Portfolio
lightgbmLGBM no sector· 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
10
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
14.95%
Short avg
16.06%
bajar = bueno para el short
Spread long − short
-1.11%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | GNRC | Generac Holdings Inc. | Industrials | 0.102 | 3.33% | 18.91% |
| 2 | POOL | Pool Corporation | Industrials | 0.089 | 3.33% | 16.11% |
| 3 | CDNS | Cadence Design Systems, Inc. | Technology | 0.089 | 3.33% | 19.14% |
| 4 | MRNA | Moderna, Inc. | Healthcare | 0.087 | 3.33% | 24.65% |
| 5 | MOS | The Mosaic Company | Basic Materials | 0.086 | 3.33% | -3.95% |
| 6 | WHR | Whirlpool Corporation | Consumer Cyclical | 0.081 | 3.33% | 7.03% |
| 7 | BX | Blackstone Inc. | Financial Services | 0.080 | 3.33% | 27.94% |
| 8 | MOH | Molina Healthcare, Inc. | Healthcare | 0.079 | 3.33% | 5.22% |
| 9 | FCX | Freeport-McMoRan Inc. | Basic Materials | 0.078 | 3.33% | 17.73% |
| 10 | MAS | Masco Corporation | Consumer Cyclical | 0.078 | 3.33% | 26.96% |
| 11 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.078 | 3.33% | -8.69% |
| 12 | QCOM | QUALCOMM Incorporated | Technology | 0.076 | 3.33% | 25.14% |
| 13 | STX | Seagate Technology Holdings plc | Technology | 0.076 | 3.33% | 21.41% |
| 14 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | 0.075 | 3.33% | 11.64% |
| 15 | SNPS | Synopsys, Inc. | Technology | 0.074 | 3.33% | 14.95% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VICI | VICI Properties Inc. | Real Estate | -0.150 | -3.33% | 10.52% |
| 2 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.133 | -3.33% | 30.32% |
| 3 | NEE | NextEra Energy, Inc. | Utilities | -0.120 | -3.33% | 0.31% |
| 4 | PCAR | PACCAR Inc | Industrials | -0.114 | -3.33% | 25.16% |
| 5 | ALB | Albemarle Corporation | Basic Materials | -0.109 | -3.33% | -7.06% |
| 6 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.105 | -3.33% | 37.46% |
| 7 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.102 | -3.33% | 36.99% |
| 8 | HUBB | Hubbell Incorporated | Industrials | -0.099 | -3.33% | 24.19% |
| 9 | JPM | JPMorgan Chase & Co. | Financial Services | -0.099 | -3.33% | 23.53% |
| 10 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.096 | -3.33% | 1.67% |
| 11 | MTB | M&T Bank Corporation | Financial Services | -0.094 | -3.33% | 18.46% |
| 12 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.094 | -3.33% | 8.13% |
| 13 | RJF | Raymond James Financial, Inc. | Financial Services | -0.094 | -3.33% | 16.19% |
| 14 | WMB | The Williams Companies, Inc. | Energy | -0.092 | -3.33% | 1.48% |
| 15 | O | Realty Income Corporation | Real Estate | -0.090 | -3.33% | 13.55% |
Sector exposure en el rebalanceo seleccionado
2023-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 6.7% | 13.3% | -6.67% | 2 | 4 |
| Industrials | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Financial Services | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Technology | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Basic Materials | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Healthcare | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Real Estate | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |