Portfolio
lightgbmLGBM· rebalanceo 2023-10-31
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
0.29
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
22.14%
Short avg
18.96%
bajar = bueno para el short
Spread long − short
3.18%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MSCI | MSCI Inc. | Financial Services | 0.110 | 3.33% | 23.14% |
| 2 | GNRC | Generac Holdings Inc. | Industrials | 0.090 | 3.33% | 18.91% |
| 3 | MMM | 3M Company | Industrials | 0.085 | 3.33% | 6.23% |
| 4 | NOW | ServiceNow, Inc. | Technology | 0.080 | 3.33% | 27.49% |
| 5 | ADBE | Adobe Inc. | Technology | 0.077 | 3.33% | 15.34% |
| 6 | VRSK | Verisk Analytics, Inc. | Technology | 0.075 | 3.33% | 11.01% |
| 7 | AMD | Advanced Micro Devices, Inc. | Technology | 0.070 | 3.33% | 49.74% |
| 8 | ADSK | Autodesk, Inc. | Technology | 0.068 | 3.33% | 25.40% |
| 9 | FICO | Fair Isaac Corporation | Technology | 0.065 | 3.33% | 36.55% |
| 10 | DVA | DaVita Inc. | Healthcare | 0.064 | 3.33% | 36.19% |
| 11 | POOL | Pool Corporation | Industrials | 0.063 | 3.33% | 16.11% |
| 12 | FTNT | Fortinet, Inc. | Technology | 0.063 | 3.33% | 14.78% |
| 13 | IFF | International Flavors & Fragrances Inc. | Basic Materials | 0.062 | 3.33% | 18.73% |
| 14 | QCOM | QUALCOMM Incorporated | Technology | 0.062 | 3.33% | 25.14% |
| 15 | SWK | Stanley Black & Decker, Inc. | Industrials | 0.061 | 3.33% | 7.33% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | JPM | JPMorgan Chase & Co. | Financial Services | -0.144 | -3.33% | 23.53% |
| 2 | MTB | M&T Bank Corporation | Financial Services | -0.125 | -3.33% | 18.46% |
| 3 | VICI | VICI Properties Inc. | Real Estate | -0.123 | -3.33% | 10.52% |
| 4 | HBAN | Huntington Bancshares Incorporated | Financial Services | -0.104 | -3.33% | 27.99% |
| 5 | STT | State Street Corporation | Financial Services | -0.100 | -3.33% | 13.48% |
| 6 | C | Citigroup Inc. | Financial Services | -0.098 | -3.33% | 36.07% |
| 7 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.096 | -3.33% | 9.25% |
| 8 | WFC | Wells Fargo & Company | Financial Services | -0.095 | -3.33% | 23.17% |
| 9 | CTRA | — | Unknown | -0.094 | -3.33% | -10.76% |
| 10 | BAC | Bank of America Corporation | Financial Services | -0.090 | -3.33% | 24.52% |
| 11 | RJF | Raymond James Financial, Inc. | Financial Services | -0.087 | -3.33% | 16.19% |
| 12 | MS | Morgan Stanley | Financial Services | -0.086 | -3.33% | 21.68% |
| 13 | CMA | Comerica Incorporated | Financial Services | -0.085 | -3.33% | 27.95% |
| 14 | DAY | Dayforce Inc | Technology | -0.082 | -3.33% | 14.65% |
| 15 | PNC | The PNC Financial Services Group, Inc. | Financial Services | -0.081 | -3.33% | 27.69% |
Sector exposure en el rebalanceo seleccionado
2023-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 3.3% | 36.7% | -33.33% | 1 | 11 |
| Technology | 26.7% | 3.3% | 23.33% | 8 | 1 |
| Industrials | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Healthcare | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |