Portfolio
lightgbmLGBM dual tail macro· 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
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
35.19%
Short avg
30.23%
bajar = bueno para el short
Spread long − short
4.97%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | 0.667 | 3.33% | 52.82% |
| 2 | BA | The Boeing Company | Industrials | 0.655 | 3.33% | 24.31% |
| 3 | FTI | TechnipFMC plc | Energy | 0.645 | 3.33% | 40.61% |
| 4 | GE | GE Aerospace | Industrials | 0.628 | 3.33% | 54.94% |
| 5 | BKR | Baker Hughes Company | Energy | 0.619 | 3.33% | 50.28% |
| 6 | WDC | Western Digital Corporation | Technology | 0.599 | 3.33% | 42.18% |
| 7 | COP | ConocoPhillips | Energy | 0.594 | 3.33% | 22.16% |
| 8 | SLB | SLB N.V. | Energy | 0.594 | 3.33% | 38.06% |
| 9 | NTAP | NetApp, Inc. | Technology | 0.590 | 3.33% | 44.56% |
| 10 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.579 | 3.33% | 36.34% |
| 11 | HPE | Hewlett Packard Enterprise Company | Technology | 0.575 | 3.33% | 25.95% |
| 12 | TWTR | Twitter, Inc. (delisted) | Communication Services | 0.571 | 3.33% | 14.80% |
| 13 | SYF | Synchrony Financial | Financial Services | 0.568 | 3.33% | 27.29% |
| 14 | XRX | Xerox Holdings Corporation | Industrials | 0.558 | 3.33% | 22.75% |
| 15 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.554 | 3.33% | 30.84% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | UA | Under Armour, Inc. | Consumer Cyclical | 0.447 | -3.33% | 36.30% |
| 2 | OXY | Occidental Petroleum Corporation | Energy | 0.423 | -3.33% | 58.19% |
| 3 | RL | Ralph Lauren Corporation | Consumer Cyclical | 0.464 | -3.33% | 40.60% |
| 4 | DRI | Darden Restaurants, Inc. | Consumer Cyclical | 0.419 | -3.33% | 13.03% |
| 5 | DISH | DISH Network Corporation | Communication Services | 0.420 | -3.33% | 11.66% |
| 6 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.478 | -3.33% | 38.29% |
| 7 | LYV | Live Nation Entertainment, Inc. | Communication Services | 0.437 | -3.33% | 31.29% |
| 8 | CTLT | Catalent, Inc. | Healthcare | 0.392 | -3.33% | 18.69% |
| 9 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.533 | -3.33% | 30.08% |
| 10 | TPR | Tapestry, Inc. | Consumer Cyclical | 0.448 | -3.33% | 67.00% |
| 11 | PVH | PVH Corp. | Consumer Cyclical | 0.368 | -3.33% | 43.79% |
| 12 | XRAY | DENTSPLY SIRONA Inc. | Healthcare | 0.449 | -3.33% | 18.70% |
| 13 | ABMD | Abiomed, Inc. | Healthcare | 0.474 | -3.33% | 21.89% |
| 14 | GPS | The Gap, Inc. | Consumer Cyclical | 0.393 | -3.33% | 12.21% |
| 15 | ZBH | Zimmer Biomet Holdings, Inc. | Healthcare | 0.408 | -3.33% | 11.68% |
Sector exposure en el rebalanceo seleccionado
2020-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 3.3% | 26.7% | -23.33% | 1 | 8 |
| Energy | 16.7% | 3.3% | 13.33% | 5 | 1 |
| Healthcare | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Communication Services | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Industrials | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Technology | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Financial Services | 3.3% | 0.0% | 3.33% | 1 | 0 |