Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2020-09-30
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 38.5%
Short book
15
gross -61.5%
Sectores cubiertos
9
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
26.76%
Short avg
2.32%
bajar = bueno para el short
Spread long − short
24.44%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BA | The Boeing Company | Industrials | 0.390 | 2.57% | 24.31% |
| 2 | FTI | TechnipFMC plc | Energy | 0.384 | 2.57% | 40.61% |
| 3 | INTC | Intel Corporation | Technology | 0.330 | 2.57% | -4.03% |
| 4 | C | Citigroup Inc. | Financial Services | 0.310 | 2.57% | 36.23% |
| 5 | VRSN | VeriSign, Inc. | Technology | 0.306 | 2.57% | 4.33% |
| 6 | WDC | Western Digital Corporation | Technology | 0.288 | 2.57% | 42.18% |
| 7 | TFC | Truist Financial Corporation | Financial Services | 0.284 | 2.57% | 22.20% |
| 8 | DXC | DXC Technology Company | Technology | 0.269 | 2.57% | 31.40% |
| 9 | PFG | Principal Financial Group, Inc. | Financial Services | 0.254 | 2.57% | 21.77% |
| 10 | APA | APA Corporation | Energy | 0.248 | 2.57% | 42.36% |
| 11 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.246 | 2.57% | 35.47% |
| 12 | EXC | Exelon Corporation | Utilities | 0.243 | 2.57% | 17.33% |
| 13 | PRU | Prudential Financial, Inc. | Financial Services | 0.238 | 2.57% | 22.10% |
| 14 | LRCX | Lam Research Corporation | Technology | 0.237 | 2.57% | 33.39% |
| 15 | UNM | Unum Group | Financial Services | 0.233 | 2.57% | 31.73% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.471 | -4.10% | -11.49% |
| 2 | LEN | Lennar Corporation | Consumer Cyclical | -0.398 | -4.10% | -8.13% |
| 3 | WHR | Whirlpool Corporation | Consumer Cyclical | -0.388 | -4.10% | -0.84% |
| 4 | LOW | Lowe's Companies, Inc. | Consumer Cyclical | -0.379 | -4.10% | -3.72% |
| 5 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.376 | -4.10% | 0.36% |
| 6 | MAS | Masco Corporation | Consumer Cyclical | -0.328 | -4.10% | -0.12% |
| 7 | ROL | Rollins, Inc. | Consumer Cyclical | -0.311 | -4.10% | 8.89% |
| 8 | FDX | FedEx Corporation | Industrials | -0.296 | -4.10% | 2.38% |
| 9 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.287 | -4.10% | 14.42% |
| 10 | UPS | United Parcel Service, Inc. | Industrials | -0.268 | -4.10% | 1.06% |
| 11 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.248 | -4.10% | 2.75% |
| 12 | CMG | Chipotle Mexican Grill, Inc. | Consumer Cyclical | -0.240 | -4.10% | 11.33% |
| 13 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.236 | -4.10% | -5.10% |
| 14 | EFX | Equifax Inc. | Industrials | -0.222 | -4.10% | 20.14% |
| 15 | COR | Cencora, Inc. | Healthcare | -0.218 | -4.10% | 2.90% |
Sector exposure en el rebalanceo seleccionado
2020-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 0.0% | 28.7% | -28.68% | 0 | 7 |
| Financial Services | 15.4% | 0.0% | 15.42% | 6 | 0 |
| Industrials | 2.6% | 12.3% | -9.72% | 1 | 3 |
| Technology | 12.8% | 0.0% | 12.85% | 5 | 0 |
| Consumer Defensive | 0.0% | 8.2% | -8.19% | 0 | 2 |
| Healthcare | 0.0% | 8.2% | -8.19% | 0 | 2 |
| Energy | 5.1% | 0.0% | 5.14% | 2 | 0 |
| Communication Services | 0.0% | 4.1% | -4.10% | 0 | 1 |
| Utilities | 2.6% | 0.0% | 2.57% | 1 | 0 |