Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2021-08-31
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 39.5%
Short book
15
gross -60.5%
Sectores cubiertos
7
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-0.79%
Short avg
-6.57%
bajar = bueno para el short
Spread long − short
5.78%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EBAY | eBay Inc. | Consumer Cyclical | 0.016 | 2.63% | -12.82% |
| 2 | ANSS | ANSYS, Inc. | Technology | 0.016 | 2.63% | 2.69% |
| 3 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.016 | 2.63% | -46.95% |
| 4 | PTC | PTC Inc. | Technology | 0.016 | 2.63% | -20.13% |
| 5 | AMD | Advanced Micro Devices, Inc. | Technology | 0.016 | 2.63% | 30.43% |
| 6 | NVDA | NVIDIA Corporation | Technology | 0.016 | 2.63% | 33.74% |
| 7 | NTAP | NetApp, Inc. | Technology | 0.016 | 2.63% | 0.71% |
| 8 | NOW | ServiceNow, Inc. | Technology | 0.016 | 2.63% | -8.21% |
| 9 | CDNS | Cadence Design Systems, Inc. | Technology | 0.016 | 2.63% | 6.43% |
| 10 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.016 | 2.63% | -1.02% |
| 11 | MSFT | Microsoft Corporation | Technology | 0.016 | 2.63% | 9.13% |
| 12 | MSCI | MSCI Inc. | Financial Services | 0.016 | 2.63% | -5.03% |
| 13 | JNPR | Juniper Networks, Inc. | Technology | 0.016 | 2.63% | 6.44% |
| 14 | ILMN | Illumina, Inc. | Healthcare | 0.016 | 2.63% | -25.82% |
| 15 | QCOM | QUALCOMM Incorporated | Technology | 0.016 | 2.63% | 18.55% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.017 | -4.03% | -1.08% |
| 2 | MOS | The Mosaic Company | Basic Materials | -0.017 | -4.03% | 5.74% |
| 3 | OMC | Omnicom Group Inc. | Communication Services | -0.017 | -4.03% | -8.78% |
| 4 | BBY | Best Buy Co., Inc. | Consumer Cyclical | -0.017 | -4.03% | -12.65% |
| 5 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.017 | -4.03% | -8.53% |
| 6 | DXC | DXC Technology Company | Technology | -0.017 | -4.03% | -16.42% |
| 7 | VZ | Verizon Communications Inc. | Communication Services | -0.017 | -4.03% | -8.69% |
| 8 | KR | The Kroger Co. | Consumer Defensive | -0.017 | -4.03% | -12.38% |
| 9 | ALL | The Allstate Corporation | Financial Services | -0.009 | -4.03% | -21.87% |
| 10 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.009 | -4.03% | 1.12% |
| 11 | FOX | Fox Corporation | Communication Services | -0.009 | -4.03% | -6.09% |
| 12 | COF | Capital One Financial Corporation | Financial Services | -0.009 | -4.03% | -15.18% |
| 13 | PGR | The Progressive Corporation | Financial Services | -0.009 | -4.03% | -3.35% |
| 14 | FOXA | Fox Corporation | Communication Services | -0.009 | -4.03% | -7.15% |
| 15 | GM | General Motors Company | Consumer Cyclical | -0.009 | -4.03% | 16.75% |
Sector exposure en el rebalanceo seleccionado
2021-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 26.3% | 4.0% | 22.29% | 10 | 1 |
| Communication Services | 0.0% | 20.2% | -20.17% | 0 | 5 |
| Consumer Cyclical | 5.3% | 12.1% | -6.84% | 2 | 3 |
| Financial Services | 5.3% | 12.1% | -6.84% | 2 | 3 |
| Basic Materials | 0.0% | 8.1% | -8.07% | 0 | 2 |
| Consumer Defensive | 0.0% | 4.0% | -4.03% | 0 | 1 |
| Healthcare | 2.6% | 0.0% | 2.63% | 1 | 0 |