Portfolio
lightgbmLGBM dual tail· rebalanceo 2023-01-31
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
7
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-57.38%
Short avg
-11.26%
bajar = bueno para el short
Spread long − short
-46.12%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | 0.238 | 3.33% | -19.39% |
| 2 | LNC | Lincoln National Corporation | Financial Services | 0.238 | 3.33% | -49.90% |
| 3 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.235 | 3.33% | -13.04% |
| 4 | F | Ford Motor Company | Consumer Cyclical | 0.235 | 3.33% | -8.25% |
| 5 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.235 | 3.33% | -18.45% |
| 6 | SBNY | Signature Bank | Financial Services | 0.235 | 3.33% | -731.80% |
| 7 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.235 | 3.33% | -19.48% |
| 8 | KMX | CarMax, Inc. | Consumer Cyclical | 0.235 | 3.33% | -7.06% |
| 9 | GM | General Motors Company | Consumer Cyclical | 0.235 | 3.33% | -18.82% |
| 10 | MU | Micron Technology, Inc. | Technology | 0.233 | 3.33% | -2.55% |
| 11 | ALGN | Align Technology, Inc. | Healthcare | 0.233 | 3.33% | 7.03% |
| 12 | QRVO | Qorvo, Inc. | Technology | 0.233 | 3.33% | -19.28% |
| 13 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.233 | 3.33% | -14.91% |
| 14 | ANSS | ANSYS, Inc. | Technology | 0.233 | 3.33% | 11.55% |
| 15 | META | Meta Platforms, Inc. | Communication Services | 0.233 | 3.33% | 43.70% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | 0.207 | -3.33% | 4.17% |
| 2 | ENPH | Enphase Energy, Inc. | Energy | 0.221 | -3.33% | -37.94% |
| 3 | HAL | Halliburton Company | Energy | 0.218 | -3.33% | -33.31% |
| 4 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.233 | -3.33% | -1.44% |
| 5 | FSLR | First Solar, Inc. | Energy | 0.224 | -3.33% | -3.28% |
| 6 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | 0.224 | -3.33% | 8.44% |
| 7 | SEDG | SolarEdge Technologies, Inc. | Energy | 0.223 | -3.33% | -21.68% |
| 8 | DXCM | DexCom, Inc. | Healthcare | 0.213 | -3.33% | 8.55% |
| 9 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.226 | -3.33% | -12.18% |
| 10 | MTCH | Match Group, Inc. | Communication Services | 0.233 | -3.33% | -42.62% |
| 11 | EBAY | eBay Inc. | Consumer Cyclical | 0.227 | -3.33% | -11.28% |
| 12 | XYL | Xylem Inc. | Industrials | 0.220 | -3.33% | -0.43% |
| 13 | PAYC | Paycom Software, Inc. | Technology | 0.223 | -3.33% | -14.86% |
| 14 | CTLT | Catalent, Inc. | Healthcare | 0.224 | -3.33% | -11.37% |
| 15 | HAS | Hasbro, Inc. | Consumer Cyclical | 0.224 | -3.33% | 0.34% |
Sector exposure en el rebalanceo seleccionado
2023-01-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 23.3% | 16.7% | 6.67% | 7 | 5 |
| Energy | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Technology | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Communication Services | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Healthcare | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |