Portfolio
lightgbmLGBM 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
7
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
19.83%
Short avg
20.36%
bajar = bueno para el short
Spread long − short
-0.53%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MSCI | MSCI Inc. | Financial Services | 0.091 | 3.33% | 23.14% |
| 2 | VRSK | Verisk Analytics, Inc. | Technology | 0.076 | 3.33% | 11.01% |
| 3 | NVDA | NVIDIA Corporation | Technology | 0.074 | 3.33% | 44.67% |
| 4 | SNPS | Synopsys, Inc. | Technology | 0.069 | 3.33% | 14.95% |
| 5 | CDNS | Cadence Design Systems, Inc. | Technology | 0.068 | 3.33% | 19.14% |
| 6 | ADSK | Autodesk, Inc. | Technology | 0.066 | 3.33% | 25.40% |
| 7 | ADBE | Adobe Inc. | Technology | 0.065 | 3.33% | 15.34% |
| 8 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.062 | 3.33% | 33.28% |
| 9 | NOW | ServiceNow, Inc. | Technology | 0.062 | 3.33% | 27.49% |
| 10 | BSX | Boston Scientific Corporation | Healthcare | 0.061 | 3.33% | 22.00% |
| 11 | INTU | Intuit Inc. | Technology | 0.060 | 3.33% | 26.96% |
| 12 | ADM | Archer-Daniels-Midland Company | Consumer Defensive | 0.059 | 3.33% | -24.19% |
| 13 | MRK | Merck & Co., Inc. | Healthcare | 0.058 | 3.33% | 21.35% |
| 14 | KLAC | KLA Corporation | Technology | 0.057 | 3.33% | 24.03% |
| 15 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.057 | 3.33% | 12.90% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | -0.083 | -3.33% | 36.07% |
| 2 | BG | Bunge Global S.A. | Consumer Defensive | -0.077 | -3.33% | -15.28% |
| 3 | IBM | International Business Machines Corporation | Technology | -0.077 | -3.33% | 25.63% |
| 4 | JPM | JPMorgan Chase & Co. | Financial Services | -0.075 | -3.33% | 23.53% |
| 5 | MS | Morgan Stanley | Financial Services | -0.073 | -3.33% | 21.68% |
| 6 | VZ | Verizon Communications Inc. | Communication Services | -0.068 | -3.33% | 19.08% |
| 7 | BAC | Bank of America Corporation | Financial Services | -0.064 | -3.33% | 24.52% |
| 8 | WFC | Wells Fargo & Company | Financial Services | -0.062 | -3.33% | 23.17% |
| 9 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.062 | -3.33% | 9.25% |
| 10 | PNC | The PNC Financial Services Group, Inc. | Financial Services | -0.061 | -3.33% | 27.69% |
| 11 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.060 | -3.33% | 30.32% |
| 12 | PCAR | PACCAR Inc | Industrials | -0.059 | -3.33% | 25.16% |
| 13 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | -0.058 | -3.33% | 9.51% |
| 14 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.058 | -3.33% | 36.99% |
| 15 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.057 | -3.33% | 8.13% |
Sector exposure en el rebalanceo seleccionado
2023-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 33.3% | 3.3% | 30.00% | 10 | 1 |
| Financial Services | 3.3% | 20.0% | -16.67% | 1 | 6 |
| Consumer Cyclical | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Defensive | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Healthcare | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |