Portfolio
lightgbmLGBM macro· 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
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
19.31%
Short avg
3.29%
bajar = bueno para el short
Spread long − short
16.02%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.466 | 3.33% | 26.46% |
| 2 | FTI | TechnipFMC plc | Energy | 0.439 | 3.33% | 11.31% |
| 3 | LNC | Lincoln National Corporation | Financial Services | 0.415 | 3.33% | 33.38% |
| 4 | BA | The Boeing Company | Industrials | 0.397 | 3.33% | 21.33% |
| 5 | FITB | Fifth Third Bancorp | Financial Services | 0.394 | 3.33% | 24.13% |
| 6 | WDC | Western Digital Corporation | Technology | 0.388 | 3.33% | 23.57% |
| 7 | SYF | Synchrony Financial | Financial Services | 0.383 | 3.33% | 24.47% |
| 8 | UNM | Unum Group | Financial Services | 0.382 | 3.33% | 21.03% |
| 9 | LRCX | Lam Research Corporation | Technology | 0.374 | 3.33% | 32.09% |
| 10 | INTC | Intel Corporation | Technology | 0.373 | 3.33% | -1.73% |
| 11 | PRU | Prudential Financial, Inc. | Financial Services | 0.361 | 3.33% | 14.04% |
| 12 | DXC | DXC Technology Company | Technology | 0.353 | 3.33% | 9.97% |
| 13 | PFG | Principal Financial Group, Inc. | Financial Services | 0.353 | 3.33% | 15.71% |
| 14 | KEY | KeyCorp | Financial Services | 0.352 | 3.33% | 24.61% |
| 15 | C | Citigroup Inc. | Financial Services | 0.345 | 3.33% | 9.25% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MNST | Monster Beverage Corporation | Consumer Defensive | -0.358 | -3.33% | 2.15% |
| 2 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.355 | -3.33% | -3.46% |
| 3 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.353 | -3.33% | 3.40% |
| 4 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.335 | -3.33% | -5.96% |
| 5 | PG | The Procter & Gamble Company | Consumer Defensive | -0.329 | -3.33% | 1.41% |
| 6 | CHD | Church & Dwight Co., Inc. | Consumer Defensive | -0.320 | -3.33% | -7.91% |
| 7 | BF-B | Brown-Forman Corporation | Consumer Defensive | -0.298 | -3.33% | 11.91% |
| 8 | TGT | Target Corporation | Consumer Defensive | -0.297 | -3.33% | 17.75% |
| 9 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.279 | -3.33% | -1.80% |
| 10 | TMUS | T-Mobile US, Inc. | Communication Services | -0.276 | -3.33% | 13.45% |
| 11 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.274 | -3.33% | 1.43% |
| 12 | CPRT | Copart, Inc. | Industrials | -0.274 | -3.33% | 10.26% |
| 13 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.274 | -3.33% | -1.75% |
| 14 | UPS | United Parcel Service, Inc. | Industrials | -0.265 | -3.33% | 3.82% |
| 15 | FANG | Diamondback Energy, Inc. | Energy | -0.263 | -3.33% | 4.65% |
Sector exposure en el rebalanceo seleccionado
2020-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 30.0% | 0.0% | 30.00% | 9 | 0 |
| Consumer Defensive | 0.0% | 23.3% | -23.33% | 0 | 7 |
| Industrials | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Technology | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Consumer Cyclical | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |