Portfolio
lightgbmLGBM no sector· 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
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
22.36%
Short avg
5.44%
bajar = bueno para el short
Spread long − short
16.92%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BA | The Boeing Company | Industrials | 0.397 | 3.33% | 21.33% |
| 2 | FTI | TechnipFMC plc | Energy | 0.397 | 3.33% | 11.31% |
| 3 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.394 | 3.33% | 26.46% |
| 4 | SYF | Synchrony Financial | Financial Services | 0.360 | 3.33% | 24.47% |
| 5 | DXC | DXC Technology Company | Technology | 0.355 | 3.33% | 9.97% |
| 6 | VRSN | VeriSign, Inc. | Technology | 0.348 | 3.33% | -7.22% |
| 7 | LNC | Lincoln National Corporation | Financial Services | 0.293 | 3.33% | 33.38% |
| 8 | TFC | Truist Financial Corporation | Financial Services | 0.287 | 3.33% | 20.26% |
| 9 | AIG | American International Group, Inc. | Financial Services | 0.285 | 3.33% | 31.03% |
| 10 | DFS | Discover Financial Services | Financial Services | 0.273 | 3.33% | 41.99% |
| 11 | RF | Regions Financial Corporation | Financial Services | 0.273 | 3.33% | 32.45% |
| 12 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.266 | 3.33% | 19.92% |
| 13 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.265 | 3.33% | 30.32% |
| 14 | WDC | Western Digital Corporation | Technology | 0.263 | 3.33% | 23.57% |
| 15 | AXP | American Express Company | Financial Services | 0.253 | 3.33% | 16.15% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.374 | -3.33% | 3.40% |
| 2 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.370 | -3.33% | -3.46% |
| 3 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.345 | -3.33% | -1.80% |
| 4 | CPRT | Copart, Inc. | Industrials | -0.328 | -3.33% | 10.26% |
| 5 | EFX | Equifax Inc. | Industrials | -0.323 | -3.33% | -0.81% |
| 6 | FAST | Fastenal Company | Industrials | -0.317 | -3.33% | -0.66% |
| 7 | FDX | FedEx Corporation | Industrials | -0.312 | -3.33% | 24.69% |
| 8 | UPS | United Parcel Service, Inc. | Industrials | -0.307 | -3.33% | 3.82% |
| 9 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.303 | -3.33% | 37.95% |
| 10 | DG | Dollar General Corporation | Consumer Defensive | -0.280 | -3.33% | 9.68% |
| 11 | FANG | Diamondback Energy, Inc. | Energy | -0.272 | -3.33% | 4.65% |
| 12 | CMG | Chipotle Mexican Grill, Inc. | Consumer Cyclical | -0.265 | -3.33% | -3.79% |
| 13 | FBIN | Fortune Brands Innovations, Inc. | Industrials | -0.264 | -3.33% | -3.08% |
| 14 | WAB | Westinghouse Air Brake Technologies Corporation | Industrials | -0.256 | -3.33% | 4.99% |
| 15 | MO | Altria Group, Inc. | Consumer Defensive | -0.252 | -3.33% | -4.30% |
Sector exposure en el rebalanceo seleccionado
2020-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Industrials | 3.3% | 26.7% | -23.33% | 1 | 8 |
| Financial Services | 26.7% | 0.0% | 26.67% | 8 | 0 |
| Consumer Cyclical | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Technology | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Energy | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |