Portfolio
lightgbmLGBM no sector· rebalanceo 2023-11-30
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
6.77%
Short avg
3.98%
bajar = bueno para el short
Spread long − short
2.78%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EPAM | EPAM Systems, Inc. | Technology | 0.120 | 3.33% | 16.88% |
| 2 | GNRC | Generac Holdings Inc. | Industrials | 0.096 | 3.33% | -10.52% |
| 3 | UPS | United Parcel Service, Inc. | Industrials | 0.095 | 3.33% | -2.34% |
| 4 | MOS | The Mosaic Company | Basic Materials | 0.094 | 3.33% | -16.10% |
| 5 | KMX | CarMax, Inc. | Consumer Cyclical | 0.090 | 3.33% | 17.30% |
| 6 | SWK | Stanley Black & Decker, Inc. | Industrials | 0.089 | 3.33% | -5.28% |
| 7 | DVN | Devon Energy Corporation | Energy | 0.088 | 3.33% | 1.55% |
| 8 | MSCI | MSCI Inc. | Financial Services | 0.086 | 3.33% | 4.48% |
| 9 | CF | CF Industries Holdings, Inc. | Basic Materials | 0.081 | 3.33% | 4.76% |
| 10 | AMD | Advanced Micro Devices, Inc. | Technology | 0.081 | 3.33% | 52.46% |
| 11 | STX | Seagate Technology Holdings plc | Technology | 0.080 | 3.33% | 22.80% |
| 12 | WHR | Whirlpool Corporation | Consumer Cyclical | 0.078 | 3.33% | -8.09% |
| 13 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | 0.077 | 3.33% | 2.16% |
| 14 | BXP | BXP, Inc. | Real Estate | 0.073 | 3.33% | 3.43% |
| 15 | MRNA | Moderna, Inc. | Healthcare | 0.072 | 3.33% | 17.99% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.202 | -3.33% | 18.01% |
| 2 | VICI | VICI Properties Inc. | Real Estate | -0.136 | -3.33% | -3.97% |
| 3 | ACGL | Arch Capital Group Ltd. | Financial Services | -0.127 | -3.33% | 5.61% |
| 4 | ALB | Albemarle Corporation | Basic Materials | -0.121 | -3.33% | -13.97% |
| 5 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.121 | -3.33% | 0.83% |
| 6 | XRAY | DENTSPLY SIRONA Inc. | Healthcare | -0.107 | -3.33% | 2.59% |
| 7 | JPM | JPMorgan Chase & Co. | Financial Services | -0.103 | -3.33% | 19.03% |
| 8 | NEE | NextEra Energy, Inc. | Utilities | -0.102 | -3.33% | -5.66% |
| 9 | MTB | M&T Bank Corporation | Financial Services | -0.102 | -3.33% | 9.01% |
| 10 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.101 | -3.33% | 12.99% |
| 11 | PCAR | PACCAR Inc | Industrials | -0.096 | -3.33% | 23.82% |
| 12 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.094 | -3.33% | 8.81% |
| 13 | WMB | The Williams Companies, Inc. | Energy | -0.093 | -3.33% | -0.36% |
| 14 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.091 | -3.33% | -33.07% |
| 15 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.091 | -3.33% | 16.08% |
Sector exposure en el rebalanceo seleccionado
2023-11-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 6.7% | 16.7% | -10.00% | 2 | 5 |
| Financial Services | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Industrials | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Basic Materials | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Healthcare | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Technology | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Energy | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Real Estate | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |