Portfolio
lightgbmLGBM no sector· 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
7
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-14.01%
Short avg
13.14%
bajar = bueno para el short
Spread long − short
-27.15%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | IVZ | Invesco Ltd. | Financial Services | 0.019 | 3.33% | -14.78% |
| 2 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.019 | 3.33% | -11.71% |
| 3 | SYF | Synchrony Financial | Financial Services | 0.019 | 3.33% | 6.86% |
| 4 | SIVB | SVB Financial Group | Financial Services | 0.019 | 3.33% | -53.05% |
| 5 | APTV | Aptiv PLC | Consumer Cyclical | 0.019 | 3.33% | -16.12% |
| 6 | ROST | Ross Stores, Inc. | Consumer Cyclical | 0.019 | 3.33% | 15.07% |
| 7 | ROK | Rockwell Automation, Inc. | Industrials | 0.019 | 3.33% | 2.22% |
| 8 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | 0.019 | 3.33% | -10.03% |
| 9 | BBY | Best Buy Co., Inc. | Consumer Cyclical | 0.019 | 3.33% | -10.68% |
| 10 | PVH | PVH Corp. | Consumer Cyclical | 0.019 | 3.33% | -17.27% |
| 11 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.019 | 3.33% | -9.41% |
| 12 | CHTR | Charter Communications, Inc. | Communication Services | 0.019 | 3.33% | -14.70% |
| 13 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.019 | 3.33% | -26.26% |
| 14 | LEN | Lennar Corporation | Consumer Cyclical | 0.019 | 3.33% | -3.36% |
| 15 | KMX | CarMax, Inc. | Consumer Cyclical | 0.019 | 3.33% | -46.90% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | XRAY | DENTSPLY SIRONA Inc. | Healthcare | -0.015 | -3.33% | -14.93% |
| 2 | RL | Ralph Lauren Corporation | Consumer Cyclical | -0.015 | -3.33% | -4.03% |
| 3 | COP | ConocoPhillips | Energy | -0.015 | -3.33% | 30.93% |
| 4 | FANG | Diamondback Energy, Inc. | Energy | -0.015 | -3.33% | 22.34% |
| 5 | MGM | MGM Resorts International | Consumer Cyclical | -0.015 | -3.33% | 9.08% |
| 6 | XOM | Exxon Mobil Corporation | Energy | -0.015 | -3.33% | 16.81% |
| 7 | BKNG | Booking Holdings Inc. | Consumer Cyclical | -0.015 | -3.33% | -1.85% |
| 8 | CVX | Chevron Corporation | Energy | -0.015 | -3.33% | 12.36% |
| 9 | MRO | Marathon Oil Corporation | Energy | -0.015 | -3.33% | 23.22% |
| 10 | OXY | Occidental Petroleum Corporation | Energy | -0.015 | -3.33% | 9.86% |
| 11 | DVN | Devon Energy Corporation | Energy | -0.015 | -3.33% | 23.34% |
| 12 | PSX | Phillips 66 | Energy | -0.015 | -3.33% | 18.57% |
| 13 | APA | APA Corporation | Energy | -0.009 | -3.33% | 23.87% |
| 14 | CTRA | — | Unknown | -0.009 | -3.33% | 4.00% |
| 15 | EOG | EOG Resources, Inc. | Energy | -0.009 | -3.33% | 23.55% |
Sector exposure en el rebalanceo seleccionado
2022-07-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 26.7% | 10.0% | 16.67% | 8 | 3 |
| Energy | 0.0% | 33.3% | -33.33% | 0 | 10 |
| Financial Services | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |