Portfolio
lightgbmLGBM dual tail macro· 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
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-31.42%
Short avg
-26.80%
bajar = bueno para el short
Spread long − short
-4.62%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LNC | Lincoln National Corporation | Financial Services | 0.265 | 3.33% | -25.77% |
| 2 | MTCH | Match Group, Inc. | Communication Services | 0.265 | 3.33% | -30.44% |
| 3 | GNRC | Generac Holdings Inc. | Industrials | 0.265 | 3.33% | -62.33% |
| 4 | CMA | Comerica Incorporated | Financial Services | 0.262 | 3.33% | -29.03% |
| 5 | ZION | Zions Bancorporation, National Association | Financial Services | 0.262 | 3.33% | -20.15% |
| 6 | KEY | KeyCorp | Financial Services | 0.262 | 3.33% | -15.50% |
| 7 | ZBRA | Zebra Technologies Corporation | Technology | 0.262 | 3.33% | -19.43% |
| 8 | FCX | Freeport-McMoRan Inc. | Basic Materials | 0.261 | 3.33% | -24.71% |
| 9 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.259 | 3.33% | -30.58% |
| 10 | CE | Celanese Corporation | Basic Materials | 0.259 | 3.33% | -8.67% |
| 11 | SWK | Stanley Black & Decker, Inc. | Industrials | 0.259 | 3.33% | -20.20% |
| 12 | VFC | V.F. Corporation | Consumer Cyclical | 0.258 | 3.33% | -10.85% |
| 13 | KMX | CarMax, Inc. | Consumer Cyclical | 0.258 | 3.33% | -32.63% |
| 14 | SEDG | SolarEdge Technologies, Inc. | Energy | 0.258 | 3.33% | -116.04% |
| 15 | IVZ | Invesco Ltd. | Financial Services | 0.257 | 3.33% | -24.94% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MCD | McDonald's Corporation | Consumer Cyclical | 0.221 | -3.33% | -10.70% |
| 2 | MCK | McKesson Corporation | Healthcare | 0.221 | -3.33% | 10.55% |
| 3 | ILMN | Illumina, Inc. | Healthcare | 0.243 | -3.33% | -56.24% |
| 4 | DLR | Digital Realty Trust, Inc. | Real Estate | 0.246 | -3.33% | -0.11% |
| 5 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.242 | -3.33% | -45.62% |
| 6 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.249 | -3.33% | -36.16% |
| 7 | ENPH | Enphase Energy, Inc. | Energy | 0.246 | -3.33% | -64.76% |
| 8 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | 0.229 | -3.33% | -21.06% |
| 9 | HES | Hess Corporation | Energy | 0.222 | -3.33% | -4.07% |
| 10 | AAL | American Airlines Group Inc. | Industrials | 0.237 | -3.33% | -37.27% |
| 11 | UAL | United Airlines Holdings, Inc. | Industrials | 0.222 | -3.33% | -42.56% |
| 12 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.238 | -3.33% | -22.42% |
| 13 | LYV | Live Nation Entertainment, Inc. | Communication Services | 0.253 | -3.33% | -10.27% |
| 14 | DAL | Delta Air Lines, Inc. | Industrials | 0.222 | -3.33% | -37.14% |
| 15 | ADI | Analog Devices, Inc. | Technology | 0.230 | -3.33% | -24.19% |
Sector exposure en el rebalanceo seleccionado
2023-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 10.0% | 16.7% | -6.67% | 3 | 5 |
| Financial Services | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Industrials | 6.7% | 10.0% | -3.33% | 2 | 3 |
| Energy | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Communication Services | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Healthcare | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Technology | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |