Portfolio
lightgbmLGBM macro· rebalanceo 2021-05-28
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
7
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
3.39%
Short avg
-6.75%
bajar = bueno para el short
Spread long − short
10.14%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | INTC | Intel Corporation | Technology | 0.101 | 3.33% | -4.68% |
| 2 | CRM | Salesforce, Inc. | Technology | 0.100 | 3.33% | 11.50% |
| 3 | QCOM | QUALCOMM Incorporated | Technology | 0.097 | 3.33% | 9.08% |
| 4 | PFG | Principal Financial Group, Inc. | Financial Services | 0.094 | 3.33% | 2.32% |
| 5 | ZION | Zions Bancorporation, National Association | Financial Services | 0.092 | 3.33% | -0.90% |
| 6 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.091 | 3.33% | -13.82% |
| 7 | TER | Teradyne, Inc. | Technology | 0.091 | 3.33% | -5.96% |
| 8 | ICE | Intercontinental Exchange, Inc. | Financial Services | 0.090 | 3.33% | 8.63% |
| 9 | PNC | The PNC Financial Services Group, Inc. | Financial Services | 0.088 | 3.33% | -2.02% |
| 10 | SIVB | SVB Financial Group | Financial Services | 0.088 | 3.33% | -5.28% |
| 11 | JNPR | Juniper Networks, Inc. | Technology | 0.088 | 3.33% | 10.80% |
| 12 | COF | Capital One Financial Corporation | Financial Services | 0.087 | 3.33% | 0.10% |
| 13 | WRB | W. R. Berkley Corporation | Financial Services | 0.086 | 3.33% | -2.48% |
| 14 | PAYC | Paycom Software, Inc. | Technology | 0.086 | 3.33% | 40.68% |
| 15 | WFC | Wells Fargo & Company | Financial Services | 0.085 | 3.33% | 2.85% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FANG | Diamondback Energy, Inc. | Energy | -0.140 | -3.33% | -12.13% |
| 2 | APA | APA Corporation | Energy | -0.126 | -3.33% | -21.03% |
| 3 | HES | Hess Corporation | Energy | -0.125 | -3.33% | -23.67% |
| 4 | CVX | Chevron Corporation | Energy | -0.120 | -3.33% | -6.71% |
| 5 | WMB | The Williams Companies, Inc. | Energy | -0.117 | -3.33% | -7.58% |
| 6 | MPC | Marathon Petroleum Corporation | Energy | -0.105 | -3.33% | -4.89% |
| 7 | BKR | Baker Hughes Company | Energy | -0.103 | -3.33% | -10.41% |
| 8 | OXY | Occidental Petroleum Corporation | Energy | -0.100 | -3.33% | -11.96% |
| 9 | NOV | NOV Inc. | Energy | -0.093 | -3.33% | -24.49% |
| 10 | TMO | Thermo Fisher Scientific Inc. | Healthcare | -0.091 | -3.33% | 22.33% |
| 11 | ORLY | O'Reilly Automotive, Inc. | Consumer Cyclical | -0.089 | -3.33% | 10.43% |
| 12 | OKE | ONEOK, Inc. | Energy | -0.087 | -3.33% | 0.39% |
| 13 | NWL | Newell Brands Inc. | Consumer Defensive | -0.085 | -3.33% | -12.17% |
| 14 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | -0.081 | -3.33% | 19.25% |
| 15 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.081 | -3.33% | -18.57% |
Sector exposure en el rebalanceo seleccionado
2021-05-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 33.3% | -33.33% | 0 | 10 |
| Financial Services | 30.0% | 0.0% | 30.00% | 9 | 0 |
| Technology | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Consumer Cyclical | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |