Portfolio
lightgbmLGBM dual tail· rebalanceo 2023-03-31
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
8
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
15.67%
Short avg
1.77%
bajar = bueno para el short
Spread long − short
13.90%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KMX | CarMax, Inc. | Consumer Cyclical | 0.238 | 3.33% | 24.17% |
| 2 | LNC | Lincoln National Corporation | Financial Services | 0.238 | 3.33% | 16.85% |
| 3 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.235 | 3.33% | 50.68% |
| 4 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | 0.235 | 3.33% | -0.10% |
| 5 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.235 | 3.33% | 65.60% |
| 6 | WRK | WestRock Company | Consumer Cyclical | 0.235 | 3.33% | -6.19% |
| 7 | ZION | Zions Bancorporation, National Association | Financial Services | 0.235 | 3.33% | -2.32% |
| 8 | CMA | Comerica Incorporated | Financial Services | 0.235 | 3.33% | 4.67% |
| 9 | ALGN | Align Technology, Inc. | Healthcare | 0.233 | 3.33% | 2.85% |
| 10 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.233 | 3.33% | 24.15% |
| 11 | MTCH | Match Group, Inc. | Communication Services | 0.233 | 3.33% | 6.67% |
| 12 | META | Meta Platforms, Inc. | Communication Services | 0.233 | 3.33% | 32.32% |
| 13 | FIS | Fidelity National Information Services, Inc. | Technology | 0.232 | 3.33% | 11.00% |
| 14 | BXP | BXP, Inc. | Real Estate | 0.232 | 3.33% | 9.70% |
| 15 | ARE | Alexandria Real Estate Equities, Inc. | Real Estate | 0.232 | 3.33% | -5.02% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MRK | Merck & Co., Inc. | Healthcare | 0.202 | -3.33% | 5.01% |
| 2 | ENPH | Enphase Energy, Inc. | Energy | 0.209 | -3.33% | -20.32% |
| 3 | FSLR | First Solar, Inc. | Energy | 0.224 | -3.33% | -10.90% |
| 4 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | 0.224 | -3.33% | 20.05% |
| 5 | SEDG | SolarEdge Technologies, Inc. | Energy | 0.220 | -3.33% | -11.77% |
| 6 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.226 | -3.33% | 37.18% |
| 7 | DXCM | DexCom, Inc. | Healthcare | 0.204 | -3.33% | 10.56% |
| 8 | MRNA | Moderna, Inc. | Healthcare | 0.219 | -3.33% | -25.54% |
| 9 | BAX | Baxter International Inc. | Healthcare | 0.224 | -3.33% | 12.86% |
| 10 | PAYC | Paycom Software, Inc. | Technology | 0.223 | -3.33% | 6.39% |
| 11 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.227 | -3.33% | 15.97% |
| 12 | CTLT | Catalent, Inc. | Healthcare | 0.224 | -3.33% | -34.05% |
| 13 | BG | Bunge Global S.A. | Consumer Defensive | 0.219 | -3.33% | 2.56% |
| 14 | HAL | Halliburton Company | Energy | 0.218 | -3.33% | -2.13% |
| 15 | HAS | Hasbro, Inc. | Consumer Cyclical | 0.224 | -3.33% | 20.63% |
Sector exposure en el rebalanceo seleccionado
2023-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 20.0% | 10.0% | 10.00% | 6 | 3 |
| Healthcare | 3.3% | 16.7% | -13.33% | 1 | 5 |
| Energy | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Communication Services | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Real Estate | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Technology | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |