Portfolio
lightgbmLGBM no sector· 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
10
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
10.64%
Short avg
16.53%
bajar = bueno para el short
Spread long − short
-5.90%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BA | The Boeing Company | Industrials | 0.217 | 3.33% | 23.01% |
| 2 | APA | APA Corporation | Energy | 0.166 | 3.33% | 19.18% |
| 3 | TDG | TransDigm Group Incorporated | Industrials | 0.163 | 3.33% | 4.44% |
| 4 | SBAC | SBA Communications Corporation | Real Estate | 0.154 | 3.33% | 3.74% |
| 5 | MRSH | Marsh & McLennan Companies, Inc. | Financial Services | 0.151 | 3.33% | 10.03% |
| 6 | VRSN | VeriSign, Inc. | Technology | 0.150 | 3.33% | -3.82% |
| 7 | MSFT | Microsoft Corporation | Technology | 0.148 | 3.33% | 13.21% |
| 8 | INTC | Intel Corporation | Technology | 0.139 | 3.33% | 28.37% |
| 9 | MSCI | MSCI Inc. | Financial Services | 0.135 | 3.33% | 0.74% |
| 10 | YUM | Yum! Brands, Inc. | Consumer Cyclical | 0.133 | 3.33% | 7.99% |
| 11 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.133 | 3.33% | 8.78% |
| 12 | NOW | ServiceNow, Inc. | Technology | 0.132 | 3.33% | -3.43% |
| 13 | TXN | Texas Instruments Incorporated | Technology | 0.132 | 3.33% | 18.80% |
| 14 | SPGI | S&P Global Inc. | Financial Services | 0.130 | 3.33% | 9.56% |
| 15 | WAT | Waters Corporation | Healthcare | 0.127 | 3.33% | 18.91% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NLSN | Nielsen Holdings plc | Industrials | -0.218 | -3.33% | 23.39% |
| 2 | TMUS | T-Mobile US, Inc. | Communication Services | -0.194 | -3.33% | -0.76% |
| 3 | MGM | MGM Resorts International | Consumer Cyclical | -0.191 | -3.33% | 33.52% |
| 4 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.191 | -3.33% | 18.33% |
| 5 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.190 | -3.33% | 25.44% |
| 6 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.172 | -3.33% | 2.04% |
| 7 | NEM | Newmont Corporation | Basic Materials | -0.171 | -3.33% | 0.43% |
| 8 | OKE | ONEOK, Inc. | Energy | -0.170 | -3.33% | 33.51% |
| 9 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.155 | -3.33% | 33.66% |
| 10 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.146 | -3.33% | 32.94% |
| 11 | DLTR | Dollar Tree, Inc. | Consumer Defensive | -0.146 | -3.33% | 9.51% |
| 12 | EFX | Equifax Inc. | Industrials | -0.136 | -3.33% | -1.35% |
| 13 | INCY | Incyte Corporation | Healthcare | -0.134 | -3.33% | -3.86% |
| 14 | TSCO | Tractor Supply Company | Consumer Cyclical | -0.128 | -3.33% | 25.36% |
| 15 | ADM | Archer-Daniels-Midland Company | Consumer Defensive | -0.125 | -3.33% | 15.85% |
Sector exposure en el rebalanceo seleccionado
2020-12-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Consumer Cyclical | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Financial Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Industrials | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Healthcare | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |