Portfolio
lightgbmLGBM· rebalanceo 2023-08-31
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
6
30 posiciones
Sortino del run
0.29
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
7.61%
Short avg
1.62%
bajar = bueno para el short
Spread long − short
5.99%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AMD | Advanced Micro Devices, Inc. | Technology | 0.024 | 3.33% | 10.35% |
| 2 | INTU | Intuit Inc. | Technology | 0.024 | 3.33% | 4.57% |
| 3 | ADSK | Autodesk, Inc. | Technology | 0.024 | 3.33% | 2.21% |
| 4 | SNPS | Synopsys, Inc. | Technology | 0.024 | 3.33% | 17.03% |
| 5 | NVDA | NVIDIA Corporation | Technology | 0.024 | 3.33% | -3.63% |
| 6 | CDNS | Cadence Design Systems, Inc. | Technology | 0.024 | 3.33% | 10.44% |
| 7 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.024 | 3.33% | 6.63% |
| 8 | ANSS | ANSYS, Inc. | Technology | 0.024 | 3.33% | -7.67% |
| 9 | NOW | ServiceNow, Inc. | Technology | 0.024 | 3.33% | 15.62% |
| 10 | ADBE | Adobe Inc. | Technology | 0.024 | 3.33% | 8.38% |
| 11 | FICO | Fair Isaac Corporation | Technology | 0.020 | 3.33% | 22.94% |
| 12 | MSCI | MSCI Inc. | Financial Services | 0.017 | 3.33% | -2.28% |
| 13 | AEE | Ameren Corporation | Utilities | 0.016 | 3.33% | 1.45% |
| 14 | CRM | Salesforce, Inc. | Technology | 0.016 | 3.33% | 16.01% |
| 15 | TRV | The Travelers Companies, Inc. | Financial Services | 0.015 | 3.33% | 12.07% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | SLB | SLB N.V. | Energy | -0.034 | -3.33% | -13.33% |
| 2 | AWK | American Water Works Company, Inc. | Utilities | -0.032 | -3.33% | -2.79% |
| 3 | MTB | M&T Bank Corporation | Financial Services | -0.032 | -3.33% | 6.40% |
| 4 | HBAN | Huntington Bancshares Incorporated | Financial Services | -0.032 | -3.33% | 5.94% |
| 5 | SCHW | The Charles Schwab Corporation | Financial Services | -0.032 | -3.33% | 4.76% |
| 6 | CMA | Comerica Incorporated | Financial Services | -0.032 | -3.33% | 0.58% |
| 7 | BG | Bunge Global S.A. | Consumer Defensive | -0.028 | -3.33% | -4.56% |
| 8 | IDXX | IDEXX Laboratories, Inc. | Healthcare | -0.025 | -3.33% | -5.77% |
| 9 | WFC | Wells Fargo & Company | Financial Services | -0.025 | -3.33% | 8.65% |
| 10 | KR | The Kroger Co. | Consumer Defensive | -0.024 | -3.33% | -2.41% |
| 11 | JPM | JPMorgan Chase & Co. | Financial Services | -0.024 | -3.33% | 7.34% |
| 12 | PNC | The PNC Financial Services Group, Inc. | Financial Services | -0.024 | -3.33% | 14.18% |
| 13 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.023 | -3.33% | 9.78% |
| 14 | TRGP | Targa Resources Corp. | Energy | -0.023 | -3.33% | 3.55% |
| 15 | BKR | Baker Hughes Company | Energy | -0.023 | -3.33% | -7.98% |
Sector exposure en el rebalanceo seleccionado
2023-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 40.0% | 0.0% | 40.00% | 12 | 0 |
| Financial Services | 6.7% | 23.3% | -16.67% | 2 | 7 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Energy | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Utilities | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |