Portfolio
lightgbmLGBM dual tail macro· rebalanceo 2023-05-31
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
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
11.64%
Short avg
-0.46%
bajar = bueno para el short
Spread long − short
12.09%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LNC | Lincoln National Corporation | Financial Services | 0.265 | 3.33% | 19.54% |
| 2 | DISH | DISH Network Corporation | Communication Services | 0.265 | 3.33% | -4.56% |
| 3 | WDC | Western Digital Corporation | Technology | 0.265 | 3.33% | 14.37% |
| 4 | GNRC | Generac Holdings Inc. | Industrials | 0.265 | 3.33% | 4.52% |
| 5 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | 0.262 | 3.33% | 28.25% |
| 6 | ZION | Zions Bancorporation, National Association | Financial Services | 0.262 | 3.33% | 26.07% |
| 7 | CE | Celanese Corporation | Basic Materials | 0.262 | 3.33% | 18.03% |
| 8 | ZBRA | Zebra Technologies Corporation | Technology | 0.262 | 3.33% | 3.26% |
| 9 | MTCH | Match Group, Inc. | Communication Services | 0.262 | 3.33% | 20.95% |
| 10 | EPAM | EPAM Systems, Inc. | Technology | 0.259 | 3.33% | 0.41% |
| 11 | SYF | Synchrony Financial | Financial Services | 0.257 | 3.33% | 3.00% |
| 12 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.257 | 3.33% | 9.40% |
| 13 | NVDA | NVIDIA Corporation | Technology | 0.256 | 3.33% | 21.62% |
| 14 | META | Meta Platforms, Inc. | Communication Services | 0.256 | 3.33% | 8.19% |
| 15 | AAP | Advance Auto Parts, Inc. | Consumer Cyclical | 0.255 | 3.33% | 1.50% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MCD | McDonald's Corporation | Consumer Cyclical | 0.221 | -3.33% | -1.30% |
| 2 | HUM | Humana Inc. | Healthcare | 0.223 | -3.33% | -10.77% |
| 3 | MCK | McKesson Corporation | Healthcare | 0.221 | -3.33% | 5.91% |
| 4 | VICI | VICI Properties Inc. | Real Estate | 0.212 | -3.33% | 0.91% |
| 5 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | 0.227 | -3.33% | -0.73% |
| 6 | ILMN | Illumina, Inc. | Healthcare | 0.250 | -3.33% | -18.64% |
| 7 | BG | Bunge Global S.A. | Consumer Defensive | 0.236 | -3.33% | 23.38% |
| 8 | ENPH | Enphase Energy, Inc. | Energy | 0.241 | -3.33% | -36.06% |
| 9 | SEDG | SolarEdge Technologies, Inc. | Energy | 0.255 | -3.33% | -59.50% |
| 10 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.249 | -3.33% | 21.80% |
| 11 | COP | ConocoPhillips | Energy | 0.225 | -3.33% | 18.92% |
| 12 | HAL | Halliburton Company | Energy | 0.246 | -3.33% | 25.77% |
| 13 | UAL | United Airlines Holdings, Inc. | Industrials | 0.224 | -3.33% | 4.94% |
| 14 | HES | Hess Corporation | Energy | 0.222 | -3.33% | 18.32% |
| 15 | AAL | American Airlines Group Inc. | Industrials | 0.239 | -3.33% | 0.20% |
Sector exposure en el rebalanceo seleccionado
2023-05-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 10.0% | 10.0% | 0.00% | 3 | 3 |
| Energy | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Technology | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Communication Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Healthcare | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Industrials | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |