Portfolio
lightgbmLGBM dual tail· 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
8
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-2.06%
Short avg
-17.24%
bajar = bueno para el short
Spread long − short
15.18%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KEY | KeyCorp | Financial Services | 0.238 | 3.33% | 15.16% |
| 2 | LNC | Lincoln National Corporation | Financial Services | 0.238 | 3.33% | -6.30% |
| 3 | VFC | V.F. Corporation | Consumer Cyclical | 0.238 | 3.33% | -10.66% |
| 4 | ZION | Zions Bancorporation, National Association | Financial Services | 0.235 | 3.33% | 6.21% |
| 5 | CMA | Comerica Incorporated | Financial Services | 0.235 | 3.33% | 0.58% |
| 6 | MOS | The Mosaic Company | Basic Materials | 0.235 | 3.33% | -7.17% |
| 7 | MTB | M&T Bank Corporation | Financial Services | 0.235 | 3.33% | 6.40% |
| 8 | FITB | Fifth Third Bancorp | Financial Services | 0.235 | 3.33% | 13.69% |
| 9 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | 0.235 | 3.33% | -9.62% |
| 10 | NTRS | Northern Trust Corporation | Financial Services | 0.235 | 3.33% | 4.79% |
| 11 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.235 | 3.33% | 1.48% |
| 12 | SEE | Sealed Air Corporation | Consumer Cyclical | 0.232 | 3.33% | -7.90% |
| 13 | TFC | Truist Financial Corporation | Financial Services | 0.232 | 3.33% | 9.08% |
| 14 | NWL | Newell Brands Inc. | Consumer Defensive | 0.232 | 3.33% | -26.83% |
| 15 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.232 | 3.33% | -19.81% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MCK | McKesson Corporation | Healthcare | 0.213 | -3.33% | 12.08% |
| 2 | TECH | Bio-Techne Corporation | Healthcare | 0.219 | -3.33% | -19.74% |
| 3 | ENPH | Enphase Energy, Inc. | Energy | 0.223 | -3.33% | -18.94% |
| 4 | NFLX | Netflix, Inc. | Communication Services | 0.227 | -3.33% | 5.70% |
| 5 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.227 | -3.33% | 6.25% |
| 6 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.222 | -3.33% | -5.77% |
| 7 | SEDG | SolarEdge Technologies, Inc. | Energy | 0.226 | -3.33% | -67.47% |
| 8 | MCD | McDonald's Corporation | Consumer Cyclical | 0.208 | -3.33% | 2.37% |
| 9 | MRNA | Moderna, Inc. | Healthcare | 0.227 | -3.33% | -34.36% |
| 10 | FSLR | First Solar, Inc. | Energy | 0.219 | -3.33% | -15.07% |
| 11 | PAYC | Paycom Software, Inc. | Technology | 0.226 | -3.33% | -46.31% |
| 12 | ALB | Albemarle Corporation | Basic Materials | 0.224 | -3.33% | -45.99% |
| 13 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.223 | -3.33% | 24.01% |
| 14 | MTCH | Match Group, Inc. | Communication Services | 0.230 | -3.33% | -32.99% |
| 15 | CTLT | Catalent, Inc. | Healthcare | 0.224 | -3.33% | -22.34% |
Sector exposure en el rebalanceo seleccionado
2023-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 30.0% | 0.0% | 30.00% | 9 | 0 |
| Healthcare | 3.3% | 16.7% | -13.33% | 1 | 5 |
| Consumer Cyclical | 6.7% | 10.0% | -3.33% | 2 | 3 |
| Energy | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Defensive | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Technology | 0.0% | 3.3% | -3.33% | 0 | 1 |