Portfolio
lightgbmLGBM no sector· 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
9
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
22.04%
Short avg
5.55%
bajar = bueno para el short
Spread long − short
16.48%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FTI | TechnipFMC plc | Energy | 0.378 | 3.33% | 40.61% |
| 2 | C | Citigroup Inc. | Financial Services | 0.374 | 3.33% | 36.23% |
| 3 | BA | The Boeing Company | Industrials | 0.355 | 3.33% | 24.31% |
| 4 | LNC | Lincoln National Corporation | Financial Services | 0.304 | 3.33% | 46.75% |
| 5 | VRSN | VeriSign, Inc. | Technology | 0.293 | 3.33% | 4.33% |
| 6 | FTNT | Fortinet, Inc. | Technology | 0.283 | 3.33% | 21.13% |
| 7 | NFLX | Netflix, Inc. | Communication Services | 0.283 | 3.33% | 2.47% |
| 8 | UNM | Unum Group | Financial Services | 0.267 | 3.33% | 31.73% |
| 9 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.255 | 3.33% | 35.47% |
| 10 | TXN | Texas Instruments Incorporated | Technology | 0.253 | 3.33% | 13.17% |
| 11 | BK | The Bank of New York Mellon Corporation | Financial Services | 0.251 | 3.33% | 22.53% |
| 12 | CME | CME Group Inc. | Financial Services | 0.251 | 3.33% | 8.56% |
| 13 | UDR | UDR, Inc. | Real Estate | 0.245 | 3.33% | 13.88% |
| 14 | INTC | Intel Corporation | Technology | 0.240 | 3.33% | -4.03% |
| 15 | LRCX | Lam Research Corporation | Technology | 0.236 | 3.33% | 33.39% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LEN | Lennar Corporation | Consumer Cyclical | -0.407 | -3.33% | -8.13% |
| 2 | WHR | Whirlpool Corporation | Consumer Cyclical | -0.379 | -3.33% | -0.84% |
| 3 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.378 | -3.33% | -11.49% |
| 4 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.371 | -3.33% | 2.75% |
| 5 | EFX | Equifax Inc. | Industrials | -0.339 | -3.33% | 20.14% |
| 6 | FBIN | Fortune Brands Innovations, Inc. | Industrials | -0.337 | -3.33% | -1.97% |
| 7 | LOW | Lowe's Companies, Inc. | Consumer Cyclical | -0.325 | -3.33% | -3.72% |
| 8 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.311 | -3.33% | 14.42% |
| 9 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.306 | -3.33% | -9.27% |
| 10 | FDX | FedEx Corporation | Industrials | -0.299 | -3.33% | 2.38% |
| 11 | UPS | United Parcel Service, Inc. | Industrials | -0.280 | -3.33% | 1.06% |
| 12 | DRI | Darden Restaurants, Inc. | Consumer Cyclical | -0.277 | -3.33% | 13.03% |
| 13 | CPRT | Copart, Inc. | Industrials | -0.277 | -3.33% | 17.10% |
| 14 | MGM | MGM Resorts International | Consumer Cyclical | -0.264 | -3.33% | 36.73% |
| 15 | TGT | Target Corporation | Consumer Defensive | -0.259 | -3.33% | 11.12% |
Sector exposure en el rebalanceo seleccionado
2020-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 0.0% | 23.3% | -23.33% | 0 | 7 |
| Financial Services | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Industrials | 3.3% | 16.7% | -13.33% | 1 | 5 |
| Technology | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |