Portfolio
lightgbmLGBM dual tail macro· rebalanceo 2024-07-31
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
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
8.37%
Short avg
-1.29%
bajar = bueno para el short
Spread long − short
9.66%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ALB | Albemarle Corporation | Basic Materials | 0.383 | 3.33% | 2.95% |
| 2 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | 0.374 | 3.33% | 10.68% |
| 3 | ON | ON Semiconductor Corporation | Technology | 0.374 | 3.33% | 2.38% |
| 4 | GNRC | Generac Holdings Inc. | Industrials | 0.370 | 3.33% | 12.67% |
| 5 | ENPH | Enphase Energy, Inc. | Energy | 0.367 | 3.33% | -28.51% |
| 6 | TER | Teradyne, Inc. | Technology | 0.367 | 3.33% | -10.52% |
| 7 | KLAC | KLA Corporation | Technology | 0.366 | 3.33% | -8.71% |
| 8 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.366 | 3.33% | 17.20% |
| 9 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.366 | 3.33% | 34.08% |
| 10 | BLDR | Builders FirstSource, Inc. | Industrials | 0.366 | 3.33% | 8.06% |
| 11 | ADSK | Autodesk, Inc. | Technology | 0.363 | 3.33% | 17.78% |
| 12 | NKE | NIKE, Inc. | Consumer Cyclical | 0.362 | 3.33% | 3.91% |
| 13 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.362 | 3.33% | 15.99% |
| 14 | AAL | American Airlines Group Inc. | Industrials | 0.361 | 3.33% | 31.83% |
| 15 | NOW | ServiceNow, Inc. | Technology | 0.360 | 3.33% | 15.77% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | SMCI | Super Micro Computer, Inc. | Technology | 0.342 | -3.33% | -70.93% |
| 2 | PODD | Insulet Corporation | Healthcare | 0.341 | -3.33% | 15.61% |
| 3 | MRNA | Moderna, Inc. | Healthcare | 0.341 | -3.33% | -54.29% |
| 4 | FSLR | First Solar, Inc. | Energy | 0.330 | -3.33% | -10.10% |
| 5 | APTV | Aptiv PLC | Consumer Cyclical | 0.353 | -3.33% | -5.71% |
| 6 | NVDA | NVIDIA Corporation | Technology | 0.317 | -3.33% | 24.37% |
| 7 | BWA | BorgWarner Inc. | Consumer Cyclical | 0.345 | -3.33% | -1.09% |
| 8 | MU | Micron Technology, Inc. | Technology | 0.349 | -3.33% | 2.61% |
| 9 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.296 | -3.33% | 34.38% |
| 10 | BIO | Bio-Rad Laboratories, Inc. | Healthcare | 0.326 | -3.33% | -3.18% |
| 11 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | 0.330 | -3.33% | 27.03% |
| 12 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.335 | -3.33% | -22.60% |
| 13 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.331 | -3.33% | -10.10% |
| 14 | UBER | Uber Technologies, Inc. | Technology | 0.336 | -3.33% | 26.37% |
| 15 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.347 | -3.33% | 28.26% |
Sector exposure en el rebalanceo seleccionado
2024-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 20.0% | 13.3% | 6.67% | 6 | 4 |
| Consumer Cyclical | 13.3% | 16.7% | -3.33% | 4 | 5 |
| Healthcare | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Industrials | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |