Portfolio
lightgbmLGBM 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
6
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
19.14%
Short avg
16.50%
bajar = bueno para el short
Spread long − short
2.65%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AMAT | Applied Materials, Inc. | Technology | 0.129 | 3.33% | 47.58% |
| 2 | QRVO | Qorvo, Inc. | Technology | 0.115 | 3.33% | 16.94% |
| 3 | XLNX | Xilinx, Inc. | Technology | 0.112 | 3.33% | -8.82% |
| 4 | LRCX | Lam Research Corporation | Technology | 0.112 | 3.33% | 31.36% |
| 5 | ZION | Zions Bancorporation, National Association | Financial Services | 0.109 | 3.33% | 26.23% |
| 6 | MU | Micron Technology, Inc. | Technology | 0.109 | 3.33% | 23.31% |
| 7 | PFG | Principal Financial Group, Inc. | Financial Services | 0.109 | 3.33% | 25.46% |
| 8 | MSFT | Microsoft Corporation | Technology | 0.108 | 3.33% | 13.21% |
| 9 | QCOM | QUALCOMM Incorporated | Technology | 0.107 | 3.33% | -6.82% |
| 10 | CMA | Comerica Incorporated | Financial Services | 0.107 | 3.33% | 26.31% |
| 11 | CSCO | Cisco Systems, Inc. | Technology | 0.106 | 3.33% | 17.57% |
| 12 | WDC | Western Digital Corporation | Technology | 0.105 | 3.33% | 33.21% |
| 13 | GEN | Gen Digital Inc. | Technology | 0.105 | 3.33% | 6.13% |
| 14 | NTRS | Northern Trust Corporation | Financial Services | 0.104 | 3.33% | 14.04% |
| 15 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.104 | 3.33% | 21.43% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MGM | MGM Resorts International | Consumer Cyclical | -0.130 | -3.33% | 33.52% |
| 2 | OKE | ONEOK, Inc. | Energy | -0.130 | -3.33% | 33.51% |
| 3 | WMB | The Williams Companies, Inc. | Energy | -0.124 | -3.33% | 18.51% |
| 4 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.123 | -3.33% | 25.44% |
| 5 | TSCO | Tractor Supply Company | Consumer Cyclical | -0.122 | -3.33% | 25.36% |
| 6 | MAS | Masco Corporation | Consumer Cyclical | -0.121 | -3.33% | 15.36% |
| 7 | HD | The Home Depot, Inc. | Consumer Cyclical | -0.107 | -3.33% | 17.93% |
| 8 | ROL | Rollins, Inc. | Consumer Cyclical | -0.094 | -3.33% | -7.81% |
| 9 | VFC | V.F. Corporation | Consumer Cyclical | -0.094 | -3.33% | -1.10% |
| 10 | DLTR | Dollar Tree, Inc. | Consumer Defensive | -0.091 | -3.33% | 9.51% |
| 11 | ORLY | O'Reilly Automotive, Inc. | Consumer Cyclical | -0.090 | -3.33% | 12.47% |
| 12 | NOV | NOV Inc. | Energy | -0.089 | -3.33% | -2.22% |
| 13 | AAP | Advance Auto Parts, Inc. | Consumer Cyclical | -0.086 | -3.33% | 15.59% |
| 14 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.085 | -3.33% | 18.33% |
| 15 | HBI | Hanesbrands Inc. | Consumer Cyclical | -0.084 | -3.33% | 33.04% |
Sector exposure en el rebalanceo seleccionado
2020-12-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 33.3% | 0.0% | 33.33% | 10 | 0 |
| Consumer Cyclical | 0.0% | 30.0% | -30.00% | 0 | 9 |
| Financial Services | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Energy | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |