Portfolio
lightgbmLGBM no sector· 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
10
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-6.68%
Short avg
-9.97%
bajar = bueno para el short
Spread long − short
3.29%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LUV | Southwest Airlines Co. | Industrials | 0.113 | 3.33% | -3.13% |
| 2 | UPS | United Parcel Service, Inc. | Industrials | 0.108 | 3.33% | -7.13% |
| 3 | IP | International Paper Company | Consumer Cyclical | 0.106 | 3.33% | 11.60% |
| 4 | LMT | Lockheed Martin Corporation | Industrials | 0.099 | 3.33% | 3.64% |
| 5 | FTNT | Fortinet, Inc. | Technology | 0.096 | 3.33% | -12.50% |
| 6 | ADSK | Autodesk, Inc. | Technology | 0.093 | 3.33% | -5.39% |
| 7 | DVN | Devon Energy Corporation | Energy | 0.093 | 3.33% | -5.76% |
| 8 | CAH | Cardinal Health, Inc. | Healthcare | 0.092 | 3.33% | -13.14% |
| 9 | MOS | The Mosaic Company | Basic Materials | 0.091 | 3.33% | -14.11% |
| 10 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.089 | 3.33% | 2.10% |
| 11 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.087 | 3.33% | -13.14% |
| 12 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.086 | 3.33% | -10.97% |
| 13 | RHI | Robert Half International Inc. | Industrials | 0.083 | 3.33% | -19.79% |
| 14 | INTU | Intuit Inc. | Technology | 0.080 | 3.33% | 1.83% |
| 15 | MSCI | MSCI Inc. | Financial Services | 0.080 | 3.33% | -14.30% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.098 | -3.33% | -21.35% |
| 2 | PCAR | PACCAR Inc | Industrials | -0.090 | -3.33% | -18.69% |
| 3 | ALB | Albemarle Corporation | Basic Materials | -0.088 | -3.33% | -27.86% |
| 4 | BAX | Baxter International Inc. | Healthcare | -0.083 | -3.33% | -26.69% |
| 5 | KMX | CarMax, Inc. | Consumer Cyclical | -0.082 | -3.33% | -18.80% |
| 6 | GE | GE Aerospace | Industrials | -0.081 | -3.33% | 12.99% |
| 7 | XRAY | DENTSPLY SIRONA Inc. | Healthcare | -0.076 | -3.33% | -26.31% |
| 8 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.073 | -3.33% | 7.77% |
| 9 | C | Citigroup Inc. | Financial Services | -0.071 | -3.33% | 0.82% |
| 10 | DAY | Dayforce Inc | Technology | -0.067 | -3.33% | -25.56% |
| 11 | IR | Ingersoll Rand Inc. | Industrials | -0.066 | -3.33% | -4.44% |
| 12 | DIS | The Walt Disney Company | Communication Services | -0.064 | -3.33% | -21.48% |
| 13 | DAL | Delta Air Lines, Inc. | Industrials | -0.057 | -3.33% | -2.54% |
| 14 | WELL | Welltower Inc. | Real Estate | -0.056 | -3.33% | 12.88% |
| 15 | T | AT&T Inc. | Communication Services | -0.055 | -3.33% | 9.77% |
Sector exposure en el rebalanceo seleccionado
2024-03-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Industrials | 16.7% | 13.3% | 3.33% | 5 | 4 |
| Technology | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Communication Services | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Financial Services | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Healthcare | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Basic Materials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Consumer Cyclical | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Real Estate | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Defensive | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |