Portfolio
lightgbmLGBM no sector· rebalanceo 2022-09-30
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
9
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
6.52%
Short avg
6.84%
bajar = bueno para el short
Spread long − short
-0.32%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | 0.019 | 3.33% | 28.99% |
| 2 | EPAM | EPAM Systems, Inc. | Technology | 0.019 | 3.33% | -9.26% |
| 3 | SYF | Synchrony Financial | Financial Services | 0.019 | 3.33% | 8.79% |
| 4 | SPG | Simon Property Group, Inc. | Real Estate | 0.019 | 3.33% | 27.14% |
| 5 | SIVB | SVB Financial Group | Financial Services | 0.019 | 3.33% | -45.47% |
| 6 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.019 | 3.33% | 1.41% |
| 7 | APTV | Aptiv PLC | Consumer Cyclical | 0.019 | 3.33% | 11.27% |
| 8 | BALL | Ball Corporation | Consumer Cyclical | 0.019 | 3.33% | 5.48% |
| 9 | BBY | Best Buy Co., Inc. | Consumer Cyclical | 0.019 | 3.33% | 24.42% |
| 10 | GM | General Motors Company | Consumer Cyclical | 0.019 | 3.33% | 3.07% |
| 11 | NKE | NIKE, Inc. | Consumer Cyclical | 0.019 | 3.33% | 33.27% |
| 12 | FBIN | Fortune Brands Innovations, Inc. | Industrials | 0.019 | 3.33% | 19.95% |
| 13 | GPN | Global Payments Inc. | Financial Services | 0.019 | 3.33% | -9.75% |
| 14 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.019 | 3.33% | -22.52% |
| 15 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.019 | 3.33% | 20.99% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EOG | EOG Resources, Inc. | Energy | -0.015 | -3.33% | 5.48% |
| 2 | MGM | MGM Resorts International | Consumer Cyclical | -0.015 | -3.33% | 8.36% |
| 3 | VLO | Valero Energy Corporation | Energy | -0.015 | -3.33% | 7.36% |
| 4 | FANG | Diamondback Energy, Inc. | Energy | -0.015 | -3.33% | 2.79% |
| 5 | XOM | Exxon Mobil Corporation | Energy | -0.015 | -3.33% | 15.53% |
| 6 | XRAY | DENTSPLY SIRONA Inc. | Healthcare | -0.015 | -3.33% | 11.76% |
| 7 | BKNG | Booking Holdings Inc. | Consumer Cyclical | -0.015 | -3.33% | 19.09% |
| 8 | MRO | Marathon Oil Corporation | Energy | -0.015 | -3.33% | 2.94% |
| 9 | PSX | Phillips 66 | Energy | -0.015 | -3.33% | 18.65% |
| 10 | PXD | Pioneer Natural Resources Company | Energy | -0.009 | -3.33% | -2.60% |
| 11 | MPC | Marathon Petroleum Corporation | Energy | -0.009 | -3.33% | 8.24% |
| 12 | OXY | Occidental Petroleum Corporation | Energy | -0.009 | -3.33% | -4.60% |
| 13 | EXPD | Expeditors International of Washington, Inc. | Industrials | -0.009 | -3.33% | 14.98% |
| 14 | CF | CF Industries Holdings, Inc. | Basic Materials | -0.009 | -3.33% | -19.82% |
| 15 | CVX | Chevron Corporation | Energy | -0.009 | -3.33% | 14.46% |
Sector exposure en el rebalanceo seleccionado
2022-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 33.3% | -33.33% | 0 | 10 |
| Consumer Cyclical | 20.0% | 6.7% | 13.33% | 6 | 2 |
| Financial Services | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Industrials | 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 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Technology | 3.3% | 0.0% | 3.33% | 1 | 0 |