Portfolio
lightgbmLGBM no sector· rebalanceo 2022-05-31
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
8
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-4.10%
Short avg
-9.69%
bajar = bueno para el short
Spread long − short
5.59%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EPAM | EPAM Systems, Inc. | Technology | 0.019 | 3.33% | 26.79% |
| 2 | GM | General Motors Company | Consumer Cyclical | 0.019 | 3.33% | 0.05% |
| 3 | DHI | D.R. Horton, Inc. | Consumer Cyclical | 0.019 | 3.33% | -5.05% |
| 4 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.019 | 3.33% | -2.08% |
| 5 | TGT | Target Corporation | Consumer Defensive | 0.019 | 3.33% | 3.03% |
| 6 | IVZ | Invesco Ltd. | Financial Services | 0.019 | 3.33% | -13.63% |
| 7 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.019 | 3.33% | -11.25% |
| 8 | APTV | Aptiv PLC | Consumer Cyclical | 0.019 | 3.33% | -14.05% |
| 9 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | 0.019 | 3.33% | 18.09% |
| 10 | SIVB | SVB Financial Group | Financial Services | 0.019 | 3.33% | -15.51% |
| 11 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.019 | 3.33% | -23.51% |
| 12 | CHTR | Charter Communications, Inc. | Communication Services | 0.019 | 3.33% | -18.28% |
| 13 | ROK | Rockwell Automation, Inc. | Industrials | 0.019 | 3.33% | 9.23% |
| 14 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.019 | 3.33% | -10.53% |
| 15 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | 0.019 | 3.33% | -4.80% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | XOM | Exxon Mobil Corporation | Energy | -0.015 | -3.33% | -1.37% |
| 2 | FANG | Diamondback Energy, Inc. | Energy | -0.015 | -3.33% | -11.40% |
| 3 | DVN | Devon Energy Corporation | Energy | -0.015 | -3.33% | -6.33% |
| 4 | HLT | Hilton Worldwide Holdings Inc. | Consumer Cyclical | -0.015 | -3.33% | -8.21% |
| 5 | COP | ConocoPhillips | Energy | -0.015 | -3.33% | -4.38% |
| 6 | XRAY | DENTSPLY SIRONA Inc. | Healthcare | -0.015 | -3.33% | -17.19% |
| 7 | MRO | Marathon Oil Corporation | Energy | -0.015 | -3.33% | -20.08% |
| 8 | OXY | Occidental Petroleum Corporation | Energy | -0.015 | -3.33% | 1.01% |
| 9 | DRI | Darden Restaurants, Inc. | Consumer Cyclical | -0.015 | -3.33% | 0.86% |
| 10 | BKNG | Booking Holdings Inc. | Consumer Cyclical | -0.015 | -3.33% | -17.67% |
| 11 | CVX | Chevron Corporation | Energy | -0.015 | -3.33% | -10.03% |
| 12 | PSX | Phillips 66 | Energy | -0.015 | -3.33% | -13.19% |
| 13 | RL | Ralph Lauren Corporation | Consumer Cyclical | -0.015 | -3.33% | -9.44% |
| 14 | MGM | MGM Resorts International | Consumer Cyclical | -0.015 | -3.33% | -4.61% |
| 15 | PVH | PVH Corp. | Consumer Cyclical | -0.015 | -3.33% | -23.39% |
Sector exposure en el rebalanceo seleccionado
2022-05-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 16.7% | 20.0% | -3.33% | 5 | 6 |
| Energy | 0.0% | 26.7% | -26.67% | 0 | 8 |
| Financial Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Consumer Defensive | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Healthcare | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Technology | 3.3% | 0.0% | 3.33% | 1 | 0 |