Portfolio
lightgbmLGBM no sector· 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
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-11.55%
Short avg
-3.56%
bajar = bueno para el short
Spread long − short
-7.99%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KEY | KeyCorp | Financial Services | 0.239 | 3.33% | 10.63% |
| 2 | LNC | Lincoln National Corporation | Financial Services | 0.232 | 3.33% | -5.63% |
| 3 | ZION | Zions Bancorporation, National Association | Financial Services | 0.210 | 3.33% | 18.58% |
| 4 | EPAM | EPAM Systems, Inc. | Technology | 0.182 | 3.33% | 10.57% |
| 5 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.179 | 3.33% | -6.85% |
| 6 | KMX | CarMax, Inc. | Consumer Cyclical | 0.177 | 3.33% | -16.39% |
| 7 | COF | Capital One Financial Corporation | Financial Services | 0.174 | 3.33% | -14.95% |
| 8 | IVZ | Invesco Ltd. | Financial Services | 0.149 | 3.33% | -17.50% |
| 9 | NWL | Newell Brands Inc. | Consumer Defensive | 0.129 | 3.33% | -2.82% |
| 10 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.124 | 3.33% | -20.08% |
| 11 | AAP | Advance Auto Parts, Inc. | Consumer Cyclical | 0.123 | 3.33% | -27.07% |
| 12 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.120 | 3.33% | -31.85% |
| 13 | GNRC | Generac Holdings Inc. | Industrials | 0.117 | 3.33% | -35.02% |
| 14 | ZBRA | Zebra Technologies Corporation | Technology | 0.116 | 3.33% | -23.75% |
| 15 | TFC | Truist Financial Corporation | Financial Services | 0.115 | 3.33% | -11.07% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.179 | -3.33% | -21.89% |
| 2 | HES | Hess Corporation | Energy | -0.173 | -3.33% | 8.44% |
| 3 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.156 | -3.33% | -32.98% |
| 4 | MCK | McKesson Corporation | Healthcare | -0.153 | -3.33% | 4.02% |
| 5 | WMB | The Williams Companies, Inc. | Energy | -0.148 | -3.33% | 1.96% |
| 6 | CTRA | — | Unknown | -0.148 | -3.33% | 5.21% |
| 7 | OXY | Occidental Petroleum Corporation | Energy | -0.140 | -3.33% | 5.37% |
| 8 | PSX | Phillips 66 | Energy | -0.139 | -3.33% | 22.78% |
| 9 | EQT | EQT Corporation | Energy | -0.135 | -3.33% | -3.63% |
| 10 | UAL | United Airlines Holdings, Inc. | Industrials | -0.133 | -3.33% | -27.98% |
| 11 | DVN | Devon Energy Corporation | Energy | -0.129 | -3.33% | -5.77% |
| 12 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.127 | -3.33% | -28.72% |
| 13 | CVX | Chevron Corporation | Energy | -0.126 | -3.33% | 6.72% |
| 14 | OKE | ONEOK, Inc. | Energy | -0.126 | -3.33% | 0.54% |
| 15 | COP | ConocoPhillips | Energy | -0.126 | -3.33% | 12.58% |
Sector exposure en el rebalanceo seleccionado
2023-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 30.0% | -30.00% | 0 | 9 |
| Financial Services | 23.3% | 0.0% | 23.33% | 7 | 0 |
| Consumer Cyclical | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Consumer Defensive | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Technology | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |