Portfolio
lightgbmLGBM macro· 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
9
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
0.65%
Short avg
-66.03%
bajar = bueno para el short
Spread long − short
66.67%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CF | CF Industries Holdings, Inc. | Basic Materials | 0.020 | 3.33% | -13.93% |
| 2 | NUE | Nucor Corporation | Basic Materials | 0.020 | 3.33% | -17.63% |
| 3 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.020 | 3.33% | -7.01% |
| 4 | MCD | McDonald's Corporation | Consumer Cyclical | 0.018 | 3.33% | 10.90% |
| 5 | COR | Cencora, Inc. | Healthcare | 0.018 | 3.33% | 3.87% |
| 6 | MCK | McKesson Corporation | Healthcare | 0.018 | 3.33% | -4.42% |
| 7 | CPB | Campbell Soup Company | Consumer Defensive | 0.018 | 3.33% | 6.11% |
| 8 | MKC | McCormick & Company, Incorporated | Consumer Defensive | 0.018 | 3.33% | 15.52% |
| 9 | MO | Altria Group, Inc. | Consumer Defensive | 0.018 | 3.33% | -0.05% |
| 10 | BDX | Becton, Dickinson and Company | Healthcare | 0.018 | 3.33% | 4.03% |
| 11 | GIS | General Mills, Inc. | Consumer Defensive | 0.018 | 3.33% | 13.65% |
| 12 | INCY | Incyte Corporation | Healthcare | 0.018 | 3.33% | -22.96% |
| 13 | GILD | Gilead Sciences, Inc. | Healthcare | 0.018 | 3.33% | -4.63% |
| 14 | ORLY | O'Reilly Automotive, Inc. | Consumer Cyclical | 0.018 | 3.33% | 14.25% |
| 15 | PEP | PepsiCo, Inc. | Consumer Defensive | 0.018 | 3.33% | 12.02% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | TROW | T. Rowe Price Group, Inc. | Financial Services | -0.024 | -3.33% | -11.51% |
| 2 | SBNY | Signature Bank | Financial Services | -0.024 | -3.33% | -731.80% |
| 3 | KLAC | KLA Corporation | Technology | -0.024 | -3.33% | -7.70% |
| 4 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.017 | -3.33% | -20.61% |
| 5 | ALB | Albemarle Corporation | Basic Materials | -0.017 | -3.33% | -50.10% |
| 6 | URI | United Rentals, Inc. | Industrials | -0.017 | -3.33% | -25.82% |
| 7 | LNC | Lincoln National Corporation | Financial Services | -0.017 | -3.33% | -49.90% |
| 8 | NXPI | NXP Semiconductors N.V. | Technology | -0.017 | -3.33% | -14.04% |
| 9 | ON | ON Semiconductor Corporation | Technology | -0.017 | -3.33% | 0.95% |
| 10 | ZBRA | Zebra Technologies Corporation | Technology | -0.017 | -3.33% | -24.00% |
| 11 | SYF | Synchrony Financial | Financial Services | -0.017 | -3.33% | -22.84% |
| 12 | EPAM | EPAM Systems, Inc. | Technology | -0.017 | -3.33% | -25.59% |
| 13 | EQT | EQT Corporation | Energy | -0.016 | -3.33% | 0.07% |
| 14 | CTRA | — | Unknown | -0.016 | -3.33% | 0.50% |
| 15 | CVX | Chevron Corporation | Energy | -0.016 | -3.33% | -7.98% |
Sector exposure en el rebalanceo seleccionado
2023-01-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Basic Materials | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Consumer Defensive | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Healthcare | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Technology | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Financial Services | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Consumer Cyclical | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |