Portfolio
lightgbmLGBM no sector· 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
10
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-6.49%
Short avg
-2.42%
bajar = bueno para el short
Spread long − short
-4.06%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KEY | KeyCorp | Financial Services | 0.225 | 3.33% | 15.16% |
| 2 | VFC | V.F. Corporation | Consumer Cyclical | 0.222 | 3.33% | -10.66% |
| 3 | LNC | Lincoln National Corporation | Financial Services | 0.207 | 3.33% | -6.30% |
| 4 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.182 | 3.33% | -10.18% |
| 5 | COF | Capital One Financial Corporation | Financial Services | 0.180 | 3.33% | 10.17% |
| 6 | ZION | Zions Bancorporation, National Association | Financial Services | 0.167 | 3.33% | 6.21% |
| 7 | IVZ | Invesco Ltd. | Financial Services | 0.158 | 3.33% | -6.12% |
| 8 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.154 | 3.33% | -8.58% |
| 9 | KMX | CarMax, Inc. | Consumer Cyclical | 0.154 | 3.33% | -21.53% |
| 10 | SWK | Stanley Black & Decker, Inc. | Industrials | 0.140 | 3.33% | 0.19% |
| 11 | NWL | Newell Brands Inc. | Consumer Defensive | 0.127 | 3.33% | -26.83% |
| 12 | DXC | DXC Technology Company | Technology | 0.127 | 3.33% | 11.32% |
| 13 | EPAM | EPAM Systems, Inc. | Technology | 0.123 | 3.33% | 0.13% |
| 14 | GNRC | Generac Holdings Inc. | Industrials | 0.122 | 3.33% | 2.79% |
| 15 | ALGN | Align Technology, Inc. | Healthcare | 0.121 | 3.33% | -53.10% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ALB | Albemarle Corporation | Basic Materials | -0.159 | -3.33% | -45.99% |
| 2 | MCD | McDonald's Corporation | Consumer Cyclical | -0.157 | -3.33% | 2.37% |
| 3 | HES | Hess Corporation | Energy | -0.150 | -3.33% | -10.56% |
| 4 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.146 | -3.33% | 0.19% |
| 5 | UAL | United Airlines Holdings, Inc. | Industrials | -0.128 | -3.33% | -21.15% |
| 6 | MCK | McKesson Corporation | Healthcare | -0.125 | -3.33% | 12.08% |
| 7 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.120 | -3.33% | 3.99% |
| 8 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.116 | -3.33% | 0.12% |
| 9 | NEE | NextEra Energy, Inc. | Utilities | -0.113 | -3.33% | -11.42% |
| 10 | PCAR | PACCAR Inc | Industrials | -0.111 | -3.33% | 11.25% |
| 11 | VICI | VICI Properties Inc. | Real Estate | -0.109 | -3.33% | -0.26% |
| 12 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.108 | -3.33% | 0.02% |
| 13 | PCG | PG&E Corporation | Utilities | -0.107 | -3.33% | 5.87% |
| 14 | IBM | International Business Machines Corporation | Technology | -0.106 | -3.33% | 9.30% |
| 15 | OKE | ONEOK, Inc. | Energy | -0.103 | -3.33% | 7.84% |
Sector exposure en el rebalanceo seleccionado
2023-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 10.0% | 10.0% | 0.00% | 3 | 3 |
| Financial Services | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Industrials | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Healthcare | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Technology | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Consumer Defensive | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Utilities | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |