Portfolio
lightgbmLGBM buffer· rebalanceo 2022-06-30
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
10
30 posiciones
Sortino del run
-0.04
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-1.38%
Short avg
3.52%
bajar = bueno para el short
Spread long − short
-4.90%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AMAT | Applied Materials, Inc. | Technology | 0.768 | 3.33% | -4.91% |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.677 | 3.33% | 18.70% |
| 3 | ADSK | Autodesk, Inc. | Technology | 0.623 | 3.33% | 7.18% |
| 4 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.593 | 3.33% | 22.68% |
| 5 | ZBRA | Zebra Technologies Corporation | Technology | 0.577 | 3.33% | -13.32% |
| 6 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | 0.573 | 3.33% | 16.13% |
| 7 | TGT | Target Corporation | Consumer Defensive | 0.564 | 3.33% | 4.76% |
| 8 | TER | Teradyne, Inc. | Technology | 0.559 | 3.33% | -13.13% |
| 9 | SIVB | SVB Financial Group | Financial Services | 0.535 | 3.33% | -17.67% |
| 10 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.528 | 3.33% | -9.55% |
| 11 | DAY | Dayforce Inc | Technology | 0.521 | 3.33% | 16.04% |
| 12 | MTCH | Match Group, Inc. | Communication Services | 0.502 | 3.33% | -40.37% |
| 13 | INTU | Intuit Inc. | Technology | 0.502 | 3.33% | -0.09% |
| 14 | QCOM | QUALCOMM Incorporated | Technology | 0.492 | 3.33% | -8.36% |
| 15 | MSCI | MSCI Inc. | Financial Services | 0.458 | 3.33% | 1.21% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FANG | Diamondback Energy, Inc. | Energy | -0.620 | -3.33% | 1.70% |
| 2 | COP | ConocoPhillips | Energy | -0.613 | -3.33% | 13.63% |
| 3 | PXD | Pioneer Natural Resources Company | Energy | -0.573 | -3.33% | 0.16% |
| 4 | DVN | Devon Energy Corporation | Energy | -0.550 | -3.33% | 11.00% |
| 5 | EOG | EOG Resources, Inc. | Energy | -0.541 | -3.33% | 2.08% |
| 6 | OXY | Occidental Petroleum Corporation | Energy | -0.472 | -3.33% | 1.84% |
| 7 | MRO | Marathon Oil Corporation | Energy | -0.462 | -3.33% | 0.51% |
| 8 | NRG | NRG Energy, Inc. | Utilities | -0.436 | -3.33% | -0.54% |
| 9 | COR | Cencora, Inc. | Healthcare | -0.436 | -3.33% | -5.30% |
| 10 | APA | APA Corporation | Energy | -0.423 | -3.33% | -2.99% |
| 11 | CEG | Constellation Energy Corporation | Utilities | -0.382 | -3.33% | 36.94% |
| 12 | SYY | Sysco Corporation | Consumer Defensive | -0.377 | -3.33% | -19.94% |
| 13 | VLO | Valero Energy Corporation | Energy | -0.356 | -3.33% | -0.18% |
| 14 | CF | CF Industries Holdings, Inc. | Basic Materials | -0.323 | -3.33% | 12.49% |
| 15 | CTRA | — | Unknown | -0.296 | -3.33% | 1.43% |
Sector exposure en el rebalanceo seleccionado
2022-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 30.0% | -30.00% | 0 | 9 |
| Technology | 23.3% | 0.0% | 23.33% | 7 | 0 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Consumer Cyclical | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Defensive | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Healthcare | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Utilities | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |