Portfolio
lightgbmLGBM· rebalanceo 2021-02-26
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
7
30 posiciones
Sortino del run
0.29
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
3.11%
Short avg
11.60%
bajar = bueno para el short
Spread long − short
-8.49%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CRM | Salesforce, Inc. | Technology | 0.136 | 3.33% | 9.03% |
| 2 | SPGI | S&P Global Inc. | Financial Services | 0.121 | 3.33% | 11.91% |
| 3 | NOW | ServiceNow, Inc. | Technology | 0.116 | 3.33% | -16.06% |
| 4 | TDG | TransDigm Group Incorporated | Industrials | 0.115 | 3.33% | 8.35% |
| 5 | MA | Mastercard Incorporated | Financial Services | 0.112 | 3.33% | -0.52% |
| 6 | ANSS | ANSYS, Inc. | Technology | 0.108 | 3.33% | -2.39% |
| 7 | GEN | Gen Digital Inc. | Technology | 0.108 | 3.33% | 34.16% |
| 8 | PAYC | Paycom Software, Inc. | Technology | 0.105 | 3.33% | -16.04% |
| 9 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.102 | 3.33% | 6.93% |
| 10 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.097 | 3.33% | -12.39% |
| 11 | JNPR | Juniper Networks, Inc. | Technology | 0.097 | 3.33% | 10.12% |
| 12 | SNPS | Synopsys, Inc. | Technology | 0.095 | 3.33% | 0.07% |
| 13 | QCOM | QUALCOMM Incorporated | Technology | 0.095 | 3.33% | -3.14% |
| 14 | ADSK | Autodesk, Inc. | Technology | 0.093 | 3.33% | 0.56% |
| 15 | NVDA | NVIDIA Corporation | Technology | 0.090 | 3.33% | 16.03% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MGM | MGM Resorts International | Consumer Cyclical | -0.193 | -3.33% | 11.28% |
| 2 | OKE | ONEOK, Inc. | Energy | -0.185 | -3.33% | 12.38% |
| 3 | UA | Under Armour, Inc. | Consumer Cyclical | -0.184 | -3.33% | 0.58% |
| 4 | WMB | The Williams Companies, Inc. | Energy | -0.173 | -3.33% | 12.76% |
| 5 | TSCO | Tractor Supply Company | Consumer Cyclical | -0.171 | -3.33% | 11.42% |
| 6 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.165 | -3.33% | 13.77% |
| 7 | MAS | Masco Corporation | Consumer Cyclical | -0.164 | -3.33% | 10.54% |
| 8 | LKQ | LKQ Corporation | Consumer Cyclical | -0.160 | -3.33% | 23.40% |
| 9 | PVH | PVH Corp. | Consumer Cyclical | -0.157 | -3.33% | 13.61% |
| 10 | MOS | The Mosaic Company | Basic Materials | -0.153 | -3.33% | 16.44% |
| 11 | HBI | Hanesbrands Inc. | Consumer Cyclical | -0.152 | -3.33% | 8.28% |
| 12 | ROL | Rollins, Inc. | Consumer Cyclical | -0.152 | -3.33% | 0.28% |
| 13 | MRO | Marathon Oil Corporation | Energy | -0.149 | -3.33% | 8.07% |
| 14 | RL | Ralph Lauren Corporation | Consumer Cyclical | -0.149 | -3.33% | 3.06% |
| 15 | SEE | Sealed Air Corporation | Consumer Cyclical | -0.145 | -3.33% | 28.16% |
Sector exposure en el rebalanceo seleccionado
2021-02-26| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 40.0% | 0.0% | 40.00% | 12 | 0 |
| Consumer Cyclical | 0.0% | 33.3% | -33.33% | 0 | 10 |
| Energy | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Financial Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |