Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2024-02-29
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 53.4%
Short book
15
gross -46.6%
Sectores cubiertos
6
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-3.20%
Short avg
7.41%
bajar = bueno para el short
Spread long − short
-10.60%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EG | Everest Re Group, Ltd. | Financial Services | 0.095 | 3.56% | 6.49% |
| 2 | ADSK | Autodesk, Inc. | Technology | 0.090 | 3.56% | -27.25% |
| 3 | DVN | Devon Energy Corporation | Energy | 0.089 | 3.56% | 10.99% |
| 4 | VLO | Valero Energy Corporation | Energy | 0.086 | 3.56% | 9.92% |
| 5 | RHI | Robert Half International Inc. | Industrials | 0.083 | 3.56% | -22.13% |
| 6 | PANW | Palo Alto Networks, Inc. | Technology | 0.083 | 3.56% | -2.50% |
| 7 | VRSN | VeriSign, Inc. | Technology | 0.082 | 3.56% | -11.33% |
| 8 | AES | The AES Corporation | Utilities | 0.081 | 3.56% | 34.25% |
| 9 | SNPS | Synopsys, Inc. | Technology | 0.078 | 3.56% | -5.30% |
| 10 | XOM | Exxon Mobil Corporation | Energy | 0.077 | 3.56% | 11.05% |
| 11 | CDNS | Cadence Design Systems, Inc. | Technology | 0.076 | 3.56% | -9.63% |
| 12 | BKR | Baker Hughes Company | Energy | 0.076 | 3.56% | 11.76% |
| 13 | ADBE | Adobe Inc. | Technology | 0.070 | 3.56% | -24.97% |
| 14 | MSCI | MSCI Inc. | Financial Services | 0.066 | 3.56% | -12.95% |
| 15 | NOW | ServiceNow, Inc. | Technology | 0.065 | 3.56% | -16.35% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | -0.088 | -3.11% | 12.26% |
| 2 | VZ | Verizon Communications Inc. | Communication Services | -0.082 | -3.11% | 3.95% |
| 3 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.080 | -3.11% | 7.89% |
| 4 | STT | State Street Corporation | Financial Services | -0.077 | -3.11% | 3.22% |
| 5 | MTB | M&T Bank Corporation | Financial Services | -0.070 | -3.11% | 10.19% |
| 6 | JPM | JPMorgan Chase & Co. | Financial Services | -0.067 | -3.11% | 9.53% |
| 7 | RF | Regions Financial Corporation | Financial Services | -0.062 | -3.11% | 4.02% |
| 8 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.061 | -3.11% | -5.09% |
| 9 | TMUS | T-Mobile US, Inc. | Communication Services | -0.059 | -3.11% | 7.24% |
| 10 | CMA | Comerica Incorporated | Financial Services | -0.059 | -3.11% | 4.66% |
| 11 | HBAN | Huntington Bancshares Incorporated | Financial Services | -0.058 | -3.11% | 8.45% |
| 12 | MS | Morgan Stanley | Financial Services | -0.055 | -3.11% | 13.26% |
| 13 | WFC | Wells Fargo & Company | Financial Services | -0.053 | -3.11% | 9.02% |
| 14 | BAC | Bank of America Corporation | Financial Services | -0.053 | -3.11% | 15.22% |
| 15 | PNC | The PNC Financial Services Group, Inc. | Financial Services | -0.048 | -3.11% | 7.29% |
Sector exposure en el rebalanceo seleccionado
2024-02-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 7.1% | 37.3% | -30.15% | 2 | 12 |
| Technology | 24.9% | 0.0% | 24.92% | 7 | 0 |
| Energy | 14.2% | 0.0% | 14.24% | 4 | 0 |
| Communication Services | 0.0% | 9.3% | -9.32% | 0 | 3 |
| Industrials | 3.6% | 0.0% | 3.56% | 1 | 0 |
| Utilities | 3.6% | 0.0% | 3.56% | 1 | 0 |