Portfolio
lightgbmLGBM 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
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
12.36%
Short avg
8.43%
bajar = bueno para el short
Spread long − short
3.92%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PFG | Principal Financial Group, Inc. | Financial Services | 0.113 | 3.33% | 11.63% |
| 2 | ZION | Zions Bancorporation, National Association | Financial Services | 0.109 | 3.33% | 6.07% |
| 3 | CMA | Comerica Incorporated | Financial Services | 0.105 | 3.33% | 11.93% |
| 4 | MET | MetLife, Inc. | Financial Services | 0.105 | 3.33% | 10.19% |
| 5 | BK | The Bank of New York Mellon Corporation | Financial Services | 0.105 | 3.33% | 18.24% |
| 6 | FITB | Fifth Third Bancorp | Financial Services | 0.104 | 3.33% | 16.47% |
| 7 | MS | Morgan Stanley | Financial Services | 0.103 | 3.33% | 14.31% |
| 8 | AMP | Ameriprise Financial, Inc. | Financial Services | 0.103 | 3.33% | 13.03% |
| 9 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.103 | 3.33% | 12.35% |
| 10 | QCOM | QUALCOMM Incorporated | Technology | 0.103 | 3.33% | -3.14% |
| 11 | BAC | Bank of America Corporation | Financial Services | 0.103 | 3.33% | 17.44% |
| 12 | KEY | KeyCorp | Financial Services | 0.101 | 3.33% | 11.30% |
| 13 | USB | U.S. Bancorp | Financial Services | 0.101 | 3.33% | 18.01% |
| 14 | SCHW | The Charles Schwab Corporation | Financial Services | 0.100 | 3.33% | 14.42% |
| 15 | STT | State Street Corporation | Financial Services | 0.099 | 3.33% | 13.13% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MGM | MGM Resorts International | Consumer Cyclical | -0.128 | -3.33% | 11.28% |
| 2 | OKE | ONEOK, Inc. | Energy | -0.125 | -3.33% | 12.38% |
| 3 | WMB | The Williams Companies, Inc. | Energy | -0.118 | -3.33% | 12.76% |
| 4 | TSCO | Tractor Supply Company | Consumer Cyclical | -0.103 | -3.33% | 11.42% |
| 5 | ROL | Rollins, Inc. | Consumer Cyclical | -0.096 | -3.33% | 0.28% |
| 6 | MAS | Masco Corporation | Consumer Cyclical | -0.094 | -3.33% | 10.54% |
| 7 | TMO | Thermo Fisher Scientific Inc. | Healthcare | -0.092 | -3.33% | 2.20% |
| 8 | DISCK | Warner Bros. Discovery, Inc. | Communication Services | -0.090 | -3.33% | -47.48% |
| 9 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.088 | -3.33% | 20.68% |
| 10 | HD | The Home Depot, Inc. | Consumer Cyclical | -0.088 | -3.33% | 20.43% |
| 11 | EOG | EOG Resources, Inc. | Energy | -0.087 | -3.33% | 21.77% |
| 12 | NOV | NOV Inc. | Energy | -0.086 | -3.33% | 3.02% |
| 13 | ORLY | O'Reilly Automotive, Inc. | Consumer Cyclical | -0.082 | -3.33% | 17.04% |
| 14 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.077 | -3.33% | 13.77% |
| 15 | MOS | The Mosaic Company | Basic Materials | -0.077 | -3.33% | 16.44% |
Sector exposure en el rebalanceo seleccionado
2021-02-26| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 46.7% | 0.0% | 46.67% | 14 | 0 |
| Consumer Cyclical | 0.0% | 23.3% | -23.33% | 0 | 7 |
| Energy | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Technology | 3.3% | 0.0% | 3.33% | 1 | 0 |