Portfolio
lightgbmLGBM macro· rebalanceo 2021-03-31
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
5
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
6.16%
Short avg
9.22%
bajar = bueno para el short
Spread long − short
-3.06%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CME | CME Group Inc. | Financial Services | 0.093 | 3.33% | 4.27% |
| 2 | WFC | Wells Fargo & Company | Financial Services | 0.093 | 3.33% | 13.83% |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.091 | 3.33% | 22.17% |
| 4 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.087 | 3.33% | 13.84% |
| 5 | BK | The Bank of New York Mellon Corporation | Financial Services | 0.085 | 3.33% | 8.65% |
| 6 | KEY | KeyCorp | Financial Services | 0.085 | 3.33% | 3.82% |
| 7 | USB | U.S. Bancorp | Financial Services | 0.084 | 3.33% | 3.82% |
| 8 | BAC | Bank of America Corporation | Financial Services | 0.082 | 3.33% | 5.48% |
| 9 | NTRS | Northern Trust Corporation | Financial Services | 0.082 | 3.33% | 10.23% |
| 10 | STT | State Street Corporation | Financial Services | 0.082 | 3.33% | -0.69% |
| 11 | PNC | The PNC Financial Services Group, Inc. | Financial Services | 0.081 | 3.33% | 8.41% |
| 12 | MET | MetLife, Inc. | Financial Services | 0.081 | 3.33% | -1.07% |
| 13 | MTB | M&T Bank Corporation | Financial Services | 0.081 | 3.33% | -3.23% |
| 14 | AMP | Ameriprise Financial, Inc. | Financial Services | 0.081 | 3.33% | 6.84% |
| 15 | TFC | Truist Financial Corporation | Financial Services | 0.079 | 3.33% | -4.00% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | OKE | ONEOK, Inc. | Energy | -0.124 | -3.33% | 12.17% |
| 2 | HD | The Home Depot, Inc. | Consumer Cyclical | -0.121 | -3.33% | 4.90% |
| 3 | WMB | The Williams Companies, Inc. | Energy | -0.112 | -3.33% | 12.91% |
| 4 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | -0.111 | -3.33% | 17.63% |
| 5 | NOV | NOV Inc. | Energy | -0.104 | -3.33% | 9.73% |
| 6 | TSCO | Tractor Supply Company | Consumer Cyclical | -0.102 | -3.33% | 6.52% |
| 7 | ROL | Rollins, Inc. | Consumer Cyclical | -0.097 | -3.33% | -0.40% |
| 8 | MAS | Masco Corporation | Consumer Cyclical | -0.094 | -3.33% | -3.23% |
| 9 | ORLY | O'Reilly Automotive, Inc. | Consumer Cyclical | -0.089 | -3.33% | 12.51% |
| 10 | AAP | Advance Auto Parts, Inc. | Consumer Cyclical | -0.087 | -3.33% | 12.16% |
| 11 | NKE | NIKE, Inc. | Consumer Cyclical | -0.083 | -3.33% | 17.78% |
| 12 | MOS | The Mosaic Company | Basic Materials | -0.082 | -3.33% | 1.86% |
| 13 | TMO | Thermo Fisher Scientific Inc. | Healthcare | -0.081 | -3.33% | 11.09% |
| 14 | LKQ | LKQ Corporation | Consumer Cyclical | -0.081 | -3.33% | 15.40% |
| 15 | AZO | AutoZone, Inc. | Consumer Cyclical | -0.080 | -3.33% | 7.26% |
Sector exposure en el rebalanceo seleccionado
2021-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 50.0% | 0.0% | 50.00% | 15 | 0 |
| Consumer Cyclical | 0.0% | 33.3% | -33.33% | 0 | 10 |
| Energy | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |