.724 | 3.33% | 26.46% |
| 3 | FTI | TechnipFMC plc | Energy | 0.710 | 3.33% | 11.31% |
| 4 | CMA | Comerica Incorporated | Financial Services | 0.696 | 3.33% | 26.62% |
| 5 | BKR | Baker Hughes Company | Energy | 0.681 | 3.33% | 33.79% |
| 6 | USB | U.S. Bancorp | Financial Services | 0.675 | 3.33% | 19.91% |
| 7 | BA | The Boeing Company | Industrials | 0.675 | 3.33% | 21.33% |
| 8 | TFC | Truist Financial Corporation | Financial Services | 0.675 | 3.33% | 20.26% |
| 9 | DFS | Discover Financial Services | Financial Services | 0.674 | 3.33% | 41.99% |
| 10 | FITB | Fifth Third Bancorp | Financial Services | 0.669 | 3.33% | 24.13% |
| 11 | RF | Regions Financial Corporation | Financial Services | 0.666 | 3.33% | 32.45% |
| 12 | ZION | Zions Bancorporation, National Association | Financial Services | 0.662 | 3.33% | 22.77% |
| 13 | PFG | Principal Financial Group, Inc. | Financial Services | 0.643 | 3.33% | 15.71% |
| 14 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.641 | 3.33% | 23.71% |
| 15 | CINF | Cincinnati Financial Corporation | Financial Services | 0.633 | 3.33% | 0.76% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | OXY | Occidental Petroleum Corporation | Energy | 0.428 | -3.33% | 19.31% |
| 2 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.613 | -3.33% | 24.03% |
| 3 | NOV | NOV Inc. | Energy | 0.492 | -3.33% | 6.20% |
| 4 | RL | Ralph Lauren Corporation | Consumer Cyclical | 0.571 | -3.33% | 24.78% |
| 5 | DISH | DISH Network Corporation | Communication Services | 0.376 | -3.33% | 4.44% |
| 6 | UA | Under Armour, Inc. | Consumer Cyclical | 0.546 | -3.33% | 47.12% |
| 7 | KHC | The Kraft Heinz Company | Consumer Defensive | 0.318 | -3.33% | -1.80% |
| 8 | CLX | The Clorox Company | Consumer Defensive | 0.287 | -3.33% | -7.47% |
| 9 | ZBH | Zimmer Biomet Holdings, Inc. | Healthcare | 0.399 | -3.33% | 4.10% |
| 10 | XRAY | DENTSPLY SIRONA Inc. | Healthcare | 0.481 | -3.33% | 12.33% |
| 11 | KR | The Kroger Co. | Consumer Defensive | 0.299 | -3.33% | -6.43% |
| 12 | DLTR | Dollar Tree, Inc. | Consumer Defensive | 0.398 | -3.33% | 18.21% |
| 13 | LUMN | Lumen Technologies, Inc. | Communication Services | 0.359 | -3.33% | 1.43% |
| 14 | F | Ford Motor Company | Consumer Cyclical | 0.425 | -3.33% | 30.29% |
| 15 | FOX | Fox Corporation | Communication Services | 0.493 | -3.33% | 7.74% |
Sector exposure en el rebalanceo seleccionado
2020-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 36.7% | 0.0% | 36.67% | 11 | 0 |
| Consumer Cyclical | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Consumer Defensive | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Energy | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Communication Services | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Healthcare | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |