Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2022-08-31
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 31.8%
Short book
15
gross -68.2%
Sectores cubiertos
9
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
2.11%
Short avg
10.28%
bajar = bueno para el short
Spread long − short
-8.18%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | APTV | Aptiv PLC | Consumer Cyclical | 0.659 | 2.12% | 11.72% |
| 2 | CRM | Salesforce, Inc. | Technology | 0.632 | 2.12% | -4.34% |
| 3 | SIVB | SVB Financial Group | Financial Services | 0.617 | 2.12% | -56.62% |
| 4 | NOW | ServiceNow, Inc. | Technology | 0.601 | 2.12% | -1.16% |
| 5 | MTCH | Match Group, Inc. | Communication Services | 0.588 | 2.12% | -10.43% |
| 6 | FTNT | Fortinet, Inc. | Technology | 0.570 | 2.12% | 13.16% |
| 7 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.556 | 2.12% | -12.59% |
| 8 | AMAT | Applied Materials, Inc. | Technology | 0.538 | 2.12% | 15.56% |
| 9 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.537 | 2.12% | 22.72% |
| 10 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | 0.521 | 2.12% | 12.53% |
| 11 | DAY | Dayforce Inc | Technology | 0.512 | 2.12% | 20.41% |
| 12 | INTU | Intuit Inc. | Technology | 0.506 | 2.12% | -2.05% |
| 13 | MSCI | MSCI Inc. | Financial Services | 0.504 | 2.12% | 13.47% |
| 14 | QCOM | QUALCOMM Incorporated | Technology | 0.453 | 2.12% | -1.78% |
| 15 | TER | Teradyne, Inc. | Technology | 0.450 | 2.12% | 10.99% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | COP | ConocoPhillips | Energy | -0.810 | -4.55% | 15.30% |
| 2 | DVN | Devon Energy Corporation | Energy | -0.802 | -4.55% | 2.46% |
| 3 | CTRA | — | Unknown | -0.793 | -4.55% | -7.29% |
| 4 | PXD | Pioneer Natural Resources Company | Energy | -0.782 | -4.55% | 2.29% |
| 5 | EOG | EOG Resources, Inc. | Energy | -0.724 | -4.55% | 18.69% |
| 6 | CF | CF Industries Holdings, Inc. | Basic Materials | -0.703 | -4.55% | 1.57% |
| 7 | NRG | NRG Energy, Inc. | Utilities | -0.651 | -4.55% | 3.12% |
| 8 | XOM | Exxon Mobil Corporation | Energy | -0.629 | -4.55% | 17.38% |
| 9 | OXY | Occidental Petroleum Corporation | Energy | -0.627 | -4.55% | 0.79% |
| 10 | FANG | Diamondback Energy, Inc. | Energy | -0.576 | -4.55% | 11.85% |
| 11 | APA | APA Corporation | Energy | -0.507 | -4.55% | 21.49% |
| 12 | COR | Cencora, Inc. | Healthcare | -0.489 | -4.55% | 15.39% |
| 13 | VLO | Valero Energy Corporation | Energy | -0.429 | -4.55% | 18.37% |
| 14 | CEG | Constellation Energy Corporation | Utilities | -0.412 | -4.55% | 13.68% |
| 15 | MRO | Marathon Oil Corporation | Energy | -0.391 | -4.55% | 19.13% |
Sector exposure en el rebalanceo seleccionado
2022-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 45.5% | -45.47% | 0 | 10 |
| Technology | 17.0% | 0.0% | 16.96% | 8 | 0 |
| Utilities | 0.0% | 9.1% | -9.09% | 0 | 2 |
| Healthcare | 2.1% | 4.5% | -2.43% | 1 | 1 |
| Basic Materials | 0.0% | 4.5% | -4.55% | 0 | 1 |
| Unknown | 0.0% | 4.5% | -4.55% | 0 | 1 |
| Communication Services | 4.2% | 0.0% | 4.24% | 2 | 0 |
| Consumer Cyclical | 4.2% | 0.0% | 4.24% | 2 | 0 |
| Financial Services | 4.2% | 0.0% | 4.24% | 2 | 0 |