Portfolio
lightgbmLGBM no sector· rebalanceo 2023-12-29
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
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
4.88%
Short avg
8.24%
bajar = bueno para el short
Spread long − short
-3.36%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MSCI | MSCI Inc. | Financial Services | 0.095 | 3.33% | -2.61% |
| 2 | FTNT | Fortinet, Inc. | Technology | 0.095 | 3.33% | 21.05% |
| 3 | PANW | Palo Alto Networks, Inc. | Technology | 0.086 | 3.33% | -6.94% |
| 4 | CAH | Cardinal Health, Inc. | Healthcare | 0.084 | 3.33% | 8.24% |
| 5 | EVRG | Evergy, Inc. | Utilities | 0.083 | 3.33% | -0.06% |
| 6 | ADSK | Autodesk, Inc. | Technology | 0.080 | 3.33% | 5.10% |
| 7 | DVN | Devon Energy Corporation | Energy | 0.079 | 3.33% | 15.01% |
| 8 | UPS | United Parcel Service, Inc. | Industrials | 0.077 | 3.33% | -2.80% |
| 9 | AES | The AES Corporation | Utilities | 0.077 | 3.33% | -6.66% |
| 10 | CF | CF Industries Holdings, Inc. | Basic Materials | 0.077 | 3.33% | 2.59% |
| 11 | INTU | Intuit Inc. | Technology | 0.076 | 3.33% | 3.29% |
| 12 | MOH | Molina Healthcare, Inc. | Healthcare | 0.071 | 3.33% | 1.86% |
| 13 | NOW | ServiceNow, Inc. | Technology | 0.071 | 3.33% | 9.91% |
| 14 | HD | The Home Depot, Inc. | Consumer Cyclical | 0.069 | 3.33% | 4.80% |
| 15 | BLDR | Builders FirstSource, Inc. | Industrials | 0.067 | 3.33% | 20.38% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.119 | -3.33% | 5.11% |
| 2 | ALB | Albemarle Corporation | Basic Materials | -0.116 | -3.33% | -12.78% |
| 3 | PCAR | PACCAR Inc | Industrials | -0.085 | -3.33% | 22.11% |
| 4 | XRAY | DENTSPLY SIRONA Inc. | Healthcare | -0.078 | -3.33% | -10.73% |
| 5 | C | Citigroup Inc. | Financial Services | -0.078 | -3.33% | 16.05% |
| 6 | MU | Micron Technology, Inc. | Technology | -0.072 | -3.33% | 44.23% |
| 7 | CBOE | Cboe Global Markets, Inc. | Financial Services | -0.068 | -3.33% | 0.64% |
| 8 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | -0.068 | -3.33% | -9.78% |
| 9 | BAX | Baxter International Inc. | Healthcare | -0.063 | -3.33% | 11.51% |
| 10 | RJF | Raymond James Financial, Inc. | Financial Services | -0.063 | -3.33% | 14.69% |
| 11 | WDC | Western Digital Corporation | Technology | -0.058 | -3.33% | 34.23% |
| 12 | CMA | Comerica Incorporated | Financial Services | -0.056 | -3.33% | -3.57% |
| 13 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.053 | -3.33% | -11.91% |
| 14 | MTB | M&T Bank Corporation | Financial Services | -0.052 | -3.33% | 0.95% |
| 15 | GM | General Motors Company | Consumer Cyclical | -0.050 | -3.33% | 22.86% |
Sector exposure en el rebalanceo seleccionado
2023-12-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 16.7% | 6.7% | 10.00% | 5 | 2 |
| Financial Services | 3.3% | 16.7% | -13.33% | 1 | 5 |
| Consumer Cyclical | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Healthcare | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Industrials | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Basic Materials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Utilities | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |