Portfolio
lightgbmLGBM no sector· 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
9
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
20.34%
Short avg
20.80%
bajar = bueno para el short
Spread long − short
-0.46%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BA | The Boeing Company | Industrials | 0.240 | 3.33% | 33.33% |
| 2 | APA | APA Corporation | Energy | 0.201 | 3.33% | 61.58% |
| 3 | SBAC | SBA Communications Corporation | Real Estate | 0.165 | 3.33% | -7.42% |
| 4 | MRSH | Marsh & McLennan Companies, Inc. | Financial Services | 0.164 | 3.33% | 6.21% |
| 5 | FTI | TechnipFMC plc | Energy | 0.154 | 3.33% | 62.94% |
| 6 | MSFT | Microsoft Corporation | Technology | 0.153 | 3.33% | 18.58% |
| 7 | YUM | Yum! Brands, Inc. | Consumer Cyclical | 0.151 | 3.33% | 9.93% |
| 8 | CRM | Salesforce, Inc. | Technology | 0.150 | 3.33% | 1.01% |
| 9 | VRSN | VeriSign, Inc. | Technology | 0.144 | 3.33% | 5.12% |
| 10 | MSCI | MSCI Inc. | Financial Services | 0.143 | 3.33% | 15.74% |
| 11 | SPGI | S&P Global Inc. | Financial Services | 0.136 | 3.33% | -0.92% |
| 12 | WAT | Waters Corporation | Healthcare | 0.131 | 3.33% | 23.56% |
| 13 | DXC | DXC Technology Company | Technology | 0.131 | 3.33% | 30.10% |
| 14 | MCD | McDonald's Corporation | Consumer Cyclical | 0.129 | 3.33% | -1.23% |
| 15 | MU | Micron Technology, Inc. | Technology | 0.129 | 3.33% | 46.47% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.182 | -3.33% | 7.46% |
| 2 | DLTR | Dollar Tree, Inc. | Consumer Defensive | -0.172 | -3.33% | 14.12% |
| 3 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.169 | -3.33% | 5.31% |
| 4 | MGM | MGM Resorts International | Consumer Cyclical | -0.167 | -3.33% | 38.72% |
| 5 | NWS | News Corporation | Communication Services | -0.155 | -3.33% | 37.89% |
| 6 | TSCO | Tractor Supply Company | Consumer Cyclical | -0.155 | -3.33% | 8.59% |
| 7 | UA | Under Armour, Inc. | Consumer Cyclical | -0.149 | -3.33% | 27.29% |
| 8 | NOV | NOV Inc. | Energy | -0.147 | -3.33% | 40.15% |
| 9 | ADM | Archer-Daniels-Midland Company | Consumer Defensive | -0.147 | -3.33% | 6.46% |
| 10 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.138 | -3.33% | 30.62% |
| 11 | F | Ford Motor Company | Consumer Cyclical | -0.136 | -3.33% | 37.40% |
| 12 | OKE | ONEOK, Inc. | Energy | -0.134 | -3.33% | 39.62% |
| 13 | EFX | Equifax Inc. | Industrials | -0.133 | -3.33% | 23.37% |
| 14 | MAS | Masco Corporation | Consumer Cyclical | -0.130 | -3.33% | 1.60% |
| 15 | DG | Dollar General Corporation | Consumer Defensive | -0.128 | -3.33% | -6.61% |
Sector exposure en el rebalanceo seleccionado
2020-10-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 6.7% | 16.7% | -10.00% | 2 | 5 |
| Technology | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Consumer Defensive | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Energy | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |