Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2023-09-29
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 44.3%
Short book
15
gross -55.7%
Sectores cubiertos
5
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
12.20%
Short avg
21.67%
bajar = bueno para el short
Spread long − short
-9.47%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NVDA | NVIDIA Corporation | Technology | 0.025 | 2.95% | 7.30% |
| 2 | NOW | ServiceNow, Inc. | Technology | 0.025 | 2.95% | 21.36% |
| 3 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.025 | 2.95% | 27.54% |
| 4 | FTNT | Fortinet, Inc. | Technology | 0.022 | 2.95% | -1.46% |
| 5 | AAL | American Airlines Group Inc. | Industrials | 0.021 | 2.95% | 5.27% |
| 6 | VLO | Valero Energy Corporation | Energy | 0.019 | 2.95% | -4.72% |
| 7 | AMD | Advanced Micro Devices, Inc. | Technology | 0.019 | 2.95% | 29.41% |
| 8 | CDNS | Cadence Design Systems, Inc. | Technology | 0.018 | 2.95% | 10.59% |
| 9 | ANSS | ANSYS, Inc. | Technology | 0.018 | 2.95% | 17.14% |
| 10 | INTU | Intuit Inc. | Technology | 0.018 | 2.95% | 15.53% |
| 11 | SNPS | Synopsys, Inc. | Technology | 0.018 | 2.95% | 7.30% |
| 12 | ADSK | Autodesk, Inc. | Technology | 0.018 | 2.95% | 11.35% |
| 13 | AEE | Ameren Corporation | Utilities | 0.016 | 2.95% | 4.76% |
| 14 | AXON | Axon Enterprise, Inc. | Industrials | 0.015 | 2.95% | 24.91% |
| 15 | AAPL | Apple Inc. | Technology | 0.014 | 2.95% | 6.75% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CMA | Comerica Incorporated | Financial Services | -0.032 | -3.72% | 35.26% |
| 2 | HBAN | Huntington Bancshares Incorporated | Financial Services | -0.032 | -3.72% | 26.07% |
| 3 | MTB | M&T Bank Corporation | Financial Services | -0.032 | -3.72% | 14.01% |
| 4 | WFC | Wells Fargo & Company | Financial Services | -0.025 | -3.72% | 22.83% |
| 5 | PNC | The PNC Financial Services Group, Inc. | Financial Services | -0.024 | -3.72% | 27.85% |
| 6 | JPM | JPMorgan Chase & Co. | Financial Services | -0.024 | -3.72% | 18.71% |
| 7 | DFS | Discover Financial Services | Financial Services | -0.021 | -3.72% | 22.06% |
| 8 | SCHW | The Charles Schwab Corporation | Financial Services | -0.020 | -3.72% | 25.95% |
| 9 | ICE | Intercontinental Exchange, Inc. | Financial Services | -0.020 | -3.72% | 15.00% |
| 10 | RJF | Raymond James Financial, Inc. | Financial Services | -0.020 | -3.72% | 13.93% |
| 11 | BAC | Bank of America Corporation | Financial Services | -0.019 | -3.72% | 24.68% |
| 12 | TFC | Truist Financial Corporation | Financial Services | -0.019 | -3.72% | 32.27% |
| 13 | AWK | American Water Works Company, Inc. | Utilities | -0.019 | -3.72% | 11.45% |
| 14 | STT | State Street Corporation | Financial Services | -0.018 | -3.72% | 16.98% |
| 15 | RF | Regions Financial Corporation | Financial Services | -0.018 | -3.72% | 17.98% |
Sector exposure en el rebalanceo seleccionado
2023-09-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 0.0% | 52.0% | -52.01% | 0 | 14 |
| Technology | 32.5% | 0.0% | 32.47% | 11 | 0 |
| Utilities | 3.0% | 3.7% | -0.76% | 1 | 1 |
| Industrials | 5.9% | 0.0% | 5.90% | 2 | 0 |
| Energy | 3.0% | 0.0% | 2.95% | 1 | 0 |