Portfolio
lightgbmLGBM no sector· 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
10
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
11.24%
Short avg
4.10%
bajar = bueno para el short
Spread long − short
7.14%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EPAM | EPAM Systems, Inc. | Technology | 0.145 | 3.33% | 7.00% |
| 2 | CAH | Cardinal Health, Inc. | Healthcare | 0.124 | 3.33% | 12.27% |
| 3 | GL | Globe Life Inc. | Financial Services | 0.122 | 3.33% | 24.86% |
| 4 | UPS | United Parcel Service, Inc. | Industrials | 0.116 | 3.33% | 1.55% |
| 5 | BLDR | Builders FirstSource, Inc. | Industrials | 0.111 | 3.33% | 36.94% |
| 6 | MOH | Molina Healthcare, Inc. | Healthcare | 0.111 | 3.33% | 16.50% |
| 7 | LUV | Southwest Airlines Co. | Industrials | 0.104 | 3.33% | 5.92% |
| 8 | LOW | Lowe's Companies, Inc. | Consumer Cyclical | 0.102 | 3.33% | 24.25% |
| 9 | STLD | Steel Dynamics, Inc. | Basic Materials | 0.101 | 3.33% | -2.04% |
| 10 | ADM | Archer-Daniels-Midland Company | Consumer Defensive | 0.101 | 3.33% | -0.64% |
| 11 | MOS | The Mosaic Company | Basic Materials | 0.101 | 3.33% | -3.54% |
| 12 | MPC | Marathon Petroleum Corporation | Energy | 0.100 | 3.33% | -6.56% |
| 13 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.099 | 3.33% | 12.20% |
| 14 | LEN | Lennar Corporation | Consumer Cyclical | 0.099 | 3.33% | 25.39% |
| 15 | NKE | NIKE, Inc. | Consumer Cyclical | 0.098 | 3.33% | 14.47% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | SMCI | Super Micro Computer, Inc. | Technology | -0.067 | -3.33% | -66.82% |
| 2 | C | Citigroup Inc. | Financial Services | -0.062 | -3.33% | -0.37% |
| 3 | JPM | JPMorgan Chase & Co. | Financial Services | -0.058 | -3.33% | 3.15% |
| 4 | BAX | Baxter International Inc. | Healthcare | -0.053 | -3.33% | 14.61% |
| 5 | T | AT&T Inc. | Communication Services | -0.052 | -3.33% | 16.25% |
| 6 | UBER | Uber Technologies, Inc. | Technology | -0.052 | -3.33% | 5.55% |
| 7 | DAY | Dayforce Inc | Technology | -0.051 | -3.33% | 19.64% |
| 8 | KMX | CarMax, Inc. | Consumer Cyclical | -0.049 | -3.33% | 8.31% |
| 9 | NTAP | NetApp, Inc. | Technology | -0.045 | -3.33% | -4.91% |
| 10 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.045 | -3.33% | 14.85% |
| 11 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.044 | -3.33% | 18.60% |
| 12 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.044 | -3.33% | 7.15% |
| 13 | WELL | Welltower Inc. | Real Estate | -0.043 | -3.33% | 21.37% |
| 14 | CHD | Church & Dwight Co., Inc. | Consumer Defensive | -0.043 | -3.33% | 0.15% |
| 15 | PFE | Pfizer Inc. | Healthcare | -0.042 | -3.33% | 3.93% |
Sector exposure en el rebalanceo seleccionado
2024-06-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 6.7% | 13.3% | -6.67% | 2 | 4 |
| Consumer Cyclical | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Financial Services | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Healthcare | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Industrials | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Defensive | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |