Portfolio
lightgbmLGBM 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
7
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-11.20%
Short avg
-21.54%
bajar = bueno para el short
Spread long − short
10.34%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MDLZ | Mondelez International, Inc. | Consumer Defensive | 0.027 | 3.33% | -11.34% |
| 2 | PM | Philip Morris International Inc. | Consumer Defensive | 0.027 | 3.33% | -8.06% |
| 3 | SJM | The J. M. Smucker Company | Consumer Defensive | 0.027 | 3.33% | -26.79% |
| 4 | INCY | Incyte Corporation | Healthcare | 0.027 | 3.33% | -19.97% |
| 5 | AMGN | Amgen Inc. | Healthcare | 0.027 | 3.33% | 13.36% |
| 6 | CAG | Conagra Brands, Inc. | Consumer Defensive | 0.027 | 3.33% | -17.93% |
| 7 | JNJ | Johnson & Johnson | Healthcare | 0.027 | 3.33% | -13.14% |
| 8 | ROL | Rollins, Inc. | Consumer Cyclical | 0.027 | 3.33% | -9.44% |
| 9 | K | Kellanova | Consumer Defensive | 0.027 | 3.33% | -20.32% |
| 10 | REGN | Regeneron Pharmaceuticals, Inc. | Healthcare | 0.027 | 3.33% | 5.09% |
| 11 | KMB | Kimberly-Clark Corporation | Consumer Defensive | 0.027 | 3.33% | -6.70% |
| 12 | BMY | Bristol-Myers Squibb Company | Healthcare | 0.027 | 3.33% | -17.28% |
| 13 | KO | The Coca-Cola Company | Consumer Defensive | 0.027 | 3.33% | -8.75% |
| 14 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.027 | 3.33% | -22.74% |
| 15 | PG | The Procter & Gamble Company | Consumer Defensive | 0.027 | 3.33% | -3.95% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PNR | Pentair plc | Industrials | -0.024 | -3.33% | -17.09% |
| 2 | KLAC | KLA Corporation | Technology | -0.024 | -3.33% | -10.98% |
| 3 | BLK | BlackRock, Inc. | Financial Services | -0.024 | -3.33% | -18.02% |
| 4 | PYPL | PayPal Holdings, Inc. | Financial Services | -0.024 | -3.33% | -39.17% |
| 5 | TROW | T. Rowe Price Group, Inc. | Financial Services | -0.017 | -3.33% | -28.53% |
| 6 | CE | Celanese Corporation | Basic Materials | -0.017 | -3.33% | -8.67% |
| 7 | URI | United Rentals, Inc. | Industrials | -0.017 | -3.33% | -13.97% |
| 8 | BEN | Franklin Resources, Inc. | Financial Services | -0.017 | -3.33% | -23.37% |
| 9 | EFX | Equifax Inc. | Industrials | -0.017 | -3.33% | -20.75% |
| 10 | KEY | KeyCorp | Financial Services | -0.017 | -3.33% | -15.50% |
| 11 | LRCX | Lam Research Corporation | Technology | -0.017 | -3.33% | -20.15% |
| 12 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.017 | -3.33% | -24.71% |
| 13 | ALB | Albemarle Corporation | Basic Materials | -0.017 | -3.33% | -48.80% |
| 14 | POOL | Pool Corporation | Industrials | -0.017 | -3.33% | -19.82% |
| 15 | TFC | Truist Financial Corporation | Financial Services | -0.017 | -3.33% | -13.50% |
Sector exposure en el rebalanceo seleccionado
2023-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Defensive | 30.0% | 0.0% | 30.00% | 9 | 0 |
| Financial Services | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Healthcare | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Industrials | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Basic Materials | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Technology | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Cyclical | 3.3% | 0.0% | 3.33% | 1 | 0 |