Portfolio
lightgbmLGBM dual tail· 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
9
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
12.61%
Short avg
-4.69%
bajar = bueno para el short
Spread long − short
17.29%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | TWTR | Twitter, Inc. (delisted) | Communication Services | 0.591 | 3.33% | 23.63% |
| 2 | NOW | ServiceNow, Inc. | Technology | 0.582 | 3.33% | 17.60% |
| 3 | ILMN | Illumina, Inc. | Healthcare | 0.565 | 3.33% | 24.36% |
| 4 | NTAP | NetApp, Inc. | Technology | 0.560 | 3.33% | 8.14% |
| 5 | AMD | Advanced Micro Devices, Inc. | Technology | 0.557 | 3.33% | 32.42% |
| 6 | FTNT | Fortinet, Inc. | Technology | 0.546 | 3.33% | 33.69% |
| 7 | LRCX | Lam Research Corporation | Technology | 0.546 | 3.33% | 4.10% |
| 8 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.535 | 3.33% | -9.36% |
| 9 | TER | Teradyne, Inc. | Technology | 0.534 | 3.33% | 1.70% |
| 10 | XLNX | Xilinx, Inc. | Technology | 0.533 | 3.33% | 18.72% |
| 11 | AMAT | Applied Materials, Inc. | Technology | 0.532 | 3.33% | 6.84% |
| 12 | EA | Electronic Arts Inc. | Communication Services | 0.531 | 3.33% | 2.17% |
| 13 | CSCO | Cisco Systems, Inc. | Technology | 0.527 | 3.33% | 8.74% |
| 14 | JNPR | Juniper Networks, Inc. | Technology | 0.526 | 3.33% | 8.70% |
| 15 | BMY | Bristol-Myers Squibb Company | Healthcare | 0.526 | 3.33% | 7.63% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KIM | Kimco Realty Corporation | Real Estate | 0.364 | -3.33% | 2.05% |
| 2 | MRO | Marathon Oil Corporation | Energy | 0.338 | -3.33% | 1.79% |
| 3 | HBI | Hanesbrands Inc. | Consumer Cyclical | 0.376 | -3.33% | -13.24% |
| 4 | ALK | Alaska Air Group, Inc. | Industrials | 0.366 | -3.33% | -19.17% |
| 5 | DISCK | Warner Bros. Discovery, Inc. | Communication Services | 0.344 | -3.33% | -13.89% |
| 6 | LEG | Leggett & Platt, Incorporated | Consumer Cyclical | 0.449 | -3.33% | -4.98% |
| 7 | HFC | HF Sinclair Corporation | Energy | 0.465 | -3.33% | -24.57% |
| 8 | DXC | DXC Technology Company | Technology | 0.425 | -3.33% | 23.55% |
| 9 | DVN | Devon Energy Corporation | Energy | 0.368 | -3.33% | 8.76% |
| 10 | TDG | TransDigm Group Incorporated | Industrials | 0.457 | -3.33% | 4.42% |
| 11 | DFS | Discover Financial Services | Financial Services | 0.372 | -3.33% | 8.13% |
| 12 | MPC | Marathon Petroleum Corporation | Energy | 0.357 | -3.33% | -3.87% |
| 13 | MOS | The Mosaic Company | Basic Materials | 0.346 | -3.33% | -15.56% |
| 14 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.343 | -3.33% | -12.72% |
| 15 | IVZ | Invesco Ltd. | Financial Services | 0.393 | -3.33% | -11.01% |
Sector exposure en el rebalanceo seleccionado
2021-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 33.3% | 3.3% | 30.00% | 10 | 1 |
| Consumer Cyclical | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Energy | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Communication Services | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Financial Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Industrials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |