Portfolio
lightgbmLGBM dual tail· rebalanceo 2020-11-30
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
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
14.99%
Short avg
29.14%
bajar = bueno para el short
Spread long − short
-14.15%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BA | The Boeing Company | Industrials | 0.617 | 3.33% | 5.35% |
| 2 | FTI | TechnipFMC plc | Energy | 0.563 | 3.33% | 20.80% |
| 3 | ILMN | Illumina, Inc. | Healthcare | 0.557 | 3.33% | 17.83% |
| 4 | NTAP | NetApp, Inc. | Technology | 0.556 | 3.33% | 12.74% |
| 5 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.550 | 3.33% | 22.72% |
| 6 | HAL | Halliburton Company | Energy | 0.546 | 3.33% | 26.10% |
| 7 | AMAT | Applied Materials, Inc. | Technology | 0.541 | 3.33% | 25.23% |
| 8 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.535 | 3.33% | 21.35% |
| 9 | JNPR | Juniper Networks, Inc. | Technology | 0.530 | 3.33% | 8.51% |
| 10 | SLB | SLB N.V. | Energy | 0.529 | 3.33% | 30.94% |
| 11 | VRSN | VeriSign, Inc. | Technology | 0.527 | 3.33% | -5.34% |
| 12 | QRVO | Qorvo, Inc. | Technology | 0.526 | 3.33% | 3.42% |
| 13 | DXCM | DexCom, Inc. | Healthcare | 0.524 | 3.33% | 8.36% |
| 14 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.524 | 3.33% | -3.39% |
| 15 | CMA | Comerica Incorporated | Financial Services | 0.521 | 3.33% | 30.30% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | IVZ | Invesco Ltd. | Financial Services | 0.421 | -3.33% | 35.51% |
| 2 | ALK | Alaska Air Group, Inc. | Industrials | 0.442 | -3.33% | 23.79% |
| 3 | TDG | TransDigm Group Incorporated | Industrials | 0.439 | -3.33% | -3.66% |
| 4 | SYY | Sysco Corporation | Consumer Defensive | 0.427 | -3.33% | 8.44% |
| 5 | SYF | Synchrony Financial | Financial Services | 0.503 | -3.33% | 21.83% |
| 6 | APA | APA Corporation | Energy | 0.407 | -3.33% | 52.94% |
| 7 | SPG | Simon Property Group, Inc. | Real Estate | 0.400 | -3.33% | 27.46% |
| 8 | GPS | The Gap, Inc. | Consumer Cyclical | 0.381 | -3.33% | 15.92% |
| 9 | MRO | Marathon Oil Corporation | Energy | 0.404 | -3.33% | 74.95% |
| 10 | DAL | Delta Air Lines, Inc. | Industrials | 0.413 | -3.33% | 16.13% |
| 11 | HFC | HF Sinclair Corporation | Energy | 0.400 | -3.33% | 48.69% |
| 12 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.421 | -3.33% | 15.71% |
| 13 | PXD | Pioneer Natural Resources Company | Energy | 0.336 | -3.33% | 46.80% |
| 14 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | 0.414 | -3.33% | 32.94% |
| 15 | PVH | PVH Corp. | Consumer Cyclical | 0.415 | -3.33% | 19.64% |
Sector exposure en el rebalanceo seleccionado
2020-11-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 10.0% | 13.3% | -3.33% | 3 | 4 |
| Consumer Cyclical | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Technology | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Industrials | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Financial Services | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Healthcare | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |