Portfolio
lightgbmLGBM dual tail macro· 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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
7
30 posiciones
Sortino del run
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
1.64%
Short avg
-3.26%
bajar = bueno para el short
Spread long − short
4.90%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WDC | Western Digital Corporation | Technology | 0.330 | 3.33% | -22.73% |
| 2 | XLNX | Xilinx, Inc. | Technology | 0.325 | 3.33% | 6.27% |
| 3 | FTNT | Fortinet, Inc. | Technology | 0.324 | 3.33% | 18.65% |
| 4 | COP | ConocoPhillips | Energy | 0.322 | 3.33% | 8.24% |
| 5 | BA | The Boeing Company | Industrials | 0.321 | 3.33% | -8.62% |
| 6 | SLB | SLB N.V. | Energy | 0.320 | 3.33% | -10.51% |
| 7 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.319 | 3.33% | 6.94% |
| 8 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | 0.319 | 3.33% | -14.98% |
| 9 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.318 | 3.33% | -1.89% |
| 10 | PAYC | Paycom Software, Inc. | Technology | 0.317 | 3.33% | 28.29% |
| 11 | HAL | Halliburton Company | Energy | 0.317 | 3.33% | -9.36% |
| 12 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.317 | 3.33% | 13.45% |
| 13 | NTAP | NetApp, Inc. | Technology | 0.316 | 3.33% | 9.70% |
| 14 | TWTR | Twitter, Inc. (delisted) | Communication Services | 0.314 | 3.33% | -12.03% |
| 15 | NOW | ServiceNow, Inc. | Technology | 0.313 | 3.33% | 13.23% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DISH | DISH Network Corporation | Communication Services | 0.216 | -3.33% | 2.37% |
| 2 | BKR | Baker Hughes Company | Energy | 0.223 | -3.33% | 5.76% |
| 3 | NOV | NOV Inc. | Energy | 0.244 | -3.33% | -17.63% |
| 4 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.251 | -3.33% | -10.63% |
| 5 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | 0.267 | -3.33% | -10.87% |
| 6 | MOS | The Mosaic Company | Basic Materials | 0.221 | -3.33% | 11.89% |
| 7 | PENN | PENN Entertainment, Inc. | Consumer Cyclical | 0.249 | -3.33% | -5.27% |
| 8 | UAL | United Airlines Holdings, Inc. | Industrials | 0.246 | -3.33% | -10.96% |
| 9 | AAL | American Airlines Group Inc. | Industrials | 0.246 | -3.33% | -4.71% |
| 10 | PVH | PVH Corp. | Consumer Cyclical | 0.258 | -3.33% | -6.69% |
| 11 | DVN | Devon Energy Corporation | Energy | 0.245 | -3.33% | 18.72% |
| 12 | MRO | Marathon Oil Corporation | Energy | 0.241 | -3.33% | -3.17% |
| 13 | MPC | Marathon Petroleum Corporation | Energy | 0.225 | -3.33% | 1.86% |
| 14 | TPR | Tapestry, Inc. | Consumer Cyclical | 0.228 | -3.33% | -13.17% |
| 15 | WRK | WestRock Company | Consumer Cyclical | 0.250 | -3.33% | -6.34% |
Sector exposure en el rebalanceo seleccionado
2021-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 10.0% | 16.7% | -6.67% | 3 | 5 |
| Consumer Cyclical | 6.7% | 16.7% | -10.00% | 2 | 5 |
| Technology | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Communication Services | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Industrials | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Healthcare | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |