Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2021-09-30
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 43.5%
Short book
15
gross -56.5%
Sectores cubiertos
7
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
12.80%
Short avg
3.32%
bajar = bueno para el short
Spread long − short
9.49%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.016 | 2.90% | 1.55% |
| 2 | AMD | Advanced Micro Devices, Inc. | Technology | 0.016 | 2.90% | 33.97% |
| 3 | NVDA | NVIDIA Corporation | Technology | 0.016 | 2.90% | 34.95% |
| 4 | NTAP | NetApp, Inc. | Technology | 0.016 | 2.90% | 2.10% |
| 5 | NOW | ServiceNow, Inc. | Technology | 0.016 | 2.90% | 2.54% |
| 6 | CDNS | Cadence Design Systems, Inc. | Technology | 0.016 | 2.90% | 19.71% |
| 7 | ANET | Arista Networks, Inc. | Technology | 0.016 | 2.90% | 49.49% |
| 8 | ANSS | ANSYS, Inc. | Technology | 0.016 | 2.90% | 15.15% |
| 9 | MSFT | Microsoft Corporation | Technology | 0.016 | 2.90% | 15.31% |
| 10 | MSCI | MSCI Inc. | Financial Services | 0.016 | 2.90% | 0.49% |
| 11 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.016 | 2.90% | 2.22% |
| 12 | META | Meta Platforms, Inc. | Communication Services | 0.016 | 2.90% | -1.96% |
| 13 | JNPR | Juniper Networks, Inc. | Technology | 0.016 | 2.90% | 24.97% |
| 14 | ILMN | Illumina, Inc. | Healthcare | 0.016 | 2.90% | -3.72% |
| 15 | EBAY | eBay Inc. | Consumer Cyclical | 0.016 | 2.90% | -4.74% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.017 | -3.77% | 0.77% |
| 2 | MOS | The Mosaic Company | Basic Materials | -0.017 | -3.77% | 4.11% |
| 3 | BBY | Best Buy Co., Inc. | Consumer Cyclical | -0.017 | -3.77% | -2.91% |
| 4 | OMC | Omnicom Group Inc. | Communication Services | -0.017 | -3.77% | -0.21% |
| 5 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.017 | -3.77% | 21.72% |
| 6 | DXC | DXC Technology Company | Technology | -0.017 | -3.77% | -7.59% |
| 7 | KR | The Kroger Co. | Consumer Defensive | -0.017 | -3.77% | 15.02% |
| 8 | BEN | Franklin Resources, Inc. | Financial Services | -0.009 | -3.77% | 11.54% |
| 9 | GM | General Motors Company | Consumer Cyclical | -0.009 | -3.77% | 9.86% |
| 10 | COF | Capital One Financial Corporation | Financial Services | -0.009 | -3.77% | -13.40% |
| 11 | FOXA | Fox Corporation | Communication Services | -0.009 | -3.77% | -9.99% |
| 12 | FOX | Fox Corporation | Communication Services | -0.009 | -3.77% | -9.51% |
| 13 | PGR | The Progressive Corporation | Financial Services | -0.009 | -3.77% | 13.70% |
| 14 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.009 | -3.77% | 24.16% |
| 15 | ALL | The Allstate Corporation | Financial Services | -0.009 | -3.77% | -7.50% |
Sector exposure en el rebalanceo seleccionado
2021-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 29.0% | 3.8% | 25.20% | 10 | 1 |
| Communication Services | 2.9% | 15.1% | -12.18% | 1 | 4 |
| Financial Services | 2.9% | 15.1% | -12.18% | 1 | 4 |
| Consumer Cyclical | 5.8% | 11.3% | -5.52% | 2 | 3 |
| Basic Materials | 0.0% | 7.5% | -7.54% | 0 | 2 |
| Consumer Defensive | 0.0% | 3.8% | -3.77% | 0 | 1 |
| Healthcare | 2.9% | 0.0% | 2.90% | 1 | 0 |