Portfolio
lightgbmLGBM buffer· rebalanceo 2021-04-30
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
-0.04
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
8.01%
Short avg
-4.06%
bajar = bueno para el short
Spread long − short
12.07%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CRM | Salesforce, Inc. | Technology | 0.158 | 3.33% | 7.37% |
| 2 | ADSK | Autodesk, Inc. | Technology | 0.148 | 3.33% | 11.35% |
| 3 | MA | Mastercard Incorporated | Financial Services | 0.146 | 3.33% | -0.98% |
| 4 | ANSS | ANSYS, Inc. | Technology | 0.142 | 3.33% | 2.21% |
| 5 | PAYC | Paycom Software, Inc. | Technology | 0.141 | 3.33% | 5.41% |
| 6 | MSFT | Microsoft Corporation | Technology | 0.139 | 3.33% | 12.53% |
| 7 | SPGI | S&P Global Inc. | Financial Services | 0.135 | 3.33% | 9.95% |
| 8 | CSCO | Cisco Systems, Inc. | Technology | 0.130 | 3.33% | 8.74% |
| 9 | INTC | Intel Corporation | Technology | 0.128 | 3.33% | -5.85% |
| 10 | NOW | ServiceNow, Inc. | Technology | 0.127 | 3.33% | 17.60% |
| 11 | QCOM | QUALCOMM Incorporated | Technology | 0.126 | 3.33% | 8.49% |
| 12 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.126 | 3.33% | 7.18% |
| 13 | TDG | TransDigm Group Incorporated | Industrials | 0.124 | 3.33% | 4.42% |
| 14 | JNPR | Juniper Networks, Inc. | Technology | 0.122 | 3.33% | 8.70% |
| 15 | MSCI | MSCI Inc. | Financial Services | 0.120 | 3.33% | 23.00% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | -0.209 | -3.33% | 16.91% |
| 2 | BKR | Baker Hughes Company | Energy | -0.209 | -3.33% | -3.19% |
| 3 | UA | Under Armour, Inc. | Consumer Cyclical | -0.200 | -3.33% | -9.38% |
| 4 | NLSN | Nielsen Holdings plc | Industrials | -0.184 | -3.33% | -8.51% |
| 5 | RL | Ralph Lauren Corporation | Consumer Cyclical | -0.183 | -3.33% | -13.86% |
| 6 | NOV | NOV Inc. | Energy | -0.178 | -3.33% | -15.22% |
| 7 | TSCO | Tractor Supply Company | Consumer Cyclical | -0.178 | -3.33% | -6.16% |
| 8 | ROL | Rollins, Inc. | Consumer Cyclical | -0.175 | -3.33% | 2.30% |
| 9 | HBI | Hanesbrands Inc. | Consumer Cyclical | -0.174 | -3.33% | -13.24% |
| 10 | HD | The Home Depot, Inc. | Consumer Cyclical | -0.172 | -3.33% | -0.41% |
| 11 | MGM | MGM Resorts International | Consumer Cyclical | -0.169 | -3.33% | -9.88% |
| 12 | LKQ | LKQ Corporation | Consumer Cyclical | -0.167 | -3.33% | 6.07% |
| 13 | PVH | PVH Corp. | Consumer Cyclical | -0.157 | -3.33% | -11.19% |
| 14 | AAP | Advance Auto Parts, Inc. | Consumer Cyclical | -0.154 | -3.33% | 5.74% |
| 15 | OKE | ONEOK, Inc. | Energy | -0.153 | -3.33% | -0.88% |
Sector exposure en el rebalanceo seleccionado
2021-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 0.0% | 36.7% | -36.67% | 0 | 11 |
| Technology | 36.7% | 0.0% | 36.67% | 11 | 0 |
| Energy | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |