Portfolio
lightgbmLGBM dual tail· rebalanceo 2024-06-28
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
8
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-0.67%
Short avg
2.86%
bajar = bueno para el short
Spread long − short
-3.53%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PODD | Insulet Corporation | Healthcare | 0.216 | 3.33% | 17.10% |
| 2 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | 0.216 | 3.33% | -23.28% |
| 3 | ALB | Albemarle Corporation | Basic Materials | 0.216 | 3.33% | -2.35% |
| 4 | PAYC | Paycom Software, Inc. | Technology | 0.216 | 3.33% | 15.97% |
| 5 | FMC | FMC Corporation | Basic Materials | 0.216 | 3.33% | 16.15% |
| 6 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.216 | 3.33% | 22.05% |
| 7 | DG | Dollar General Corporation | Consumer Defensive | 0.216 | 3.33% | -42.98% |
| 8 | PFE | Pfizer Inc. | Healthcare | 0.216 | 3.33% | 3.93% |
| 9 | AES | The AES Corporation | Utilities | 0.216 | 3.33% | 14.99% |
| 10 | CTLT | Catalent, Inc. | Healthcare | 0.216 | 3.33% | 7.56% |
| 11 | MRNA | Moderna, Inc. | Healthcare | 0.216 | 3.33% | -55.10% |
| 12 | MOS | The Mosaic Company | Basic Materials | 0.216 | 3.33% | -3.54% |
| 13 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.216 | 3.33% | -4.82% |
| 14 | IFF | International Flavors & Fragrances Inc. | Basic Materials | 0.216 | 3.33% | 12.31% |
| 15 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.215 | 3.33% | 11.88% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.209 | -3.33% | 4.25% |
| 2 | SMCI | Super Micro Computer, Inc. | Technology | 0.212 | -3.33% | -66.82% |
| 3 | MCK | McKesson Corporation | Healthcare | 0.207 | -3.33% | -16.92% |
| 4 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.209 | -3.33% | 14.85% |
| 5 | FSLR | First Solar, Inc. | Energy | 0.209 | -3.33% | 11.33% |
| 6 | DIS | The Walt Disney Company | Communication Services | 0.212 | -3.33% | -1.45% |
| 7 | RMD | ResMed Inc. | Healthcare | 0.209 | -3.33% | 26.93% |
| 8 | DAY | Dayforce Inc | Technology | 0.209 | -3.33% | 19.64% |
| 9 | TECH | Bio-Techne Corporation | Healthcare | 0.209 | -3.33% | 11.10% |
| 10 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | 0.211 | -3.33% | 16.56% |
| 11 | APTV | Aptiv PLC | Consumer Cyclical | 0.212 | -3.33% | 5.08% |
| 12 | ALGN | Align Technology, Inc. | Healthcare | 0.213 | -3.33% | 6.36% |
| 13 | INTC | Intel Corporation | Technology | 0.212 | -3.33% | -26.73% |
| 14 | BIO | Bio-Rad Laboratories, Inc. | Healthcare | 0.209 | -3.33% | 23.70% |
| 15 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.207 | -3.33% | 15.01% |
Sector exposure en el rebalanceo seleccionado
2024-06-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 20.0% | 16.7% | 3.33% | 6 | 5 |
| Consumer Cyclical | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Basic Materials | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Technology | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Defensive | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 3.3% | 0.0% | 3.33% | 1 | 0 |