Portfolio
lightgbmLGBM macro· 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
7
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-2.09%
Short avg
-6.00%
bajar = bueno para el short
Spread long − short
3.91%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MKC | McCormick & Company, Incorporated | Consumer Defensive | 0.027 | 3.33% | -19.22% |
| 2 | ROL | Rollins, Inc. | Consumer Cyclical | 0.027 | 3.33% | 4.23% |
| 3 | KMB | Kimberly-Clark Corporation | Consumer Defensive | 0.027 | 3.33% | -1.78% |
| 4 | KO | The Coca-Cola Company | Consumer Defensive | 0.027 | 3.33% | 0.46% |
| 5 | BMY | Bristol-Myers Squibb Company | Healthcare | 0.027 | 3.33% | -20.34% |
| 6 | LLY | Eli Lilly and Company | Healthcare | 0.027 | 3.33% | 4.91% |
| 7 | MDLZ | Mondelez International, Inc. | Consumer Defensive | 0.027 | 3.33% | 2.23% |
| 8 | CVS | CVS Health Corporation | Healthcare | 0.027 | 3.33% | 5.03% |
| 9 | MO | Altria Group, Inc. | Consumer Defensive | 0.027 | 3.33% | -1.27% |
| 10 | MOH | Molina Healthcare, Inc. | Healthcare | 0.027 | 3.33% | 15.58% |
| 11 | MRK | Merck & Co., Inc. | Healthcare | 0.027 | 3.33% | -5.29% |
| 12 | AZO | AutoZone, Inc. | Consumer Cyclical | 0.027 | 3.33% | 3.83% |
| 13 | ORLY | O'Reilly Automotive, Inc. | Consumer Cyclical | 0.027 | 3.33% | 3.44% |
| 14 | PEP | PepsiCo, Inc. | Consumer Defensive | 0.027 | 3.33% | -3.10% |
| 15 | PFE | Pfizer Inc. | Healthcare | 0.027 | 3.33% | -20.00% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PNR | Pentair plc | Industrials | -0.024 | -3.33% | -6.45% |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | -0.024 | -3.33% | -6.35% |
| 3 | BLK | BlackRock, Inc. | Financial Services | -0.024 | -3.33% | 7.58% |
| 4 | LRCX | Lam Research Corporation | Technology | -0.024 | -3.33% | 3.12% |
| 5 | BEN | Franklin Resources, Inc. | Financial Services | -0.017 | -3.33% | -3.52% |
| 6 | ALB | Albemarle Corporation | Basic Materials | -0.017 | -3.33% | -45.99% |
| 7 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.017 | -3.33% | -5.18% |
| 8 | KEY | KeyCorp | Financial Services | -0.017 | -3.33% | 15.16% |
| 9 | TROW | T. Rowe Price Group, Inc. | Financial Services | -0.017 | -3.33% | -8.58% |
| 10 | LNC | Lincoln National Corporation | Financial Services | -0.017 | -3.33% | -6.30% |
| 11 | EFX | Equifax Inc. | Industrials | -0.017 | -3.33% | 7.50% |
| 12 | ON | ON Semiconductor Corporation | Technology | -0.017 | -3.33% | -29.27% |
| 13 | CMA | Comerica Incorporated | Financial Services | -0.017 | -3.33% | 0.58% |
| 14 | URI | United Rentals, Inc. | Industrials | -0.017 | -3.33% | 2.49% |
| 15 | FTNT | Fortinet, Inc. | Technology | -0.017 | -3.33% | -14.81% |
Sector exposure en el rebalanceo seleccionado
2023-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 0.0% | 23.3% | -23.33% | 0 | 7 |
| Consumer Defensive | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Healthcare | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Consumer Cyclical | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Industrials | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Technology | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |