Portfolio
lightgbmLGBM dual tail macro· rebalanceo 2023-04-28
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
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
21.68%
Short avg
11.69%
bajar = bueno para el short
Spread long − short
9.99%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LNC | Lincoln National Corporation | Financial Services | 0.269 | 3.33% | 28.31% |
| 2 | KMX | CarMax, Inc. | Consumer Cyclical | 0.269 | 3.33% | 17.64% |
| 3 | MTCH | Match Group, Inc. | Communication Services | 0.265 | 3.33% | 24.91% |
| 4 | DISH | DISH Network Corporation | Communication Services | 0.265 | 3.33% | 4.62% |
| 5 | ALGN | Align Technology, Inc. | Healthcare | 0.265 | 3.33% | 17.13% |
| 6 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | 0.265 | 3.33% | 21.71% |
| 7 | SYF | Synchrony Financial | Financial Services | 0.257 | 3.33% | 19.20% |
| 8 | SWKS | Skyworks Solutions, Inc. | Technology | 0.257 | 3.33% | 8.24% |
| 9 | LRCX | Lam Research Corporation | Technology | 0.257 | 3.33% | 31.53% |
| 10 | NVDA | NVIDIA Corporation | Technology | 0.256 | 3.33% | 47.57% |
| 11 | META | Meta Platforms, Inc. | Communication Services | 0.256 | 3.33% | 28.29% |
| 12 | ENPH | Enphase Energy, Inc. | Energy | 0.255 | 3.33% | -6.61% |
| 13 | WDC | Western Digital Corporation | Technology | 0.255 | 3.33% | 22.98% |
| 14 | F | Ford Motor Company | Consumer Cyclical | 0.255 | 3.33% | 11.79% |
| 15 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.254 | 3.33% | 47.82% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HUM | Humana Inc. | Healthcare | 0.220 | -3.33% | -15.34% |
| 2 | VICI | VICI Properties Inc. | Real Estate | 0.216 | -3.33% | -5.29% |
| 3 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.239 | -3.33% | 47.26% |
| 4 | COP | ConocoPhillips | Energy | 0.215 | -3.33% | 14.65% |
| 5 | DAL | Delta Air Lines, Inc. | Industrials | 0.219 | -3.33% | 27.00% |
| 6 | HES | Hess Corporation | Energy | 0.223 | -3.33% | 5.94% |
| 7 | UAL | United Airlines Holdings, Inc. | Industrials | 0.224 | -3.33% | 18.17% |
| 8 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.234 | -3.33% | 15.59% |
| 9 | ALB | Albemarle Corporation | Basic Materials | 0.232 | -3.33% | 16.16% |
| 10 | KHC | The Kraft Heinz Company | Consumer Defensive | 0.218 | -3.33% | -9.23% |
| 11 | EBAY | eBay Inc. | Consumer Cyclical | 0.242 | -3.33% | -4.14% |
| 12 | MCD | McDonald's Corporation | Consumer Cyclical | 0.221 | -3.33% | -1.68% |
| 13 | GOOG | Alphabet Inc. | Communication Services | 0.247 | -3.33% | 20.26% |
| 14 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.253 | -3.33% | 25.50% |
| 15 | GOOGL | Alphabet Inc. | Communication Services | 0.247 | -3.33% | 20.47% |
Sector exposure en el rebalanceo seleccionado
2023-04-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 13.3% | 13.3% | 0.00% | 4 | 4 |
| Communication Services | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Technology | 13.3% | 3.3% | 10.00% | 4 | 1 |
| Energy | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Financial Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Healthcare | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Industrials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |