Portfolio
lightgbmLGBM dual tail macro· 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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
8
30 posiciones
Sortino del run
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
13.43%
Short avg
26.72%
bajar = bueno para el short
Spread long − short
-13.29%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BA | The Boeing Company | Industrials | 0.338 | 3.33% | 23.01% |
| 2 | FTI | TechnipFMC plc | Energy | 0.336 | 3.33% | -5.20% |
| 3 | HAL | Halliburton Company | Energy | 0.334 | 3.33% | 12.35% |
| 4 | SLB | SLB N.V. | Energy | 0.333 | 3.33% | 22.76% |
| 5 | COP | ConocoPhillips | Energy | 0.329 | 3.33% | 29.34% |
| 6 | HWM | Howmet Aerospace Inc. | Industrials | 0.327 | 3.33% | 15.60% |
| 7 | TWTR | Twitter, Inc. (delisted) | Communication Services | 0.322 | 3.33% | 20.59% |
| 8 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.322 | 3.33% | 28.50% |
| 9 | NTAP | NetApp, Inc. | Technology | 0.322 | 3.33% | 13.10% |
| 10 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.311 | 3.33% | -5.37% |
| 11 | INCY | Incyte Corporation | Healthcare | 0.310 | 3.33% | -3.86% |
| 12 | BKR | Baker Hughes Company | Energy | 0.309 | 3.33% | 1.94% |
| 13 | AMAT | Applied Materials, Inc. | Technology | 0.306 | 3.33% | 47.58% |
| 14 | ALGN | Align Technology, Inc. | Healthcare | 0.305 | 3.33% | 5.07% |
| 15 | EW | Edwards Lifesciences Corporation | Healthcare | 0.304 | 3.33% | -4.03% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MGM | MGM Resorts International | Consumer Cyclical | 0.282 | -3.33% | 33.52% |
| 2 | FCX | Freeport-McMoRan Inc. | Basic Materials | 0.277 | -3.33% | 25.44% |
| 3 | DRI | Darden Restaurants, Inc. | Consumer Cyclical | 0.271 | -3.33% | 22.04% |
| 4 | AMCR | Amcor plc | Consumer Cyclical | 0.246 | -3.33% | 6.18% |
| 5 | OXY | Occidental Petroleum Corporation | Energy | 0.279 | -3.33% | 37.40% |
| 6 | GPS | The Gap, Inc. | Consumer Cyclical | 0.251 | -3.33% | 47.82% |
| 7 | AAL | American Airlines Group Inc. | Industrials | 0.280 | -3.33% | 46.39% |
| 8 | DHI | D.R. Horton, Inc. | Consumer Cyclical | 0.242 | -3.33% | 32.94% |
| 9 | MRO | Marathon Oil Corporation | Energy | 0.266 | -3.33% | 49.33% |
| 10 | PVH | PVH Corp. | Consumer Cyclical | 0.278 | -3.33% | 7.56% |
| 11 | UAL | United Airlines Holdings, Inc. | Industrials | 0.270 | -3.33% | 35.68% |
| 12 | SYY | Sysco Corporation | Consumer Defensive | 0.272 | -3.33% | 12.82% |
| 13 | UA | Under Armour, Inc. | Consumer Cyclical | 0.276 | -3.33% | 23.76% |
| 14 | GPC | Genuine Parts Company | Consumer Cyclical | 0.284 | -3.33% | 18.41% |
| 15 | UHS | Universal Health Services, Inc. | Healthcare | 0.265 | -3.33% | 1.43% |
Sector exposure en el rebalanceo seleccionado
2020-12-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 6.7% | 26.7% | -20.00% | 2 | 8 |
| Energy | 16.7% | 6.7% | 10.00% | 5 | 2 |
| Healthcare | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Industrials | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Technology | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |