Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2022-12-30
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 32.8%
Short book
15
gross -67.2%
Sectores cubiertos
8
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-31.68%
Short avg
0.65%
bajar = bueno para el short
Spread long − short
-32.33%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | APTV | Aptiv PLC | Consumer Cyclical | 0.583 | 2.18% | 14.28% |
| 2 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.538 | 2.18% | 17.57% |
| 3 | SBNY | Signature Bank | Financial Services | 0.529 | 2.18% | -650.71% |
| 4 | FTNT | Fortinet, Inc. | Technology | 0.527 | 2.18% | 30.72% |
| 5 | LRCX | Lam Research Corporation | Technology | 0.522 | 2.18% | 20.02% |
| 6 | LNC | Lincoln National Corporation | Financial Services | 0.505 | 2.18% | -34.16% |
| 7 | CRM | Salesforce, Inc. | Technology | 0.486 | 2.18% | 38.06% |
| 8 | MSCI | MSCI Inc. | Financial Services | 0.478 | 2.18% | 17.93% |
| 9 | DVA | DaVita Inc. | Healthcare | 0.476 | 2.18% | 8.62% |
| 10 | ZBRA | Zebra Technologies Corporation | Technology | 0.474 | 2.18% | 17.10% |
| 11 | INTU | Intuit Inc. | Technology | 0.472 | 2.18% | 11.92% |
| 12 | DAY | Dayforce Inc | Technology | 0.465 | 2.18% | 16.35% |
| 13 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.461 | 2.18% | 46.25% |
| 14 | EPAM | EPAM Systems, Inc. | Technology | 0.427 | 2.18% | -12.99% |
| 15 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | 0.419 | 2.18% | -16.22% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | COP | ConocoPhillips | Energy | -0.860 | -4.48% | -5.16% |
| 2 | PXD | Pioneer Natural Resources Company | Energy | -0.832 | -4.48% | -1.71% |
| 3 | EOG | EOG Resources, Inc. | Energy | -0.696 | -4.48% | -2.56% |
| 4 | DVN | Devon Energy Corporation | Energy | -0.692 | -4.48% | -7.90% |
| 5 | OXY | Occidental Petroleum Corporation | Energy | -0.674 | -4.48% | 6.30% |
| 6 | VLO | Valero Energy Corporation | Energy | -0.667 | -4.48% | 6.70% |
| 7 | XOM | Exxon Mobil Corporation | Energy | -0.656 | -4.48% | 8.46% |
| 8 | APA | APA Corporation | Energy | -0.635 | -4.48% | -12.97% |
| 9 | MPC | Marathon Petroleum Corporation | Energy | -0.633 | -4.48% | 13.19% |
| 10 | CVX | Chevron Corporation | Energy | -0.618 | -4.48% | -2.01% |
| 11 | PSX | Phillips 66 | Energy | -0.583 | -4.48% | -1.75% |
| 12 | FANG | Diamondback Energy, Inc. | Energy | -0.566 | -4.48% | 9.59% |
| 13 | MRO | Marathon Oil Corporation | Energy | -0.553 | -4.48% | 0.72% |
| 14 | CTRA | — | Unknown | -0.498 | -4.48% | 10.11% |
| 15 | CF | CF Industries Holdings, Inc. | Basic Materials | -0.408 | -4.48% | -11.28% |
Sector exposure en el rebalanceo seleccionado
2022-12-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 58.3% | -58.28% | 0 | 13 |
| Technology | 15.3% | 0.0% | 15.28% | 7 | 0 |
| Financial Services | 6.6% | 0.0% | 6.55% | 3 | 0 |
| Basic Materials | 0.0% | 4.5% | -4.48% | 0 | 1 |
| Unknown | 0.0% | 4.5% | -4.48% | 0 | 1 |
| Consumer Cyclical | 4.4% | 0.0% | 4.37% | 2 | 0 |
| Healthcare | 4.4% | 0.0% | 4.37% | 2 | 0 |
| Communication Services | 2.2% | 0.0% | 2.18% | 1 | 0 |