Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2020-12-31
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 53.8%
Short book
15
gross -46.2%
Sectores cubiertos
7
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
8.53%
Short avg
18.51%
bajar = bueno para el short
Spread long − short
-9.98%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CRM | Salesforce, Inc. | Technology | 0.141 | 3.59% | 0.35% |
| 2 | NOW | ServiceNow, Inc. | Technology | 0.131 | 3.59% | -3.43% |
| 3 | GEN | Gen Digital Inc. | Technology | 0.115 | 3.59% | 6.13% |
| 4 | TDG | TransDigm Group Incorporated | Industrials | 0.115 | 3.59% | 4.44% |
| 5 | XEL | Xcel Energy Inc. | Utilities | 0.113 | 3.59% | 4.48% |
| 6 | STT | State Street Corporation | Financial Services | 0.112 | 3.59% | 16.83% |
| 7 | AEE | Ameren Corporation | Utilities | 0.108 | 3.59% | 7.58% |
| 8 | BK | The Bank of New York Mellon Corporation | Financial Services | 0.107 | 3.59% | 14.39% |
| 9 | AEP | American Electric Power Company, Inc. | Utilities | 0.106 | 3.59% | 7.13% |
| 10 | EVRG | Evergy, Inc. | Utilities | 0.106 | 3.59% | 13.89% |
| 11 | LNT | Alliant Energy Corporation | Utilities | 0.105 | 3.59% | 9.04% |
| 12 | MRSH | Marsh & McLennan Companies, Inc. | Financial Services | 0.101 | 3.59% | 10.03% |
| 13 | ANSS | ANSYS, Inc. | Technology | 0.101 | 3.59% | 0.21% |
| 14 | BA | The Boeing Company | Industrials | 0.098 | 3.59% | 23.01% |
| 15 | CME | CME Group Inc. | Financial Services | 0.093 | 3.59% | 13.86% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MGM | MGM Resorts International | Consumer Cyclical | -0.207 | -3.08% | 33.52% |
| 2 | HD | The Home Depot, Inc. | Consumer Cyclical | -0.199 | -3.08% | 17.93% |
| 3 | MAS | Masco Corporation | Consumer Cyclical | -0.195 | -3.08% | 15.36% |
| 4 | TSCO | Tractor Supply Company | Consumer Cyclical | -0.194 | -3.08% | 25.36% |
| 5 | ROL | Rollins, Inc. | Consumer Cyclical | -0.180 | -3.08% | -7.81% |
| 6 | LOW | Lowe's Companies, Inc. | Consumer Cyclical | -0.170 | -3.08% | 19.48% |
| 7 | LKQ | LKQ Corporation | Consumer Cyclical | -0.164 | -3.08% | 21.77% |
| 8 | NOV | NOV Inc. | Energy | -0.163 | -3.08% | -2.22% |
| 9 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.160 | -3.08% | 33.66% |
| 10 | OKE | ONEOK, Inc. | Energy | -0.157 | -3.08% | 33.51% |
| 11 | HBI | Hanesbrands Inc. | Consumer Cyclical | -0.153 | -3.08% | 33.04% |
| 12 | AAP | Advance Auto Parts, Inc. | Consumer Cyclical | -0.149 | -3.08% | 15.59% |
| 13 | VFC | V.F. Corporation | Consumer Cyclical | -0.148 | -3.08% | -1.10% |
| 14 | TPR | Tapestry, Inc. | Consumer Cyclical | -0.140 | -3.08% | 27.02% |
| 15 | ORLY | O'Reilly Automotive, Inc. | Consumer Cyclical | -0.128 | -3.08% | 12.47% |
Sector exposure en el rebalanceo seleccionado
2020-12-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 0.0% | 37.0% | -36.95% | 0 | 12 |
| Utilities | 17.9% | 0.0% | 17.94% | 5 | 0 |
| Financial Services | 14.3% | 0.0% | 14.35% | 4 | 0 |
| Technology | 14.3% | 0.0% | 14.35% | 4 | 0 |
| Industrials | 7.2% | 0.0% | 7.17% | 2 | 0 |
| Energy | 0.0% | 6.2% | -6.16% | 0 | 2 |
| Communication Services | 0.0% | 3.1% | -3.08% | 0 | 1 |