Portfolio
lightgbmLGBM no sector· 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
10
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-0.58%
Short avg
-1.15%
bajar = bueno para el short
Spread long − short
0.57%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KMX | CarMax, Inc. | Consumer Cyclical | 0.250 | 3.33% | 24.17% |
| 2 | LNC | Lincoln National Corporation | Financial Services | 0.231 | 3.33% | 16.85% |
| 3 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.218 | 3.33% | 0.70% |
| 4 | IVZ | Invesco Ltd. | Financial Services | 0.209 | 3.33% | 5.37% |
| 5 | EPAM | EPAM Systems, Inc. | Technology | 0.158 | 3.33% | -24.43% |
| 6 | WHR | Whirlpool Corporation | Consumer Cyclical | 0.147 | 3.33% | 12.54% |
| 7 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | 0.146 | 3.33% | -0.10% |
| 8 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.146 | 3.33% | -14.35% |
| 9 | APTV | Aptiv PLC | Consumer Cyclical | 0.136 | 3.33% | -6.56% |
| 10 | FIS | Fidelity National Information Services, Inc. | Technology | 0.129 | 3.33% | 11.00% |
| 11 | COF | Capital One Financial Corporation | Financial Services | 0.123 | 3.33% | 13.17% |
| 12 | TFC | Truist Financial Corporation | Financial Services | 0.123 | 3.33% | -4.78% |
| 13 | TER | Teradyne, Inc. | Technology | 0.122 | 3.33% | 1.31% |
| 14 | AAP | Advance Auto Parts, Inc. | Consumer Cyclical | 0.120 | 3.33% | -53.23% |
| 15 | BXP | BXP, Inc. | Real Estate | 0.119 | 3.33% | 9.70% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HES | Hess Corporation | Energy | -0.158 | -3.33% | -6.21% |
| 2 | COP | ConocoPhillips | Energy | -0.156 | -3.33% | -3.03% |
| 3 | FANG | Diamondback Energy, Inc. | Energy | -0.144 | -3.33% | -9.44% |
| 4 | CTRA | — | Unknown | -0.141 | -3.33% | 1.05% |
| 5 | EOG | EOG Resources, Inc. | Energy | -0.135 | -3.33% | -5.37% |
| 6 | CVX | Chevron Corporation | Energy | -0.132 | -3.33% | -7.39% |
| 7 | PXD | Pioneer Natural Resources Company | Energy | -0.131 | -3.33% | -1.14% |
| 8 | VTRS | Viatris Inc. | Healthcare | -0.130 | -3.33% | 4.34% |
| 9 | OXY | Occidental Petroleum Corporation | Energy | -0.128 | -3.33% | -9.84% |
| 10 | CEG | Constellation Energy Corporation | Utilities | -0.127 | -3.33% | 18.80% |
| 11 | XOM | Exxon Mobil Corporation | Energy | -0.125 | -3.33% | -7.40% |
| 12 | MRK | Merck & Co., Inc. | Healthcare | -0.125 | -3.33% | 5.01% |
| 13 | MRO | Marathon Oil Corporation | Energy | -0.122 | -3.33% | -13.50% |
| 14 | IBM | International Business Machines Corporation | Technology | -0.117 | -3.33% | 2.99% |
| 15 | GWW | W.W. Grainger, Inc. | Industrials | -0.115 | -3.33% | 13.88% |
Sector exposure en el rebalanceo seleccionado
2023-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 30.0% | -30.00% | 0 | 9 |
| Consumer Cyclical | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Financial Services | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Technology | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Healthcare | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |