Portfolio
lightgbmLGBM no sector· 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
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
11.40%
Short avg
-3.25%
bajar = bueno para el short
Spread long − short
14.65%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MSFT | Microsoft Corporation | Technology | 0.206 | 3.33% | 12.53% |
| 2 | TDG | TransDigm Group Incorporated | Industrials | 0.192 | 3.33% | 4.42% |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.186 | 3.33% | 23.00% |
| 4 | NOW | ServiceNow, Inc. | Technology | 0.173 | 3.33% | 17.60% |
| 5 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.173 | 3.33% | 4.49% |
| 6 | CRM | Salesforce, Inc. | Technology | 0.172 | 3.33% | 7.37% |
| 7 | EA | Electronic Arts Inc. | Communication Services | 0.171 | 3.33% | 2.17% |
| 8 | TWTR | Twitter, Inc. (delisted) | Communication Services | 0.170 | 3.33% | 23.63% |
| 9 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | 0.164 | 3.33% | 1.69% |
| 10 | VRSN | VeriSign, Inc. | Technology | 0.160 | 3.33% | -2.20% |
| 11 | ADBE | Adobe Inc. | Technology | 0.159 | 3.33% | 20.62% |
| 12 | INTU | Intuit Inc. | Technology | 0.157 | 3.33% | 24.99% |
| 13 | SYK | Stryker Corporation | Healthcare | 0.149 | 3.33% | 2.86% |
| 14 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.149 | 3.33% | 13.46% |
| 15 | ZTS | Zoetis Inc. | Healthcare | 0.148 | 3.33% | 14.39% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BKR | Baker Hughes Company | Energy | -0.250 | -3.33% | -3.19% |
| 2 | NLSN | Nielsen Holdings plc | Industrials | -0.235 | -3.33% | -8.51% |
| 3 | MOS | The Mosaic Company | Basic Materials | -0.201 | -3.33% | -15.56% |
| 4 | DHI | D.R. Horton, Inc. | Consumer Cyclical | -0.191 | -3.33% | -4.22% |
| 5 | NOV | NOV Inc. | Energy | -0.188 | -3.33% | -15.22% |
| 6 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | -0.176 | -3.33% | -11.36% |
| 7 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.171 | -3.33% | -2.45% |
| 8 | HOLX | Hologic, Inc. | Healthcare | -0.155 | -3.33% | 14.39% |
| 9 | NWL | Newell Brands Inc. | Consumer Defensive | -0.154 | -3.33% | -10.35% |
| 10 | F | Ford Motor Company | Consumer Cyclical | -0.146 | -3.33% | 17.90% |
| 11 | TMO | Thermo Fisher Scientific Inc. | Healthcare | -0.146 | -3.33% | 13.32% |
| 12 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.145 | -3.33% | -5.34% |
| 13 | INCY | Incyte Corporation | Healthcare | -0.144 | -3.33% | -8.60% |
| 14 | NEM | Newmont Corporation | Basic Materials | -0.142 | -3.33% | -3.17% |
| 15 | DISH | DISH Network Corporation | Communication Services | -0.136 | -3.33% | -6.41% |
Sector exposure en el rebalanceo seleccionado
2021-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 10.0% | 10.0% | 0.00% | 3 | 3 |
| Technology | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Communication Services | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Basic Materials | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Cyclical | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Financial Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |