Portfolio
lightgbmLGBM no sector· rebalanceo 2024-04-30
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
1.63%
Short avg
8.95%
bajar = bueno para el short
Spread long − short
-7.32%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.115 | 3.33% | 12.77% |
| 2 | UPS | United Parcel Service, Inc. | Industrials | 0.110 | 3.33% | -10.01% |
| 3 | IP | International Paper Company | Consumer Cyclical | 0.109 | 3.33% | 29.00% |
| 4 | CAH | Cardinal Health, Inc. | Healthcare | 0.108 | 3.33% | 1.70% |
| 5 | EPAM | EPAM Systems, Inc. | Technology | 0.108 | 3.33% | -8.91% |
| 6 | BLDR | Builders FirstSource, Inc. | Industrials | 0.101 | 3.33% | -14.50% |
| 7 | NUE | Nucor Corporation | Basic Materials | 0.101 | 3.33% | -7.60% |
| 8 | LUV | Southwest Airlines Co. | Industrials | 0.100 | 3.33% | 3.28% |
| 9 | STLD | Steel Dynamics, Inc. | Basic Materials | 0.100 | 3.33% | -2.22% |
| 10 | MOS | The Mosaic Company | Basic Materials | 0.098 | 3.33% | -2.88% |
| 11 | WRB | W. R. Berkley Corporation | Financial Services | 0.094 | 3.33% | 6.25% |
| 12 | MAS | Masco Corporation | Consumer Cyclical | 0.089 | 3.33% | 10.96% |
| 13 | NVR | NVR, Inc. | Consumer Cyclical | 0.089 | 3.33% | 13.73% |
| 14 | JBHT | J.B. Hunt Transport Services, Inc. | Industrials | 0.089 | 3.33% | 3.43% |
| 15 | FTNT | Fortinet, Inc. | Technology | 0.088 | 3.33% | -10.50% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.098 | -3.33% | 9.51% |
| 2 | BAX | Baxter International Inc. | Healthcare | -0.082 | -3.33% | -10.49% |
| 3 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.073 | -3.33% | 10.68% |
| 4 | IR | Ingersoll Rand Inc. | Industrials | -0.072 | -3.33% | -1.90% |
| 5 | CPT | Camden Property Trust | Real Estate | -0.066 | -3.33% | 16.44% |
| 6 | C | Citigroup Inc. | Financial Services | -0.065 | -3.33% | 3.97% |
| 7 | FSLR | First Solar, Inc. | Energy | -0.056 | -3.33% | 20.74% |
| 8 | T | AT&T Inc. | Communication Services | -0.055 | -3.33% | 15.53% |
| 9 | MS | Morgan Stanley | Financial Services | -0.054 | -3.33% | 11.47% |
| 10 | KMX | CarMax, Inc. | Consumer Cyclical | -0.053 | -3.33% | 19.40% |
| 11 | WELL | Welltower Inc. | Real Estate | -0.053 | -3.33% | 18.10% |
| 12 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | -0.051 | -3.33% | 2.66% |
| 13 | ARE | Alexandria Real Estate Equities, Inc. | Real Estate | -0.048 | -3.33% | -0.40% |
| 14 | KDP | Keurig Dr Pepper Inc. | Consumer Defensive | -0.048 | -3.33% | 4.24% |
| 15 | STT | State Street Corporation | Financial Services | -0.047 | -3.33% | 14.38% |
Sector exposure en el rebalanceo seleccionado
2024-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Industrials | 16.7% | 3.3% | 13.33% | 5 | 1 |
| Consumer Cyclical | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Financial Services | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Real Estate | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Basic Materials | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Technology | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |