Portfolio
lightgbmLGBM dual tail macro· 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
9
30 posiciones
Sortino del run
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-6.26%
Short avg
-17.11%
bajar = bueno para el short
Spread long − short
10.85%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LNC | Lincoln National Corporation | Financial Services | 0.265 | 3.33% | -5.63% |
| 2 | KMX | CarMax, Inc. | Consumer Cyclical | 0.265 | 3.33% | -16.39% |
| 3 | MTCH | Match Group, Inc. | Communication Services | 0.265 | 3.33% | -10.72% |
| 4 | WDC | Western Digital Corporation | Technology | 0.265 | 3.33% | 16.59% |
| 5 | GNRC | Generac Holdings Inc. | Industrials | 0.265 | 3.33% | -35.02% |
| 6 | EPAM | EPAM Systems, Inc. | Technology | 0.265 | 3.33% | 10.57% |
| 7 | CMA | Comerica Incorporated | Financial Services | 0.262 | 3.33% | -7.29% |
| 8 | KEY | KeyCorp | Financial Services | 0.262 | 3.33% | 10.63% |
| 9 | ZION | Zions Bancorporation, National Association | Financial Services | 0.262 | 3.33% | 18.58% |
| 10 | SWK | Stanley Black & Decker, Inc. | Industrials | 0.262 | 3.33% | -12.76% |
| 11 | CE | Celanese Corporation | Basic Materials | 0.262 | 3.33% | 4.31% |
| 12 | ZBRA | Zebra Technologies Corporation | Technology | 0.262 | 3.33% | -23.75% |
| 13 | FCX | Freeport-McMoRan Inc. | Basic Materials | 0.261 | 3.33% | -10.29% |
| 14 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.259 | 3.33% | -20.08% |
| 15 | VFC | V.F. Corporation | Consumer Cyclical | 0.258 | 3.33% | -12.71% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VICI | VICI Properties Inc. | Real Estate | 0.215 | -3.33% | -9.18% |
| 2 | MCD | McDonald's Corporation | Consumer Cyclical | 0.221 | -3.33% | -12.91% |
| 3 | MCK | McKesson Corporation | Healthcare | 0.221 | -3.33% | 4.02% |
| 4 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | 0.237 | -3.33% | -24.50% |
| 5 | ILMN | Illumina, Inc. | Healthcare | 0.237 | -3.33% | -32.12% |
| 6 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.242 | -3.33% | -32.98% |
| 7 | DLR | Digital Realty Trust, Inc. | Real Estate | 0.246 | -3.33% | 3.51% |
| 8 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.249 | -3.33% | -28.72% |
| 9 | SEDG | SolarEdge Technologies, Inc. | Energy | 0.255 | -3.33% | -79.14% |
| 10 | COP | ConocoPhillips | Energy | 0.225 | -3.33% | 12.58% |
| 11 | HAL | Halliburton Company | Energy | 0.246 | -3.33% | 17.17% |
| 12 | ENPH | Enphase Energy, Inc. | Energy | 0.241 | -3.33% | -37.23% |
| 13 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.249 | -3.33% | -10.63% |
| 14 | AAL | American Airlines Group Inc. | Industrials | 0.237 | -3.33% | -35.04% |
| 15 | HES | Hess Corporation | Energy | 0.222 | -3.33% | 8.44% |
Sector exposure en el rebalanceo seleccionado
2023-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 10.0% | 16.7% | -6.67% | 3 | 5 |
| Energy | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Financial Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Industrials | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Technology | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Healthcare | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Real Estate | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |