Portfolio
lightgbmLGBM dual tail· rebalanceo 2023-07-31
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
9
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-23.91%
Short avg
-35.10%
bajar = bueno para el short
Spread long − short
11.19%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ZION | Zions Bancorporation, National Association | Financial Services | 0.238 | 3.33% | -20.15% |
| 2 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.238 | 3.33% | -30.58% |
| 3 | KEY | KeyCorp | Financial Services | 0.238 | 3.33% | -15.50% |
| 4 | LNC | Lincoln National Corporation | Financial Services | 0.238 | 3.33% | -25.77% |
| 5 | CMA | Comerica Incorporated | Financial Services | 0.235 | 3.33% | -29.03% |
| 6 | MOS | The Mosaic Company | Basic Materials | 0.235 | 3.33% | -17.85% |
| 7 | AAP | Advance Auto Parts, Inc. | Consumer Cyclical | 0.235 | 3.33% | -35.70% |
| 8 | NTRS | Northern Trust Corporation | Financial Services | 0.235 | 3.33% | -19.87% |
| 9 | TSN | Tyson Foods, Inc. | Consumer Defensive | 0.235 | 3.33% | -16.98% |
| 10 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.235 | 3.33% | -28.50% |
| 11 | FITB | Fifth Third Bancorp | Financial Services | 0.235 | 3.33% | -19.45% |
| 12 | MTCH | Match Group, Inc. | Communication Services | 0.233 | 3.33% | -30.44% |
| 13 | BXP | BXP, Inc. | Real Estate | 0.232 | 3.33% | -17.70% |
| 14 | MTB | M&T Bank Corporation | Financial Services | 0.232 | 3.33% | -20.31% |
| 15 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.232 | 3.33% | -30.90% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MCK | McKesson Corporation | Healthcare | 0.210 | -3.33% | 10.55% |
| 2 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | 0.209 | -3.33% | -12.95% |
| 3 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.227 | -3.33% | 0.77% |
| 4 | SEDG | SolarEdge Technologies, Inc. | Energy | 0.230 | -3.33% | -116.04% |
| 5 | ENPH | Enphase Energy, Inc. | Energy | 0.223 | -3.33% | -64.76% |
| 6 | TECH | Bio-Techne Corporation | Healthcare | 0.222 | -3.33% | -37.02% |
| 7 | ALGN | Align Technology, Inc. | Healthcare | 0.226 | -3.33% | -70.15% |
| 8 | MRNA | Moderna, Inc. | Healthcare | 0.227 | -3.33% | -43.07% |
| 9 | FSLR | First Solar, Inc. | Energy | 0.219 | -3.33% | -39.66% |
| 10 | ALB | Albemarle Corporation | Basic Materials | 0.212 | -3.33% | -48.80% |
| 11 | PAYC | Paycom Software, Inc. | Technology | 0.227 | -3.33% | -43.34% |
| 12 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.223 | -3.33% | -24.03% |
| 13 | CTLT | Catalent, Inc. | Healthcare | 0.224 | -3.33% | -15.28% |
| 14 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | 0.219 | -3.33% | -21.06% |
| 15 | SLB | SLB N.V. | Energy | 0.215 | -3.33% | -1.69% |
Sector exposure en el rebalanceo seleccionado
2023-07-31| 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 |
| Basic Materials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Communication Services | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Consumer Defensive | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Technology | 0.0% | 3.3% | -3.33% | 0 | 1 |