Portfolio
lightgbmLGBM no sector· rebalanceo 2022-03-31
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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
10
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-18.01%
Short avg
-29.34%
bajar = bueno para el short
Spread long − short
11.33%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | SBAC | SBA Communications Corporation | Real Estate | 0.015 | 3.33% | -7.45% |
| 2 | TDG | TransDigm Group Incorporated | Industrials | 0.015 | 3.33% | -23.51% |
| 3 | AES | The AES Corporation | Utilities | 0.015 | 3.33% | -20.60% |
| 4 | CRM | Salesforce, Inc. | Technology | 0.014 | 3.33% | -20.91% |
| 5 | IFF | International Flavors & Fragrances Inc. | Basic Materials | 0.014 | 3.33% | -11.51% |
| 6 | CTVA | Corteva, Inc. | Basic Materials | 0.014 | 3.33% | -10.95% |
| 7 | CTXS | Citrix Systems, Inc. | Technology | 0.014 | 3.33% | -2.38% |
| 8 | JNPR | Juniper Networks, Inc. | Technology | 0.014 | 3.33% | -26.61% |
| 9 | TWTR | Twitter, Inc. (delisted) | Communication Services | 0.014 | 3.33% | -2.39% |
| 10 | NOW | ServiceNow, Inc. | Technology | 0.014 | 3.33% | -10.11% |
| 11 | ILMN | Illumina, Inc. | Healthcare | 0.014 | 3.33% | -63.41% |
| 12 | EG | Everest Re Group, Ltd. | Financial Services | 0.009 | 3.33% | -9.56% |
| 13 | RF | Regions Financial Corporation | Financial Services | 0.009 | 3.33% | -12.17% |
| 14 | AXP | American Express Company | Financial Services | 0.009 | 3.33% | -28.63% |
| 15 | COF | Capital One Financial Corporation | Financial Services | 0.009 | 3.33% | -19.94% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.029 | -3.33% | -83.51% |
| 2 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | -0.029 | -3.33% | -59.54% |
| 3 | BKR | Baker Hughes Company | Energy | -0.029 | -3.33% | -25.07% |
| 4 | VLO | Valero Energy Corporation | Energy | -0.029 | -3.33% | 3.07% |
| 5 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.029 | -3.33% | -75.93% |
| 6 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.029 | -3.33% | -56.03% |
| 7 | PSX | Phillips 66 | Energy | -0.029 | -3.33% | -5.68% |
| 8 | COP | ConocoPhillips | Energy | -0.026 | -3.33% | -16.04% |
| 9 | MRO | Marathon Oil Corporation | Energy | -0.026 | -3.33% | -19.48% |
| 10 | DVN | Devon Energy Corporation | Energy | -0.026 | -3.33% | -13.46% |
| 11 | EOG | EOG Resources, Inc. | Energy | -0.026 | -3.33% | -11.83% |
| 12 | FANG | Diamondback Energy, Inc. | Energy | -0.026 | -3.33% | -16.92% |
| 13 | NRG | NRG Energy, Inc. | Utilities | -0.026 | -3.33% | -1.20% |
| 14 | APA | APA Corporation | Energy | -0.026 | -3.33% | -25.16% |
| 15 | ALK | Alaska Air Group, Inc. | Industrials | -0.023 | -3.33% | -33.29% |
Sector exposure en el rebalanceo seleccionado
2022-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 30.0% | -30.00% | 0 | 9 |
| Consumer Cyclical | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Financial Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Technology | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Utilities | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |