Portfolio
lightgbmLGBM no sector· 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 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
-15.70%
Short avg
3.05%
bajar = bueno para el short
Spread long − short
-18.75%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.019 | 3.33% | -3.48% |
| 2 | VNO | Vornado Realty Trust | Real Estate | 0.019 | 3.33% | -30.67% |
| 3 | DLR | Digital Realty Trust, Inc. | Real Estate | 0.019 | 3.33% | -9.12% |
| 4 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.019 | 3.33% | -11.20% |
| 5 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.019 | 3.33% | 32.20% |
| 6 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.019 | 3.33% | 2.47% |
| 7 | CMCSA | Comcast Corporation | Communication Services | 0.019 | 3.33% | 6.71% |
| 8 | FIS | Fidelity National Information Services, Inc. | Technology | 0.019 | 3.33% | -24.96% |
| 9 | CHTR | Charter Communications, Inc. | Communication Services | 0.019 | 3.33% | 1.90% |
| 10 | EFX | Equifax Inc. | Industrials | 0.019 | 3.33% | 2.08% |
| 11 | APTV | Aptiv PLC | Consumer Cyclical | 0.019 | 3.33% | 14.28% |
| 12 | NKE | NIKE, Inc. | Consumer Cyclical | 0.019 | 3.33% | 4.35% |
| 13 | FRC | First Republic Bank | Financial Services | 0.019 | 3.33% | -217.43% |
| 14 | GM | General Motors Company | Consumer Cyclical | 0.019 | 3.33% | 5.76% |
| 15 | NWL | Newell Brands Inc. | Consumer Defensive | 0.019 | 3.33% | -8.44% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | APA | APA Corporation | Energy | -0.015 | -3.33% | -12.97% |
| 2 | XOM | Exxon Mobil Corporation | Energy | -0.015 | -3.33% | 8.46% |
| 3 | PXD | Pioneer Natural Resources Company | Energy | -0.015 | -3.33% | -1.71% |
| 4 | EOG | EOG Resources, Inc. | Energy | -0.015 | -3.33% | -2.56% |
| 5 | EQT | EQT Corporation | Energy | -0.015 | -3.33% | 2.52% |
| 6 | VLO | Valero Energy Corporation | Energy | -0.009 | -3.33% | 6.70% |
| 7 | BKNG | Booking Holdings Inc. | Consumer Cyclical | -0.009 | -3.33% | 26.10% |
| 8 | OXY | Occidental Petroleum Corporation | Energy | -0.009 | -3.33% | 6.30% |
| 9 | PSX | Phillips 66 | Energy | -0.009 | -3.33% | -1.75% |
| 10 | STLD | Steel Dynamics, Inc. | Basic Materials | -0.009 | -3.33% | 8.58% |
| 11 | DAL | Delta Air Lines, Inc. | Industrials | -0.009 | -3.33% | 3.95% |
| 12 | MAR | Marriott International, Inc. | Consumer Cyclical | -0.009 | -3.33% | 10.90% |
| 13 | COP | ConocoPhillips | Energy | -0.009 | -3.33% | -5.16% |
| 14 | CVX | Chevron Corporation | Energy | -0.009 | -3.33% | -2.01% |
| 15 | LUV | Southwest Airlines Co. | Industrials | -0.009 | -3.33% | -1.67% |
Sector exposure en el rebalanceo seleccionado
2022-12-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 33.3% | -33.33% | 0 | 10 |
| Consumer Cyclical | 13.3% | 6.7% | 6.67% | 4 | 2 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Industrials | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Communication Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Defensive | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Real Estate | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Technology | 3.3% | 0.0% | 3.33% | 1 | 0 |