Portfolio
lightgbmLGBM macro· rebalanceo 2020-10-30
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
5
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
27.35%
Short avg
13.97%
bajar = bueno para el short
Spread long − short
13.38%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CMA | Comerica Incorporated | Financial Services | 0.121 | 3.33% | 27.05% |
| 2 | ZION | Zions Bancorporation, National Association | Financial Services | 0.119 | 3.33% | 33.47% |
| 3 | PFG | Principal Financial Group, Inc. | Financial Services | 0.119 | 3.33% | 26.46% |
| 4 | FITB | Fifth Third Bancorp | Financial Services | 0.115 | 3.33% | 26.24% |
| 5 | PNC | The PNC Financial Services Group, Inc. | Financial Services | 0.114 | 3.33% | 29.22% |
| 6 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.114 | 3.33% | 42.22% |
| 7 | KEY | KeyCorp | Financial Services | 0.112 | 3.33% | 30.80% |
| 8 | BK | The Bank of New York Mellon Corporation | Financial Services | 0.111 | 3.33% | 16.46% |
| 9 | SCHW | The Charles Schwab Corporation | Financial Services | 0.110 | 3.33% | 26.31% |
| 10 | NTRS | Northern Trust Corporation | Financial Services | 0.109 | 3.33% | 17.57% |
| 11 | AMP | Ameriprise Financial, Inc. | Financial Services | 0.109 | 3.33% | 21.10% |
| 12 | MS | Morgan Stanley | Financial Services | 0.109 | 3.33% | 43.14% |
| 13 | MTB | M&T Bank Corporation | Financial Services | 0.109 | 3.33% | 26.81% |
| 14 | JPM | JPMorgan Chase & Co. | Financial Services | 0.107 | 3.33% | 30.58% |
| 15 | USB | U.S. Bancorp | Financial Services | 0.107 | 3.33% | 12.76% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | TSCO | Tractor Supply Company | Consumer Cyclical | -0.142 | -3.33% | 8.59% |
| 2 | OKE | ONEOK, Inc. | Energy | -0.138 | -3.33% | 39.62% |
| 3 | MAS | Masco Corporation | Consumer Cyclical | -0.134 | -3.33% | 1.60% |
| 4 | WMB | The Williams Companies, Inc. | Energy | -0.123 | -3.33% | 17.35% |
| 5 | DG | Dollar General Corporation | Consumer Defensive | -0.120 | -3.33% | -6.61% |
| 6 | MGM | MGM Resorts International | Consumer Cyclical | -0.116 | -3.33% | 38.72% |
| 7 | ROL | Rollins, Inc. | Consumer Cyclical | -0.115 | -3.33% | -5.41% |
| 8 | VFC | V.F. Corporation | Consumer Cyclical | -0.106 | -3.33% | 14.48% |
| 9 | ORLY | O'Reilly Automotive, Inc. | Consumer Cyclical | -0.099 | -3.33% | 0.24% |
| 10 | AAP | Advance Auto Parts, Inc. | Consumer Cyclical | -0.098 | -3.33% | 2.70% |
| 11 | NOV | NOV Inc. | Energy | -0.098 | -3.33% | 40.15% |
| 12 | AZO | AutoZone, Inc. | Consumer Cyclical | -0.095 | -3.33% | 4.58% |
| 13 | MO | Altria Group, Inc. | Consumer Defensive | -0.095 | -3.33% | 16.14% |
| 14 | DPZ | Domino's Pizza, Inc. | Consumer Cyclical | -0.093 | -3.33% | -0.52% |
| 15 | NWS | News Corporation | Communication Services | -0.093 | -3.33% | 37.89% |
Sector exposure en el rebalanceo seleccionado
2020-10-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 50.0% | 0.0% | 50.00% | 15 | 0 |
| Consumer Cyclical | 0.0% | 30.0% | -30.00% | 0 | 9 |
| Energy | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |