Portfolio
lightgbmLGBM dual tail· rebalanceo 2023-06-30
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
-6.96%
Short avg
-16.46%
bajar = bueno para el short
Spread long − short
9.50%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KEY | KeyCorp | Financial Services | 0.238 | 3.33% | 10.63% |
| 2 | LNC | Lincoln National Corporation | Financial Services | 0.238 | 3.33% | -5.63% |
| 3 | ZION | Zions Bancorporation, National Association | Financial Services | 0.238 | 3.33% | 18.58% |
| 4 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.238 | 3.33% | -20.08% |
| 5 | CMA | Comerica Incorporated | Financial Services | 0.235 | 3.33% | -7.29% |
| 6 | TSN | Tyson Foods, Inc. | Consumer Defensive | 0.235 | 3.33% | -4.21% |
| 7 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.235 | 3.33% | -1.03% |
| 8 | MOS | The Mosaic Company | Basic Materials | 0.235 | 3.33% | -1.54% |
| 9 | FITB | Fifth Third Bancorp | Financial Services | 0.235 | 3.33% | -7.37% |
| 10 | AAP | Advance Auto Parts, Inc. | Consumer Cyclical | 0.235 | 3.33% | -27.07% |
| 11 | MTCH | Match Group, Inc. | Communication Services | 0.233 | 3.33% | -10.72% |
| 12 | NWL | Newell Brands Inc. | Consumer Defensive | 0.232 | 3.33% | -2.82% |
| 13 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.232 | 3.33% | -31.85% |
| 14 | TFC | Truist Financial Corporation | Financial Services | 0.232 | 3.33% | -11.07% |
| 15 | USB | U.S. Bancorp | Financial Services | 0.232 | 3.33% | -2.91% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MCK | McKesson Corporation | Healthcare | 0.210 | -3.33% | 4.02% |
| 2 | SEDG | SolarEdge Technologies, Inc. | Energy | 0.227 | -3.33% | -79.14% |
| 3 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.223 | -3.33% | -0.59% |
| 4 | FSLR | First Solar, Inc. | Energy | 0.224 | -3.33% | -20.23% |
| 5 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | 0.209 | -3.33% | -6.09% |
| 6 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.219 | -3.33% | -10.63% |
| 7 | TECH | Bio-Techne Corporation | Healthcare | 0.221 | -3.33% | -18.82% |
| 8 | ENPH | Enphase Energy, Inc. | Energy | 0.206 | -3.33% | -37.23% |
| 9 | MRNA | Moderna, Inc. | Healthcare | 0.221 | -3.33% | -16.41% |
| 10 | ALGN | Align Technology, Inc. | Healthcare | 0.226 | -3.33% | -13.94% |
| 11 | PAYC | Paycom Software, Inc. | Technology | 0.227 | -3.33% | -20.50% |
| 12 | ALB | Albemarle Corporation | Basic Materials | 0.212 | -3.33% | -34.25% |
| 13 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.223 | -3.33% | -10.01% |
| 14 | CTLT | Catalent, Inc. | Healthcare | 0.224 | -3.33% | 0.65% |
| 15 | SLB | SLB N.V. | Energy | 0.215 | -3.33% | 16.23% |
Sector exposure en el rebalanceo seleccionado
2023-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 26.7% | 0.0% | 26.67% | 8 | 0 |
| Consumer Cyclical | 6.7% | 10.0% | -3.33% | 2 | 3 |
| Healthcare | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Energy | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Consumer Defensive | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Basic Materials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Communication Services | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Technology | 0.0% | 3.3% | -3.33% | 0 | 1 |