Portfolio
lightgbmLGBM no sector· rebalanceo 2022-10-31
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
8
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
24.26%
Short avg
-0.86%
bajar = bueno para el short
Spread long − short
25.12%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NKE | NIKE, Inc. | Consumer Cyclical | 0.019 | 3.33% | 32.25% |
| 2 | FRC | First Republic Bank | Financial Services | 0.019 | 3.33% | 20.20% |
| 3 | DLR | Digital Realty Trust, Inc. | Real Estate | 0.019 | 3.33% | 22.45% |
| 4 | TGT | Target Corporation | Consumer Defensive | 0.019 | 3.33% | 10.13% |
| 5 | GM | General Motors Company | Consumer Cyclical | 0.019 | 3.33% | 5.56% |
| 6 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.019 | 3.33% | 22.63% |
| 7 | APTV | Aptiv PLC | Consumer Cyclical | 0.019 | 3.33% | 25.91% |
| 8 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.019 | 3.33% | 46.54% |
| 9 | KMX | CarMax, Inc. | Consumer Cyclical | 0.019 | 3.33% | 20.92% |
| 10 | BALL | Ball Corporation | Consumer Cyclical | 0.019 | 3.33% | 21.17% |
| 11 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | 0.019 | 3.33% | 32.58% |
| 12 | BBY | Best Buy Co., Inc. | Consumer Cyclical | 0.019 | 3.33% | 29.38% |
| 13 | POOL | Pool Corporation | Industrials | 0.019 | 3.33% | 32.59% |
| 14 | CMCSA | Comcast Corporation | Communication Services | 0.019 | 3.33% | 27.16% |
| 15 | CHTR | Charter Communications, Inc. | Communication Services | 0.019 | 3.33% | 14.39% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PSX | Phillips 66 | Energy | -0.015 | -3.33% | -7.27% |
| 2 | FANG | Diamondback Energy, Inc. | Energy | -0.015 | -3.33% | -12.88% |
| 3 | PXD | Pioneer Natural Resources Company | Energy | -0.015 | -3.33% | -11.59% |
| 4 | XOM | Exxon Mobil Corporation | Energy | -0.015 | -3.33% | 0.11% |
| 5 | XRAY | DENTSPLY SIRONA Inc. | Healthcare | -0.015 | -3.33% | 25.06% |
| 6 | BKNG | Booking Holdings Inc. | Consumer Cyclical | -0.015 | -3.33% | 26.18% |
| 7 | EOG | EOG Resources, Inc. | Energy | -0.015 | -3.33% | -7.05% |
| 8 | MRO | Marathon Oil Corporation | Energy | -0.015 | -3.33% | -16.38% |
| 9 | MGM | MGM Resorts International | Consumer Cyclical | -0.015 | -3.33% | 14.12% |
| 10 | EQT | EQT Corporation | Energy | -0.015 | -3.33% | -24.31% |
| 11 | OXY | Occidental Petroleum Corporation | Energy | -0.009 | -3.33% | -16.46% |
| 12 | EXPD | Expeditors International of Washington, Inc. | Industrials | -0.009 | -3.33% | 19.05% |
| 13 | DAL | Delta Air Lines, Inc. | Industrials | -0.009 | -3.33% | 17.10% |
| 14 | VLO | Valero Energy Corporation | Energy | -0.009 | -3.33% | 3.01% |
| 15 | DVN | Devon Energy Corporation | Energy | -0.009 | -3.33% | -21.61% |
Sector exposure en el rebalanceo seleccionado
2022-10-31| 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 |
| Industrials | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Communication Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Financial Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Healthcare | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Consumer Defensive | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |