Portfolio
lightgbmLGBM dual tail· 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 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
30.91%
Short avg
30.14%
bajar = bueno para el short
Spread long − short
0.77%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FTI | TechnipFMC plc | Energy | 0.715 | 3.33% | 40.61% |
| 2 | SYF | Synchrony Financial | Financial Services | 0.699 | 3.33% | 27.29% |
| 3 | BKR | Baker Hughes Company | Energy | 0.686 | 3.33% | 50.28% |
| 4 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.680 | 3.33% | 35.47% |
| 5 | BA | The Boeing Company | Industrials | 0.680 | 3.33% | 24.31% |
| 6 | AMD | Advanced Micro Devices, Inc. | Technology | 0.664 | 3.33% | 7.76% |
| 7 | ADSK | Autodesk, Inc. | Technology | 0.664 | 3.33% | 26.63% |
| 8 | TFC | Truist Financial Corporation | Financial Services | 0.661 | 3.33% | 22.20% |
| 9 | CMA | Comerica Incorporated | Financial Services | 0.659 | 3.33% | 39.62% |
| 10 | HAL | Halliburton Company | Energy | 0.657 | 3.33% | 52.82% |
| 11 | TER | Teradyne, Inc. | Technology | 0.655 | 3.33% | 38.92% |
| 12 | DFS | Discover Financial Services | Financial Services | 0.652 | 3.33% | 43.55% |
| 13 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.650 | 3.33% | 30.84% |
| 14 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.648 | 3.33% | 36.34% |
| 15 | CRM | Salesforce, Inc. | Technology | 0.647 | 3.33% | -13.01% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | UA | Under Armour, Inc. | Consumer Cyclical | 0.494 | -3.33% | 36.30% |
| 2 | OXY | Occidental Petroleum Corporation | Energy | 0.452 | -3.33% | 58.19% |
| 3 | NOV | NOV Inc. | Energy | 0.508 | -3.33% | 46.10% |
| 4 | DRI | Darden Restaurants, Inc. | Consumer Cyclical | 0.307 | -3.33% | 13.03% |
| 5 | RL | Ralph Lauren Corporation | Consumer Cyclical | 0.508 | -3.33% | 40.60% |
| 6 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.469 | -3.33% | 30.08% |
| 7 | GPS | The Gap, Inc. | Consumer Cyclical | 0.421 | -3.33% | 12.21% |
| 8 | DISH | DISH Network Corporation | Communication Services | 0.444 | -3.33% | 11.66% |
| 9 | DHI | D.R. Horton, Inc. | Consumer Cyclical | 0.235 | -3.33% | -11.49% |
| 10 | CTLT | Catalent, Inc. | Healthcare | 0.433 | -3.33% | 18.69% |
| 11 | F | Ford Motor Company | Consumer Cyclical | 0.381 | -3.33% | 26.39% |
| 12 | PVH | PVH Corp. | Consumer Cyclical | 0.447 | -3.33% | 43.79% |
| 13 | TPR | Tapestry, Inc. | Consumer Cyclical | 0.480 | -3.33% | 67.00% |
| 14 | LKQ | LKQ Corporation | Consumer Cyclical | 0.487 | -3.33% | 22.93% |
| 15 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.516 | -3.33% | 36.54% |
Sector exposure en el rebalanceo seleccionado
2020-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 3.3% | 36.7% | -33.33% | 1 | 11 |
| Energy | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Financial Services | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Technology | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |