Portfolio
lightgbmLGBM no sector· 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
7
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-9.89%
Short avg
16.37%
bajar = bueno para el short
Spread long − short
-26.26%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.030 | 3.33% | -17.48% |
| 2 | PTC | PTC Inc. | Technology | 0.030 | 3.33% | -12.30% |
| 3 | NXPI | NXP Semiconductors N.V. | Technology | 0.030 | 3.33% | -23.13% |
| 4 | NTAP | NetApp, Inc. | Technology | 0.030 | 3.33% | -9.41% |
| 5 | NOW | ServiceNow, Inc. | Technology | 0.030 | 3.33% | -9.19% |
| 6 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.030 | 3.33% | -1.21% |
| 7 | ANSS | ANSYS, Inc. | Technology | 0.030 | 3.33% | -20.18% |
| 8 | CDNS | Cadence Design Systems, Inc. | Technology | 0.030 | 3.33% | -9.17% |
| 9 | MSCI | MSCI Inc. | Financial Services | 0.030 | 3.33% | -13.47% |
| 10 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.030 | 3.33% | -4.05% |
| 11 | KEYS | Keysight Technologies, Inc. | Technology | 0.030 | 3.33% | -23.89% |
| 12 | JNPR | Juniper Networks, Inc. | Technology | 0.030 | 3.33% | 4.58% |
| 13 | INTC | Intel Corporation | Technology | 0.030 | 3.33% | -7.07% |
| 14 | GOOGL | Alphabet Inc. | Communication Services | 0.030 | 3.33% | -1.41% |
| 15 | GOOG | Alphabet Inc. | Communication Services | 0.030 | 3.33% | -0.99% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NUE | Nucor Corporation | Basic Materials | -0.030 | -3.33% | 28.31% |
| 2 | MRO | Marathon Oil Corporation | Energy | -0.029 | -3.33% | 42.35% |
| 3 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | -0.029 | -3.33% | -14.70% |
| 4 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.029 | -3.33% | -8.11% |
| 5 | PSX | Phillips 66 | Energy | -0.029 | -3.33% | 14.56% |
| 6 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.029 | -3.33% | 3.15% |
| 7 | XOM | Exxon Mobil Corporation | Energy | -0.029 | -3.33% | 28.00% |
| 8 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.029 | -3.33% | -0.95% |
| 9 | BKR | Baker Hughes Company | Energy | -0.029 | -3.33% | 38.16% |
| 10 | OXY | Occidental Petroleum Corporation | Energy | -0.028 | -3.33% | 62.30% |
| 11 | KEY | KeyCorp | Financial Services | -0.027 | -3.33% | -8.05% |
| 12 | DVN | Devon Energy Corporation | Energy | -0.023 | -3.33% | 30.58% |
| 13 | FANG | Diamondback Energy, Inc. | Energy | -0.023 | -3.33% | 22.60% |
| 14 | PENN | PENN Entertainment, Inc. | Consumer Cyclical | -0.023 | -3.33% | -13.51% |
| 15 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.022 | -3.33% | 20.79% |
Sector exposure en el rebalanceo seleccionado
2021-12-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 33.3% | 0.0% | 33.33% | 10 | 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 |
| Healthcare | 3.3% | 0.0% | 3.33% | 1 | 0 |