Portfolio
lightgbmLGBM dual tail macro· 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
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
3.53%
Short avg
13.51%
bajar = bueno para el short
Spread long − short
-9.99%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | 0.330 | 3.33% | -2.27% |
| 2 | COP | ConocoPhillips | Energy | 0.329 | 3.33% | 6.56% |
| 3 | SLB | SLB N.V. | Energy | 0.328 | 3.33% | 8.69% |
| 4 | NOW | ServiceNow, Inc. | Technology | 0.327 | 3.33% | -16.06% |
| 5 | BA | The Boeing Company | Industrials | 0.322 | 3.33% | 9.61% |
| 6 | WDC | Western Digital Corporation | Technology | 0.321 | 3.33% | 4.11% |
| 7 | TWTR | Twitter, Inc. (delisted) | Communication Services | 0.319 | 3.33% | -29.15% |
| 8 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.316 | 3.33% | 6.93% |
| 9 | CSCO | Cisco Systems, Inc. | Technology | 0.315 | 3.33% | 14.88% |
| 10 | MSCI | MSCI Inc. | Financial Services | 0.311 | 3.33% | 11.01% |
| 11 | NTAP | NetApp, Inc. | Technology | 0.311 | 3.33% | 17.72% |
| 12 | INTC | Intel Corporation | Technology | 0.310 | 3.33% | -9.00% |
| 13 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.310 | 3.33% | 9.30% |
| 14 | QRVO | Qorvo, Inc. | Technology | 0.310 | 3.33% | 0.22% |
| 15 | HWM | Howmet Aerospace Inc. | Industrials | 0.310 | 3.33% | 20.32% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DISH | DISH Network Corporation | Communication Services | 0.216 | -3.33% | 28.16% |
| 2 | MGM | MGM Resorts International | Consumer Cyclical | 0.263 | -3.33% | 11.28% |
| 3 | UA | Under Armour, Inc. | Consumer Cyclical | 0.272 | -3.33% | 0.58% |
| 4 | FCX | Freeport-McMoRan Inc. | Basic Materials | 0.229 | -3.33% | 20.45% |
| 5 | DHI | D.R. Horton, Inc. | Consumer Cyclical | 0.242 | -3.33% | 20.68% |
| 6 | OXY | Occidental Petroleum Corporation | Energy | 0.279 | -3.33% | -6.21% |
| 7 | GPS | The Gap, Inc. | Consumer Cyclical | 0.256 | -3.33% | 27.59% |
| 8 | TPR | Tapestry, Inc. | Consumer Cyclical | 0.230 | -3.33% | 7.83% |
| 9 | PVH | PVH Corp. | Consumer Cyclical | 0.262 | -3.33% | 13.61% |
| 10 | FANG | Diamondback Energy, Inc. | Energy | 0.248 | -3.33% | 9.42% |
| 11 | FOX | Fox Corporation | Communication Services | 0.229 | -3.33% | 8.90% |
| 12 | FOXA | Fox Corporation | Communication Services | 0.243 | -3.33% | 7.62% |
| 13 | LEN | Lennar Corporation | Consumer Cyclical | 0.230 | -3.33% | 18.35% |
| 14 | MPC | Marathon Petroleum Corporation | Energy | 0.278 | -3.33% | 10.64% |
| 15 | WRK | WestRock Company | Consumer Cyclical | 0.274 | -3.33% | 23.76% |
Sector exposure en el rebalanceo seleccionado
2021-02-26| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 3.3% | 26.7% | -23.33% | 1 | 8 |
| Technology | 23.3% | 0.0% | 23.33% | 7 | 0 |
| Energy | 10.0% | 10.0% | 0.00% | 3 | 3 |
| Communication Services | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Industrials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Financial Services | 3.3% | 0.0% | 3.33% | 1 | 0 |