Portfolio
lightgbmLGBM dual tail macro· 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
11
30 posiciones
Sortino del run
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
5.07%
Short avg
11.79%
bajar = bueno para el short
Spread long − short
-6.72%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LNC | Lincoln National Corporation | Financial Services | 0.269 | 3.33% | 16.85% |
| 2 | KMX | CarMax, Inc. | Consumer Cyclical | 0.269 | 3.33% | 24.17% |
| 3 | NVDA | NVIDIA Corporation | Technology | 0.265 | 3.33% | 41.45% |
| 4 | DISH | DISH Network Corporation | Communication Services | 0.265 | 3.33% | -29.17% |
| 5 | META | Meta Platforms, Inc. | Communication Services | 0.265 | 3.33% | 32.32% |
| 6 | ALGN | Align Technology, Inc. | Healthcare | 0.265 | 3.33% | 2.85% |
| 7 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | 0.265 | 3.33% | -0.10% |
| 8 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.264 | 3.33% | 0.70% |
| 9 | ZBRA | Zebra Technologies Corporation | Technology | 0.262 | 3.33% | -6.22% |
| 10 | MTCH | Match Group, Inc. | Communication Services | 0.262 | 3.33% | 6.67% |
| 11 | QRVO | Qorvo, Inc. | Technology | 0.259 | 3.33% | -3.31% |
| 12 | IVZ | Invesco Ltd. | Financial Services | 0.259 | 3.33% | 5.37% |
| 13 | SWKS | Skyworks Solutions, Inc. | Technology | 0.259 | 3.33% | -8.36% |
| 14 | COF | Capital One Financial Corporation | Financial Services | 0.257 | 3.33% | 13.17% |
| 15 | ENPH | Enphase Energy, Inc. | Energy | 0.255 | 3.33% | -20.32% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HUM | Humana Inc. | Healthcare | 0.226 | -3.33% | -13.48% |
| 2 | KDP | Keurig Dr Pepper Inc. | Consumer Defensive | 0.218 | -3.33% | -10.21% |
| 3 | VICI | VICI Properties Inc. | Real Estate | 0.216 | -3.33% | -2.40% |
| 4 | BG | Bunge Global S.A. | Consumer Defensive | 0.236 | -3.33% | 2.56% |
| 5 | RJF | Raymond James Financial, Inc. | Financial Services | 0.240 | -3.33% | 11.72% |
| 6 | CEG | Constellation Energy Corporation | Utilities | 0.225 | -3.33% | 18.80% |
| 7 | COP | ConocoPhillips | Energy | 0.215 | -3.33% | -3.03% |
| 8 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.254 | -3.33% | 37.18% |
| 9 | ALB | Albemarle Corporation | Basic Materials | 0.232 | -3.33% | 4.91% |
| 10 | UAL | United Airlines Holdings, Inc. | Industrials | 0.228 | -3.33% | 24.94% |
| 11 | DAL | Delta Air Lines, Inc. | Industrials | 0.226 | -3.33% | 34.40% |
| 12 | AAL | American Airlines Group Inc. | Industrials | 0.253 | -3.33% | 23.94% |
| 13 | HST | Host Hotels & Resorts, Inc. | Real Estate | 0.226 | -3.33% | 6.29% |
| 14 | HES | Hess Corporation | Energy | 0.223 | -3.33% | -6.21% |
| 15 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.242 | -3.33% | 47.44% |
Sector exposure en el rebalanceo seleccionado
2023-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 13.3% | 3.3% | 10.00% | 4 | 1 |
| Consumer Cyclical | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Technology | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Communication Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Energy | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Industrials | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Real Estate | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |