Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2021-06-30
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 49.5%
Short book
15
gross -50.5%
Sectores cubiertos
7
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
2.98%
Short avg
-2.44%
bajar = bueno para el short
Spread long − short
5.41%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NOW | ServiceNow, Inc. | Technology | 0.153 | 3.30% | 13.23% |
| 2 | JNPR | Juniper Networks, Inc. | Technology | 0.147 | 3.30% | 1.50% |
| 3 | MA | Mastercard Incorporated | Financial Services | 0.143 | 3.30% | -6.30% |
| 4 | ADBE | Adobe Inc. | Technology | 0.135 | 3.30% | -1.55% |
| 5 | CSCO | Cisco Systems, Inc. | Technology | 0.129 | 3.30% | 2.54% |
| 6 | SPGI | S&P Global Inc. | Financial Services | 0.129 | 3.30% | 3.21% |
| 7 | MSFT | Microsoft Corporation | Technology | 0.127 | 3.30% | 3.92% |
| 8 | MSCI | MSCI Inc. | Financial Services | 0.126 | 3.30% | 13.20% |
| 9 | ADSK | Autodesk, Inc. | Technology | 0.123 | 3.30% | -2.95% |
| 10 | INTC | Intel Corporation | Technology | 0.118 | 3.30% | -4.37% |
| 11 | QCOM | QUALCOMM Incorporated | Technology | 0.117 | 3.30% | -8.31% |
| 12 | ANSS | ANSYS, Inc. | Technology | 0.113 | 3.30% | -2.55% |
| 13 | TDG | TransDigm Group Incorporated | Industrials | 0.109 | 3.30% | -5.36% |
| 14 | PAYC | Paycom Software, Inc. | Technology | 0.101 | 3.30% | 28.29% |
| 15 | CRM | Salesforce, Inc. | Technology | 0.093 | 3.30% | 10.17% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BKR | Baker Hughes Company | Energy | -0.207 | -3.37% | 5.76% |
| 2 | FANG | Diamondback Energy, Inc. | Energy | -0.194 | -3.37% | -4.49% |
| 3 | HES | Hess Corporation | Energy | -0.188 | -3.37% | -12.59% |
| 4 | CVX | Chevron Corporation | Energy | -0.183 | -3.37% | -3.24% |
| 5 | APA | APA Corporation | Energy | -0.179 | -3.37% | -2.13% |
| 6 | NOV | NOV Inc. | Energy | -0.177 | -3.37% | -17.63% |
| 7 | OKE | ONEOK, Inc. | Energy | -0.156 | -3.37% | 3.59% |
| 8 | WMB | The Williams Companies, Inc. | Energy | -0.152 | -3.37% | -1.55% |
| 9 | MOS | The Mosaic Company | Basic Materials | -0.152 | -3.37% | 11.89% |
| 10 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | -0.149 | -3.37% | 6.10% |
| 11 | MGM | MGM Resorts International | Consumer Cyclical | -0.140 | -3.37% | -0.83% |
| 12 | MPC | Marathon Petroleum Corporation | Energy | -0.138 | -3.37% | 1.86% |
| 13 | DISH | DISH Network Corporation | Communication Services | -0.115 | -3.37% | 2.37% |
| 14 | LKQ | LKQ Corporation | Consumer Cyclical | -0.108 | -3.37% | 0.43% |
| 15 | NLSN | Nielsen Holdings plc | Industrials | -0.104 | -3.37% | -26.09% |
Sector exposure en el rebalanceo seleccionado
2021-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 36.3% | 0.0% | 36.27% | 11 | 0 |
| Energy | 0.0% | 30.3% | -30.32% | 0 | 9 |
| Consumer Cyclical | 0.0% | 10.1% | -10.11% | 0 | 3 |
| Financial Services | 9.9% | 0.0% | 9.89% | 3 | 0 |
| Industrials | 3.3% | 3.4% | -0.07% | 1 | 1 |
| Basic Materials | 0.0% | 3.4% | -3.37% | 0 | 1 |
| Communication Services | 0.0% | 3.4% | -3.37% | 0 | 1 |