Portfolio
lightgbmLGBM no sector· rebalanceo 2021-11-30
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
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-12.03%
Short avg
22.25%
bajar = bueno para el short
Spread long − short
-34.28%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CSCO | Cisco Systems, Inc. | Technology | 0.030 | 3.33% | 2.47% |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.030 | 3.33% | -57.06% |
| 3 | CDNS | Cadence Design Systems, Inc. | Technology | 0.030 | 3.33% | -12.85% |
| 4 | SWKS | Skyworks Solutions, Inc. | Technology | 0.030 | 3.33% | -8.87% |
| 5 | KEYS | Keysight Technologies, Inc. | Technology | 0.030 | 3.33% | -22.02% |
| 6 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.030 | 3.33% | -15.21% |
| 7 | ANSS | ANSYS, Inc. | Technology | 0.030 | 3.33% | -18.40% |
| 8 | GOOG | Alphabet Inc. | Communication Services | 0.030 | 3.33% | -5.30% |
| 9 | GOOGL | Alphabet Inc. | Communication Services | 0.030 | 3.33% | -5.20% |
| 10 | QRVO | Qorvo, Inc. | Technology | 0.030 | 3.33% | -10.34% |
| 11 | QCOM | QUALCOMM Incorporated | Technology | 0.030 | 3.33% | -5.57% |
| 12 | PTC | PTC Inc. | Technology | 0.030 | 3.33% | 0.15% |
| 13 | FTNT | Fortinet, Inc. | Technology | 0.030 | 3.33% | 9.70% |
| 14 | ORCL | Oracle Corporation | Technology | 0.030 | 3.33% | -13.35% |
| 15 | NXPI | NXP Semiconductors N.V. | Technology | 0.030 | 3.33% | -18.59% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NUE | Nucor Corporation | Basic Materials | -0.030 | -3.33% | 27.72% |
| 2 | BKR | Baker Hughes Company | Energy | -0.029 | -3.33% | 29.37% |
| 3 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.029 | -3.33% | 4.24% |
| 4 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | -0.029 | -3.33% | 0.17% |
| 5 | XOM | Exxon Mobil Corporation | Energy | -0.029 | -3.33% | 31.49% |
| 6 | PSX | Phillips 66 | Energy | -0.029 | -3.33% | 20.02% |
| 7 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.029 | -3.33% | 10.92% |
| 8 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.029 | -3.33% | 11.15% |
| 9 | OXY | Occidental Petroleum Corporation | Energy | -0.028 | -3.33% | 50.10% |
| 10 | MRO | Marathon Oil Corporation | Energy | -0.028 | -3.33% | 41.81% |
| 11 | KEY | KeyCorp | Financial Services | -0.027 | -3.33% | 9.89% |
| 12 | DVN | Devon Energy Corporation | Energy | -0.023 | -3.33% | 38.43% |
| 13 | PENN | PENN Entertainment, Inc. | Consumer Cyclical | -0.023 | -3.33% | 0.87% |
| 14 | FANG | Diamondback Energy, Inc. | Energy | -0.023 | -3.33% | 26.84% |
| 15 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.022 | -3.33% | 30.72% |
Sector exposure en el rebalanceo seleccionado
2021-11-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 36.7% | 0.0% | 36.67% | 11 | 0 |
| Energy | 0.0% | 23.3% | -23.33% | 0 | 7 |
| Consumer Cyclical | 3.3% | 16.7% | -13.33% | 1 | 5 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Communication Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Financial Services | 3.3% | 3.3% | 0.00% | 1 | 1 |