Portfolio
lightgbmLGBM 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
6
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
29.99%
Short avg
6.83%
bajar = bueno para el short
Spread long − short
23.16%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | 0.542 | 3.33% | 36.23% |
| 2 | UNM | Unum Group | Financial Services | 0.526 | 3.33% | 31.73% |
| 3 | LNC | Lincoln National Corporation | Financial Services | 0.520 | 3.33% | 46.75% |
| 4 | PRU | Prudential Financial, Inc. | Financial Services | 0.516 | 3.33% | 22.10% |
| 5 | FTI | TechnipFMC plc | Energy | 0.491 | 3.33% | 40.61% |
| 6 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.455 | 3.33% | 35.47% |
| 7 | PFG | Principal Financial Group, Inc. | Financial Services | 0.455 | 3.33% | 21.77% |
| 8 | FITB | Fifth Third Bancorp | Financial Services | 0.450 | 3.33% | 28.14% |
| 9 | BA | The Boeing Company | Industrials | 0.428 | 3.33% | 24.31% |
| 10 | KEY | KeyCorp | Financial Services | 0.425 | 3.33% | 33.09% |
| 11 | MET | MetLife, Inc. | Financial Services | 0.411 | 3.33% | 24.34% |
| 12 | NTRS | Northern Trust Corporation | Financial Services | 0.400 | 3.33% | 19.72% |
| 13 | ZION | Zions Bancorporation, National Association | Financial Services | 0.398 | 3.33% | 40.87% |
| 14 | TFC | Truist Financial Corporation | Financial Services | 0.397 | 3.33% | 22.20% |
| 15 | BK | The Bank of New York Mellon Corporation | Financial Services | 0.397 | 3.33% | 22.53% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.440 | -3.33% | -11.49% |
| 2 | LEN | Lennar Corporation | Consumer Cyclical | -0.439 | -3.33% | -8.13% |
| 3 | WHR | Whirlpool Corporation | Consumer Cyclical | -0.434 | -3.33% | -0.84% |
| 4 | ROL | Rollins, Inc. | Consumer Cyclical | -0.407 | -3.33% | 8.89% |
| 5 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.368 | -3.33% | 2.75% |
| 6 | LOW | Lowe's Companies, Inc. | Consumer Cyclical | -0.363 | -3.33% | -3.72% |
| 7 | APTV | Aptiv PLC | Consumer Cyclical | -0.361 | -3.33% | 32.69% |
| 8 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.337 | -3.33% | -9.27% |
| 9 | BALL | Ball Corporation | Consumer Cyclical | -0.324 | -3.33% | 12.21% |
| 10 | SEE | Sealed Air Corporation | Consumer Cyclical | -0.318 | -3.33% | 14.07% |
| 11 | MAS | Masco Corporation | Consumer Cyclical | -0.313 | -3.33% | -0.12% |
| 12 | BF-B | Brown-Forman Corporation | Consumer Defensive | -0.304 | -3.33% | 5.32% |
| 13 | MNST | Monster Beverage Corporation | Consumer Defensive | -0.301 | -3.33% | 12.66% |
| 14 | TGT | Target Corporation | Consumer Defensive | -0.299 | -3.33% | 11.12% |
| 15 | UA | Under Armour, Inc. | Consumer Cyclical | -0.295 | -3.33% | 36.30% |
Sector exposure en el rebalanceo seleccionado
2020-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 43.3% | 0.0% | 43.33% | 13 | 0 |
| Consumer Cyclical | 0.0% | 36.7% | -36.67% | 0 | 11 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |