Portfolio
lightgbmLGBM macro· 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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
8
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
6.60%
Short avg
14.85%
bajar = bueno para el short
Spread long − short
-8.25%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | T | AT&T Inc. | Communication Services | 0.020 | 3.33% | 18.11% |
| 2 | CF | CF Industries Holdings, Inc. | Basic Materials | 0.020 | 3.33% | -2.03% |
| 3 | VRSN | VeriSign, Inc. | Technology | 0.020 | 3.33% | -0.39% |
| 4 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.018 | 3.33% | 10.83% |
| 5 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.018 | 3.33% | 23.71% |
| 6 | CVS | CVS Health Corporation | Healthcare | 0.018 | 3.33% | 15.72% |
| 7 | CPB | Campbell Soup Company | Consumer Defensive | 0.018 | 3.33% | 13.40% |
| 8 | AMGN | Amgen Inc. | Healthcare | 0.018 | 3.33% | 11.82% |
| 9 | LLY | Eli Lilly and Company | Healthcare | 0.018 | 3.33% | 9.73% |
| 10 | MRK | Merck & Co., Inc. | Healthcare | 0.018 | 3.33% | 10.64% |
| 11 | JNJ | Johnson & Johnson | Healthcare | 0.018 | 3.33% | 3.86% |
| 12 | GIS | General Mills, Inc. | Consumer Defensive | 0.018 | 3.33% | 7.40% |
| 13 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.018 | 3.33% | -12.62% |
| 14 | BMY | Bristol-Myers Squibb Company | Healthcare | 0.018 | 3.33% | -8.20% |
| 15 | HSY | The Hershey Company | Consumer Defensive | 0.018 | 3.33% | -2.96% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BLK | BlackRock, Inc. | Financial Services | -0.024 | -3.33% | 22.54% |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | -0.024 | -3.33% | 4.84% |
| 3 | PNR | Pentair plc | Industrials | -0.024 | -3.33% | 11.31% |
| 4 | ZION | Zions Bancorporation, National Association | Financial Services | -0.017 | -3.33% | 28.78% |
| 5 | POOL | Pool Corporation | Industrials | -0.017 | -3.33% | 10.97% |
| 6 | ON | ON Semiconductor Corporation | Technology | -0.017 | -3.33% | -13.66% |
| 7 | AAPL | Apple Inc. | Technology | -0.017 | -3.33% | 6.75% |
| 8 | EFX | Equifax Inc. | Industrials | -0.017 | -3.33% | 29.50% |
| 9 | BEN | Franklin Resources, Inc. | Financial Services | -0.017 | -3.33% | 19.04% |
| 10 | URI | United Rentals, Inc. | Industrials | -0.017 | -3.33% | 26.32% |
| 11 | ALB | Albemarle Corporation | Basic Materials | -0.017 | -3.33% | -9.76% |
| 12 | TROW | T. Rowe Price Group, Inc. | Financial Services | -0.017 | -3.33% | 4.31% |
| 13 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.017 | -3.33% | 14.24% |
| 14 | CMA | Comerica Incorporated | Financial Services | -0.017 | -3.33% | 35.26% |
| 15 | TFC | Truist Financial Corporation | Financial Services | -0.017 | -3.33% | 32.27% |
Sector exposure en el rebalanceo seleccionado
2023-09-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 0.0% | 23.3% | -23.33% | 0 | 7 |
| Healthcare | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Consumer Defensive | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Industrials | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Basic Materials | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Technology | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Consumer Cyclical | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |