Portfolio
lightgbmLGBM dual tail macro· 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
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
27.11%
Short avg
13.64%
bajar = bueno para el short
Spread long − short
13.47%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | IFF | International Flavors & Fragrances Inc. | Basic Materials | 0.497 | 3.33% | 18.73% |
| 2 | HAS | Hasbro, Inc. | Consumer Cyclical | 0.483 | 3.33% | 9.80% |
| 3 | GNRC | Generac Holdings Inc. | Industrials | 0.472 | 3.33% | 18.91% |
| 4 | STX | Seagate Technology Holdings plc | Technology | 0.468 | 3.33% | 21.41% |
| 5 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.467 | 3.33% | 34.99% |
| 6 | CDNS | Cadence Design Systems, Inc. | Technology | 0.463 | 3.33% | 19.14% |
| 7 | PANW | Palo Alto Networks, Inc. | Technology | 0.459 | 3.33% | 34.30% |
| 8 | ENPH | Enphase Energy, Inc. | Energy | 0.459 | 3.33% | 28.23% |
| 9 | NVDA | NVIDIA Corporation | Technology | 0.458 | 3.33% | 44.67% |
| 10 | ANET | Arista Networks, Inc. | Technology | 0.456 | 3.33% | 25.88% |
| 11 | INTC | Intel Corporation | Technology | 0.455 | 3.33% | 13.64% |
| 12 | CTLT | Catalent, Inc. | Healthcare | 0.455 | 3.33% | 52.70% |
| 13 | NFLX | Netflix, Inc. | Communication Services | 0.454 | 3.33% | 29.54% |
| 14 | WDC | Western Digital Corporation | Technology | 0.453 | 3.33% | 33.16% |
| 15 | FMC | FMC Corporation | Basic Materials | 0.453 | 3.33% | 21.49% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | SEDG | SolarEdge Technologies, Inc. | Energy | 0.419 | -3.33% | -10.85% |
| 2 | RMD | ResMed Inc. | Healthcare | 0.436 | -3.33% | 26.83% |
| 3 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.340 | -3.33% | 30.32% |
| 4 | FSLR | First Solar, Inc. | Energy | 0.399 | -3.33% | -0.72% |
| 5 | ALB | Albemarle Corporation | Basic Materials | 0.429 | -3.33% | -7.06% |
| 6 | NEE | NextEra Energy, Inc. | Utilities | 0.311 | -3.33% | 0.31% |
| 7 | DXCM | DexCom, Inc. | Healthcare | 0.431 | -3.33% | 25.08% |
| 8 | PODD | Insulet Corporation | Healthcare | 0.452 | -3.33% | 34.27% |
| 9 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.371 | -3.33% | 37.46% |
| 10 | ON | ON Semiconductor Corporation | Technology | 0.420 | -3.33% | 8.84% |
| 11 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.386 | -3.33% | 1.67% |
| 12 | DAY | Dayforce Inc | Technology | 0.390 | -3.33% | 14.65% |
| 13 | ILMN | Illumina, Inc. | Healthcare | 0.443 | -3.33% | 30.16% |
| 14 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.415 | -3.33% | 22.64% |
| 15 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.437 | -3.33% | -9.03% |
Sector exposure en el rebalanceo seleccionado
2023-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 23.3% | 6.7% | 16.67% | 7 | 2 |
| Healthcare | 6.7% | 13.3% | -6.67% | 2 | 4 |
| Consumer Cyclical | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Basic Materials | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Energy | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Communication Services | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |