Portfolio
lightgbmLGBM no sector· 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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
9
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-4.01%
Short avg
-3.43%
bajar = bueno para el short
Spread long − short
-0.58%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CAH | Cardinal Health, Inc. | Healthcare | 0.131 | 3.33% | -12.84% |
| 2 | LMT | Lockheed Martin Corporation | Industrials | 0.117 | 3.33% | 9.79% |
| 3 | UPS | United Parcel Service, Inc. | Industrials | 0.108 | 3.33% | -5.26% |
| 4 | FTNT | Fortinet, Inc. | Technology | 0.107 | 3.33% | -17.18% |
| 5 | DVN | Devon Energy Corporation | Energy | 0.100 | 3.33% | 10.99% |
| 6 | ADSK | Autodesk, Inc. | Technology | 0.099 | 3.33% | -27.25% |
| 7 | LUV | Southwest Airlines Co. | Industrials | 0.095 | 3.33% | -23.02% |
| 8 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.095 | 3.33% | -8.88% |
| 9 | MOS | The Mosaic Company | Basic Materials | 0.092 | 3.33% | -1.59% |
| 10 | IP | International Paper Company | Consumer Cyclical | 0.091 | 3.33% | 26.29% |
| 11 | BBY | Best Buy Co., Inc. | Consumer Cyclical | 0.091 | 3.33% | 9.70% |
| 12 | CF | CF Industries Holdings, Inc. | Basic Materials | 0.088 | 3.33% | -2.73% |
| 13 | FDX | FedEx Corporation | Industrials | 0.084 | 3.33% | 3.44% |
| 14 | RHI | Robert Half International Inc. | Industrials | 0.083 | 3.33% | -22.13% |
| 15 | STLD | Steel Dynamics, Inc. | Basic Materials | 0.081 | 3.33% | 0.44% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PCAR | PACCAR Inc | Industrials | -0.102 | -3.33% | -4.88% |
| 2 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.091 | -3.33% | -5.09% |
| 3 | GE | GE Aerospace | Industrials | -0.088 | -3.33% | 26.81% |
| 4 | BAX | Baxter International Inc. | Healthcare | -0.083 | -3.33% | -17.60% |
| 5 | DAY | Dayforce Inc | Technology | -0.083 | -3.33% | -32.20% |
| 6 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.080 | -3.33% | -15.02% |
| 7 | ALB | Albemarle Corporation | Basic Materials | -0.073 | -3.33% | -14.95% |
| 8 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.073 | -3.33% | -2.70% |
| 9 | IR | Ingersoll Rand Inc. | Industrials | -0.073 | -3.33% | 1.58% |
| 10 | XRAY | DENTSPLY SIRONA Inc. | Healthcare | -0.072 | -3.33% | -16.74% |
| 11 | MU | Micron Technology, Inc. | Technology | -0.067 | -3.33% | 27.39% |
| 12 | WELL | Welltower Inc. | Real Estate | -0.061 | -3.33% | 11.78% |
| 13 | C | Citigroup Inc. | Financial Services | -0.060 | -3.33% | 12.26% |
| 14 | PLD | Prologis, Inc. | Real Estate | -0.057 | -3.33% | -19.00% |
| 15 | ICE | Intercontinental Exchange, Inc. | Financial Services | -0.056 | -3.33% | -3.10% |
Sector exposure en el rebalanceo seleccionado
2024-02-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Industrials | 16.7% | 10.0% | 6.67% | 5 | 3 |
| Basic Materials | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Technology | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Consumer Cyclical | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Financial Services | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Healthcare | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Real Estate | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |