Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2022-11-30
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 33.1%
Short book
15
gross -66.9%
Sectores cubiertos
9
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
3.77%
Short avg
-8.12%
bajar = bueno para el short
Spread long − short
11.89%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | SIVB | SVB Financial Group | Financial Services | 0.592 | 2.21% | 21.55% |
| 2 | APTV | Aptiv PLC | Consumer Cyclical | 0.591 | 2.21% | 11.87% |
| 3 | ZBRA | Zebra Technologies Corporation | Technology | 0.559 | 2.21% | 12.89% |
| 4 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | 0.539 | 2.21% | -9.04% |
| 5 | DVA | DaVita Inc. | Healthcare | 0.520 | 2.21% | 9.09% |
| 6 | SBNY | Signature Bank | Financial Services | 0.512 | 2.21% | -21.34% |
| 7 | INTU | Intuit Inc. | Technology | 0.485 | 2.21% | -0.61% |
| 8 | DAY | Dayforce Inc | Technology | 0.481 | 2.21% | 4.43% |
| 9 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.481 | 2.21% | 26.31% |
| 10 | LRCX | Lam Research Corporation | Technology | 0.451 | 2.21% | 5.04% |
| 11 | LNC | Lincoln National Corporation | Financial Services | 0.424 | 2.21% | -23.04% |
| 12 | EPAM | EPAM Systems, Inc. | Technology | 0.423 | 2.21% | -17.48% |
| 13 | CRM | Salesforce, Inc. | Technology | 0.422 | 2.21% | 22.34% |
| 14 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.413 | 2.21% | 10.17% |
| 15 | MSCI | MSCI Inc. | Financial Services | 0.398 | 2.21% | 4.29% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | COP | ConocoPhillips | Energy | -0.856 | -4.46% | -10.55% |
| 2 | PXD | Pioneer Natural Resources Company | Energy | -0.771 | -4.46% | -10.46% |
| 3 | DVN | Devon Energy Corporation | Energy | -0.770 | -4.46% | -16.81% |
| 4 | EOG | EOG Resources, Inc. | Energy | -0.748 | -4.46% | -13.22% |
| 5 | VLO | Valero Energy Corporation | Energy | -0.664 | -4.46% | 6.37% |
| 6 | MPC | Marathon Petroleum Corporation | Energy | -0.649 | -4.46% | 9.86% |
| 7 | OXY | Occidental Petroleum Corporation | Energy | -0.632 | -4.46% | -10.72% |
| 8 | APA | APA Corporation | Energy | -0.605 | -4.46% | -14.61% |
| 9 | XOM | Exxon Mobil Corporation | Energy | -0.592 | -4.46% | 3.45% |
| 10 | CF | CF Industries Holdings, Inc. | Basic Materials | -0.590 | -4.46% | -18.18% |
| 11 | FANG | Diamondback Energy, Inc. | Energy | -0.576 | -4.46% | 1.26% |
| 12 | MRO | Marathon Oil Corporation | Energy | -0.523 | -4.46% | -13.35% |
| 13 | CTRA | — | Unknown | -0.508 | -4.46% | -6.67% |
| 14 | NRG | NRG Energy, Inc. | Utilities | -0.380 | -4.46% | -19.21% |
| 15 | COR | Cencora, Inc. | Healthcare | -0.361 | -4.46% | -8.95% |
Sector exposure en el rebalanceo seleccionado
2022-11-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 49.0% | -49.05% | 0 | 11 |
| Technology | 13.2% | 0.0% | 13.25% | 6 | 0 |
| Healthcare | 4.4% | 4.5% | -0.04% | 2 | 1 |
| Financial Services | 8.8% | 0.0% | 8.83% | 4 | 0 |
| Basic Materials | 0.0% | 4.5% | -4.46% | 0 | 1 |
| Unknown | 0.0% | 4.5% | -4.46% | 0 | 1 |
| Utilities | 0.0% | 4.5% | -4.46% | 0 | 1 |
| Consumer Cyclical | 4.4% | 0.0% | 4.42% | 2 | 0 |
| Communication Services | 2.2% | 0.0% | 2.21% | 1 | 0 |