Portfolio
lightgbmLGBM no sector· 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
9
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
11.67%
Short avg
8.66%
bajar = bueno para el short
Spread long − short
3.01%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MSCI | MSCI Inc. | Financial Services | 0.216 | 3.33% | 22.17% |
| 2 | MSFT | Microsoft Corporation | Technology | 0.207 | 3.33% | 11.63% |
| 3 | TDG | TransDigm Group Incorporated | Industrials | 0.183 | 3.33% | 8.76% |
| 4 | CRM | Salesforce, Inc. | Technology | 0.180 | 3.33% | 11.34% |
| 5 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.175 | 3.33% | 15.48% |
| 6 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | 0.165 | 3.33% | -0.66% |
| 7 | ZTS | Zoetis Inc. | Healthcare | 0.155 | 3.33% | 18.28% |
| 8 | NOW | ServiceNow, Inc. | Technology | 0.155 | 3.33% | 7.25% |
| 9 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.155 | 3.33% | 7.80% |
| 10 | EA | Electronic Arts Inc. | Communication Services | 0.154 | 3.33% | 3.11% |
| 11 | A | Agilent Technologies, Inc. | Healthcare | 0.152 | 3.33% | 14.77% |
| 12 | ADBE | Adobe Inc. | Technology | 0.150 | 3.33% | 19.04% |
| 13 | SBAC | SBA Communications Corporation | Real Estate | 0.148 | 3.33% | 13.14% |
| 14 | GRMN | Garmin Ltd. | Technology | 0.145 | 3.33% | 10.22% |
| 15 | VRSN | VeriSign, Inc. | Technology | 0.143 | 3.33% | 12.68% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NLSN | Nielsen Holdings plc | Industrials | -0.218 | -3.33% | -1.67% |
| 2 | NOV | NOV Inc. | Energy | -0.215 | -3.33% | 9.73% |
| 3 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.199 | -3.33% | 6.52% |
| 4 | MOS | The Mosaic Company | Basic Materials | -0.190 | -3.33% | 1.86% |
| 5 | EFX | Equifax Inc. | Industrials | -0.180 | -3.33% | 27.98% |
| 6 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | -0.170 | -3.33% | 14.58% |
| 7 | NEM | Newmont Corporation | Basic Materials | -0.169 | -3.33% | 2.43% |
| 8 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.159 | -3.33% | 2.11% |
| 9 | TMO | Thermo Fisher Scientific Inc. | Healthcare | -0.151 | -3.33% | 11.09% |
| 10 | DISH | DISH Network Corporation | Communication Services | -0.140 | -3.33% | 14.26% |
| 11 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.138 | -3.33% | 24.33% |
| 12 | HOLX | Hologic, Inc. | Healthcare | -0.137 | -3.33% | -8.93% |
| 13 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | -0.134 | -3.33% | 17.63% |
| 14 | LUV | Southwest Airlines Co. | Industrials | -0.132 | -3.33% | -12.94% |
| 15 | FANG | Diamondback Energy, Inc. | Energy | -0.129 | -3.33% | 20.89% |
Sector exposure en el rebalanceo seleccionado
2021-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 23.3% | 0.0% | 23.33% | 7 | 0 |
| Healthcare | 6.7% | 10.0% | -3.33% | 2 | 3 |
| Communication Services | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Industrials | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Consumer Cyclical | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Financial Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |