Portfolio
lightgbmLGBM no sector· 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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
9
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-0.30%
Short avg
12.02%
bajar = bueno para el short
Spread long − short
-12.32%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ROK | Rockwell Automation, Inc. | Industrials | 0.019 | 3.33% | 10.30% |
| 2 | GM | General Motors Company | Consumer Cyclical | 0.019 | 3.33% | 4.95% |
| 3 | SIVB | SVB Financial Group | Financial Services | 0.019 | 3.33% | -56.62% |
| 4 | CHTR | Charter Communications, Inc. | Communication Services | 0.019 | 3.33% | -7.70% |
| 5 | SBUX | Starbucks Corporation | Consumer Cyclical | 0.019 | 3.33% | 19.67% |
| 6 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.019 | 3.33% | -4.89% |
| 7 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.019 | 3.33% | 8.66% |
| 8 | SYF | Synchrony Financial | Financial Services | 0.019 | 3.33% | 12.11% |
| 9 | APTV | Aptiv PLC | Consumer Cyclical | 0.019 | 3.33% | 11.72% |
| 10 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.019 | 3.33% | 10.70% |
| 11 | TGT | Target Corporation | Consumer Defensive | 0.019 | 3.33% | 0.74% |
| 12 | BALL | Ball Corporation | Consumer Cyclical | 0.019 | 3.33% | 0.77% |
| 13 | ROST | Ross Stores, Inc. | Consumer Cyclical | 0.019 | 3.33% | 29.10% |
| 14 | GPN | Global Payments Inc. | Financial Services | 0.019 | 3.33% | -18.53% |
| 15 | KMX | CarMax, Inc. | Consumer Cyclical | 0.019 | 3.33% | -25.44% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BKNG | Booking Holdings Inc. | Consumer Cyclical | -0.015 | -3.33% | 10.63% |
| 2 | VLO | Valero Energy Corporation | Energy | -0.015 | -3.33% | 18.37% |
| 3 | MGM | MGM Resorts International | Consumer Cyclical | -0.015 | -3.33% | 13.85% |
| 4 | EOG | EOG Resources, Inc. | Energy | -0.015 | -3.33% | 18.69% |
| 5 | XOM | Exxon Mobil Corporation | Energy | -0.015 | -3.33% | 17.38% |
| 6 | XRAY | DENTSPLY SIRONA Inc. | Healthcare | -0.015 | -3.33% | -1.87% |
| 7 | PSX | Phillips 66 | Energy | -0.015 | -3.33% | 23.32% |
| 8 | MRO | Marathon Oil Corporation | Energy | -0.015 | -3.33% | 19.13% |
| 9 | FANG | Diamondback Energy, Inc. | Energy | -0.015 | -3.33% | 11.85% |
| 10 | CVX | Chevron Corporation | Energy | -0.009 | -3.33% | 16.75% |
| 11 | OXY | Occidental Petroleum Corporation | Energy | -0.009 | -3.33% | 0.79% |
| 12 | CTRA | — | Unknown | -0.009 | -3.33% | -7.29% |
| 13 | DVN | Devon Energy Corporation | Energy | -0.009 | -3.33% | 2.46% |
| 14 | MPC | Marathon Petroleum Corporation | Energy | -0.009 | -3.33% | 22.34% |
| 15 | NUE | Nucor Corporation | Basic Materials | -0.009 | -3.33% | 13.97% |
Sector exposure en el rebalanceo seleccionado
2022-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 33.3% | -33.33% | 0 | 10 |
| Consumer Cyclical | 23.3% | 6.7% | 16.67% | 7 | 2 |
| Financial Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Healthcare | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Consumer Defensive | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |