Portfolio
lightgbmLGBM no sector· 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
10
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
1.65%
Short avg
7.69%
bajar = bueno para el short
Spread long − short
-6.03%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | APA | APA Corporation | Energy | 0.188 | 3.33% | 52.94% |
| 2 | BA | The Boeing Company | Industrials | 0.170 | 3.33% | 5.35% |
| 3 | SBAC | SBA Communications Corporation | Real Estate | 0.165 | 3.33% | -20.22% |
| 4 | MRSH | Marsh & McLennan Companies, Inc. | Financial Services | 0.160 | 3.33% | -2.31% |
| 5 | TDG | TransDigm Group Incorporated | Industrials | 0.155 | 3.33% | -3.66% |
| 6 | MSFT | Microsoft Corporation | Technology | 0.153 | 3.33% | 4.98% |
| 7 | CRM | Salesforce, Inc. | Technology | 0.147 | 3.33% | -16.16% |
| 8 | SPGI | S&P Global Inc. | Financial Services | 0.141 | 3.33% | -1.82% |
| 9 | MSCI | MSCI Inc. | Financial Services | 0.138 | 3.33% | -1.16% |
| 10 | CCI | Crown Castle Inc. | Real Estate | 0.138 | 3.33% | -12.72% |
| 11 | EQIX | Equinix, Inc. | Real Estate | 0.138 | 3.33% | -16.17% |
| 12 | INTC | Intel Corporation | Technology | 0.134 | 3.33% | 16.88% |
| 13 | CTXS | Citrix Systems, Inc. | Technology | 0.131 | 3.33% | 4.29% |
| 14 | WRB | W. R. Berkley Corporation | Financial Services | 0.129 | 3.33% | 4.71% |
| 15 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.128 | 3.33% | 9.90% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.237 | -3.33% | 32.42% |
| 2 | NLSN | Nielsen Holdings plc | Industrials | -0.188 | -3.33% | 39.15% |
| 3 | DLTR | Dollar Tree, Inc. | Consumer Defensive | -0.174 | -3.33% | -9.89% |
| 4 | TMUS | T-Mobile US, Inc. | Communication Services | -0.174 | -3.33% | -12.00% |
| 5 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.167 | -3.33% | -5.51% |
| 6 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.163 | -3.33% | 11.61% |
| 7 | ADM | Archer-Daniels-Midland Company | Consumer Defensive | -0.161 | -3.33% | 10.90% |
| 8 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.160 | -3.33% | 24.09% |
| 9 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.156 | -3.33% | 4.23% |
| 10 | MGM | MGM Resorts International | Consumer Cyclical | -0.156 | -3.33% | 25.82% |
| 11 | MAS | Masco Corporation | Consumer Cyclical | -0.146 | -3.33% | -1.59% |
| 12 | NEM | Newmont Corporation | Basic Materials | -0.143 | -3.33% | -6.63% |
| 13 | TSCO | Tractor Supply Company | Consumer Cyclical | -0.143 | -3.33% | 8.56% |
| 14 | HUM | Humana Inc. | Healthcare | -0.139 | -3.33% | -4.17% |
| 15 | EFX | Equifax Inc. | Industrials | -0.139 | -3.33% | -1.66% |
Sector exposure en el rebalanceo seleccionado
2020-11-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Consumer Cyclical | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Industrials | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Technology | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Real Estate | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |