Portfolio
lightgbmLGBM macro· rebalanceo 2024-03-28
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
7
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-2.04%
Short avg
-3.61%
bajar = bueno para el short
Spread long − short
1.57%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VRSN | VeriSign, Inc. | Technology | 0.084 | 3.33% | -7.47% |
| 2 | ADM | Archer-Daniels-Midland Company | Consumer Defensive | 0.076 | 3.33% | -1.96% |
| 3 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.069 | 3.33% | 17.55% |
| 4 | SNPS | Synopsys, Inc. | Technology | 0.068 | 3.33% | 4.22% |
| 5 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.066 | 3.33% | 2.10% |
| 6 | CDNS | Cadence Design Systems, Inc. | Technology | 0.066 | 3.33% | -0.39% |
| 7 | JBHT | J.B. Hunt Transport Services, Inc. | Industrials | 0.065 | 3.33% | -21.11% |
| 8 | UPS | United Parcel Service, Inc. | Industrials | 0.064 | 3.33% | -7.13% |
| 9 | INTU | Intuit Inc. | Technology | 0.061 | 3.33% | 1.83% |
| 10 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.060 | 3.33% | 16.08% |
| 11 | TSN | Tyson Foods, Inc. | Consumer Defensive | 0.060 | 3.33% | 0.00% |
| 12 | ADSK | Autodesk, Inc. | Technology | 0.060 | 3.33% | -5.39% |
| 13 | HD | The Home Depot, Inc. | Consumer Cyclical | 0.059 | 3.33% | -8.35% |
| 14 | RHI | Robert Half International Inc. | Industrials | 0.059 | 3.33% | -19.79% |
| 15 | ED | Consolidated Edison, Inc. | Utilities | 0.059 | 3.33% | -0.84% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.108 | -3.33% | -21.35% |
| 2 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.099 | -3.33% | -16.92% |
| 3 | VZ | Verizon Communications Inc. | Communication Services | -0.084 | -3.33% | 0.33% |
| 4 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.071 | -3.33% | 10.72% |
| 5 | PCAR | PACCAR Inc | Industrials | -0.069 | -3.33% | -18.69% |
| 6 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.062 | -3.33% | -19.25% |
| 7 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.061 | -3.33% | 8.51% |
| 8 | DFS | Discover Financial Services | Financial Services | -0.061 | -3.33% | 3.28% |
| 9 | CHTR | Charter Communications, Inc. | Communication Services | -0.061 | -3.33% | 4.09% |
| 10 | FIS | Fidelity National Information Services, Inc. | Technology | -0.057 | -3.33% | 2.54% |
| 11 | TMUS | T-Mobile US, Inc. | Communication Services | -0.056 | -3.33% | 9.99% |
| 12 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.053 | -3.33% | -9.51% |
| 13 | DIS | The Walt Disney Company | Communication Services | -0.053 | -3.33% | -21.48% |
| 14 | T | AT&T Inc. | Communication Services | -0.052 | -3.33% | 9.77% |
| 15 | JPM | JPMorgan Chase & Co. | Financial Services | -0.051 | -3.33% | 3.80% |
Sector exposure en el rebalanceo seleccionado
2024-03-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Communication Services | 0.0% | 23.3% | -23.33% | 0 | 7 |
| Industrials | 16.7% | 3.3% | 13.33% | 5 | 1 |
| Technology | 16.7% | 3.3% | 13.33% | 5 | 1 |
| Consumer Cyclical | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Consumer Defensive | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Financial Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Utilities | 3.3% | 0.0% | 3.33% | 1 | 0 |