Portfolio
lightgbmLGBM buffer· rebalanceo 2022-07-29
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
-13.85%
Short avg
17.69%
bajar = bueno para el short
Spread long − short
-31.54%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | APTV | Aptiv PLC | Consumer Cyclical | 0.628 | 3.33% | -16.12% |
| 2 | SIVB | SVB Financial Group | Financial Services | 0.583 | 3.33% | -53.05% |
| 3 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | 0.574 | 3.33% | -10.03% |
| 4 | TGT | Target Corporation | Consumer Defensive | 0.553 | 3.33% | 1.80% |
| 5 | DVA | DaVita Inc. | Healthcare | 0.517 | 3.33% | -18.47% |
| 6 | DAY | Dayforce Inc | Technology | 0.489 | 3.33% | 17.11% |
| 7 | INTU | Intuit Inc. | Technology | 0.485 | 3.33% | -3.60% |
| 8 | AMAT | Applied Materials, Inc. | Technology | 0.478 | 3.33% | -16.80% |
| 9 | MTCH | Match Group, Inc. | Communication Services | 0.475 | 3.33% | -52.08% |
| 10 | QCOM | QUALCOMM Incorporated | Technology | 0.458 | 3.33% | -20.68% |
| 11 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.425 | 3.33% | -2.65% |
| 12 | MSCI | MSCI Inc. | Financial Services | 0.422 | 3.33% | -0.30% |
| 13 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.392 | 3.33% | -8.89% |
| 14 | TER | Teradyne, Inc. | Technology | 0.354 | 3.33% | -18.39% |
| 15 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.349 | 3.33% | -5.66% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | COP | ConocoPhillips | Energy | -0.793 | -3.33% | 30.93% |
| 2 | PXD | Pioneer Natural Resources Company | Energy | -0.655 | -3.33% | 15.57% |
| 3 | FANG | Diamondback Energy, Inc. | Energy | -0.595 | -3.33% | 22.34% |
| 4 | DVN | Devon Energy Corporation | Energy | -0.559 | -3.33% | 23.34% |
| 5 | EOG | EOG Resources, Inc. | Energy | -0.553 | -3.33% | 23.55% |
| 6 | CTRA | — | Unknown | -0.551 | -3.33% | 4.00% |
| 7 | CF | CF Industries Holdings, Inc. | Basic Materials | -0.538 | -3.33% | 11.63% |
| 8 | OXY | Occidental Petroleum Corporation | Energy | -0.505 | -3.33% | 9.86% |
| 9 | COR | Cencora, Inc. | Healthcare | -0.394 | -3.33% | 9.08% |
| 10 | VLO | Valero Energy Corporation | Energy | -0.378 | -3.33% | 13.84% |
| 11 | APA | APA Corporation | Energy | -0.371 | -3.33% | 23.87% |
| 12 | CEG | Constellation Energy Corporation | Utilities | -0.367 | -3.33% | 36.34% |
| 13 | MRO | Marathon Oil Corporation | Energy | -0.358 | -3.33% | 23.22% |
| 14 | NRG | NRG Energy, Inc. | Utilities | -0.341 | -3.33% | 17.18% |
| 15 | SYY | Sysco Corporation | Consumer Defensive | -0.317 | -3.33% | 0.64% |
Sector exposure en el rebalanceo seleccionado
2022-07-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 30.0% | -30.00% | 0 | 9 |
| Technology | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Consumer Cyclical | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Healthcare | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Consumer Defensive | 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 |