Portfolio
lightgbmLGBM 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
6
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
1.80%
Short avg
-3.12%
bajar = bueno para el short
Spread long − short
4.92%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PFG | Principal Financial Group, Inc. | Financial Services | 0.094 | 3.33% | 2.29% |
| 2 | ZION | Zions Bancorporation, National Association | Financial Services | 0.092 | 3.33% | 14.66% |
| 3 | CMA | Comerica Incorporated | Financial Services | 0.092 | 3.33% | 11.85% |
| 4 | INTC | Intel Corporation | Technology | 0.092 | 3.33% | -4.37% |
| 5 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.091 | 3.33% | 2.02% |
| 6 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.090 | 3.33% | 1.29% |
| 7 | XLNX | Xilinx, Inc. | Technology | 0.090 | 3.33% | 6.27% |
| 8 | QCOM | QUALCOMM Incorporated | Technology | 0.089 | 3.33% | -8.31% |
| 9 | SCHW | The Charles Schwab Corporation | Financial Services | 0.089 | 3.33% | -0.76% |
| 10 | CSCO | Cisco Systems, Inc. | Technology | 0.088 | 3.33% | 2.54% |
| 11 | PNC | The PNC Financial Services Group, Inc. | Financial Services | 0.088 | 3.33% | 2.69% |
| 12 | SIVB | SVB Financial Group | Financial Services | 0.088 | 3.33% | 13.55% |
| 13 | COF | Capital One Financial Corporation | Financial Services | 0.087 | 3.33% | 3.76% |
| 14 | TER | Teradyne, Inc. | Technology | 0.086 | 3.33% | -16.90% |
| 15 | WRB | W. R. Berkley Corporation | Financial Services | 0.086 | 3.33% | -3.57% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HES | Hess Corporation | Energy | -0.125 | -3.33% | -12.59% |
| 2 | FANG | Diamondback Energy, Inc. | Energy | -0.125 | -3.33% | -4.49% |
| 3 | APA | APA Corporation | Energy | -0.121 | -3.33% | -2.13% |
| 4 | CVX | Chevron Corporation | Energy | -0.120 | -3.33% | -3.24% |
| 5 | BKR | Baker Hughes Company | Energy | -0.114 | -3.33% | 5.76% |
| 6 | MPC | Marathon Petroleum Corporation | Energy | -0.109 | -3.33% | 1.86% |
| 7 | WMB | The Williams Companies, Inc. | Energy | -0.106 | -3.33% | -1.55% |
| 8 | NOV | NOV Inc. | Energy | -0.104 | -3.33% | -17.63% |
| 9 | OXY | Occidental Petroleum Corporation | Energy | -0.095 | -3.33% | -10.49% |
| 10 | ORLY | O'Reilly Automotive, Inc. | Consumer Cyclical | -0.094 | -3.33% | 6.02% |
| 11 | OKE | ONEOK, Inc. | Energy | -0.093 | -3.33% | 3.59% |
| 12 | TMO | Thermo Fisher Scientific Inc. | Healthcare | -0.087 | -3.33% | 11.50% |
| 13 | LH | Labcorp Holdings Inc. | Healthcare | -0.086 | -3.33% | 1.24% |
| 14 | NWL | Newell Brands Inc. | Consumer Defensive | -0.085 | -3.33% | -20.59% |
| 15 | PM | Philip Morris International Inc. | Consumer Defensive | -0.080 | -3.33% | -4.02% |
Sector exposure en el rebalanceo seleccionado
2021-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 33.3% | -33.33% | 0 | 10 |
| Financial Services | 33.3% | 0.0% | 33.33% | 10 | 0 |
| Technology | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Cyclical | 0.0% | 3.3% | -3.33% | 0 | 1 |