Portfolio
lightgbmLGBM dual tail· rebalanceo 2021-12-31
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
9
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-13.48%
Short avg
11.65%
bajar = bueno para el short
Spread long − short
-25.13%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | QCOM | QUALCOMM Incorporated | Technology | 0.698 | 3.33% | -18.66% |
| 2 | MSCI | MSCI Inc. | Financial Services | 0.677 | 3.33% | -13.47% |
| 3 | ADSK | Autodesk, Inc. | Technology | 0.672 | 3.33% | -26.00% |
| 4 | NOW | ServiceNow, Inc. | Technology | 0.670 | 3.33% | -9.19% |
| 5 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.670 | 3.33% | -17.48% |
| 6 | DXCM | DexCom, Inc. | Healthcare | 0.659 | 3.33% | 0.27% |
| 7 | ATVI | Activision Blizzard, Inc. | Technology | 0.652 | 3.33% | 18.02% |
| 8 | ADBE | Adobe Inc. | Technology | 0.643 | 3.33% | -18.55% |
| 9 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.642 | 3.33% | -4.05% |
| 10 | MTCH | Match Group, Inc. | Communication Services | 0.639 | 3.33% | -16.91% |
| 11 | AMD | Advanced Micro Devices, Inc. | Technology | 0.637 | 3.33% | -30.69% |
| 12 | CDNS | Cadence Design Systems, Inc. | Technology | 0.636 | 3.33% | -9.17% |
| 13 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | 0.634 | 3.33% | -14.55% |
| 14 | LRCX | Lam Research Corporation | Technology | 0.633 | 3.33% | -30.03% |
| 15 | ABMD | Abiomed, Inc. | Healthcare | 0.630 | 3.33% | -11.74% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | GPS | The Gap, Inc. | Consumer Cyclical | 0.502 | -3.33% | -25.18% |
| 2 | DISH | DISH Network Corporation | Communication Services | 0.372 | -3.33% | -3.33% |
| 3 | HES | Hess Corporation | Energy | 0.327 | -3.33% | 36.06% |
| 4 | OXY | Occidental Petroleum Corporation | Energy | 0.329 | -3.33% | 62.30% |
| 5 | FANG | Diamondback Energy, Inc. | Energy | 0.264 | -3.33% | 22.60% |
| 6 | KMI | Kinder Morgan, Inc. | Energy | 0.304 | -3.33% | 18.10% |
| 7 | VLO | Valero Energy Corporation | Energy | 0.400 | -3.33% | 27.83% |
| 8 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | 0.477 | -3.33% | -4.80% |
| 9 | DISCK | Warner Bros. Discovery, Inc. | Communication Services | 0.394 | -3.33% | 4.84% |
| 10 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.415 | -3.33% | 1.84% |
| 11 | EOG | EOG Resources, Inc. | Energy | 0.246 | -3.33% | 29.78% |
| 12 | COP | ConocoPhillips | Energy | 0.276 | -3.33% | 31.78% |
| 13 | BA | The Boeing Company | Industrials | 0.530 | -3.33% | -8.36% |
| 14 | BXP | BXP, Inc. | Real Estate | 0.347 | -3.33% | 7.49% |
| 15 | VTRS | Viatris Inc. | Healthcare | 0.481 | -3.33% | -26.16% |
Sector exposure en el rebalanceo seleccionado
2021-12-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 30.0% | 0.0% | 30.00% | 9 | 0 |
| Energy | 0.0% | 23.3% | -23.33% | 0 | 7 |
| Communication Services | 6.7% | 10.0% | -3.33% | 2 | 3 |
| Healthcare | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Consumer Cyclical | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Financial Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |