Portfolio
lightgbmLGBM no sector· 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
10
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
2.82%
Short avg
9.61%
bajar = bueno para el short
Spread long − short
-6.79%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | GL | Globe Life Inc. | Financial Services | 0.011 | 3.33% | 14.30% |
| 2 | ALB | Albemarle Corporation | Basic Materials | 0.011 | 3.33% | 2.95% |
| 3 | TRGP | Targa Resources Corp. | Energy | 0.011 | 3.33% | 20.24% |
| 4 | ICE | Intercontinental Exchange, Inc. | Financial Services | 0.011 | 3.33% | 10.06% |
| 5 | NDAQ | Nasdaq, Inc. | Financial Services | 0.011 | 3.33% | 11.87% |
| 6 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.003 | 3.33% | -15.16% |
| 7 | DFS | Discover Financial Services | Financial Services | 0.003 | 3.33% | 13.15% |
| 8 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.003 | 3.33% | -5.63% |
| 9 | A | Agilent Technologies, Inc. | Healthcare | 0.003 | 3.33% | -8.14% |
| 10 | GIS | General Mills, Inc. | Consumer Defensive | 0.003 | 3.33% | 1.64% |
| 11 | GNRC | Generac Holdings Inc. | Industrials | 0.003 | 3.33% | 12.67% |
| 12 | GOOG | Alphabet Inc. | Communication Services | 0.003 | 3.33% | 2.25% |
| 13 | GOOGL | Alphabet Inc. | Communication Services | 0.003 | 3.33% | 2.27% |
| 14 | HAL | Halliburton Company | Energy | 0.003 | 3.33% | -17.69% |
| 15 | HOLX | Hologic, Inc. | Healthcare | 0.003 | 3.33% | -2.49% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MO | Altria Group, Inc. | Consumer Defensive | -0.010 | -3.33% | 2.90% |
| 2 | SMCI | Super Micro Computer, Inc. | Technology | -0.006 | -3.33% | -70.93% |
| 3 | BX | Blackstone Inc. | Financial Services | -0.006 | -3.33% | 22.98% |
| 4 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.006 | -3.33% | 5.82% |
| 5 | ACGL | Arch Capital Group Ltd. | Financial Services | -0.006 | -3.33% | 7.96% |
| 6 | KKR | KKR & Co. Inc. | Financial Services | -0.006 | -3.33% | 15.90% |
| 7 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.006 | -3.33% | 22.75% |
| 8 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.006 | -3.33% | 34.38% |
| 9 | DAY | Dayforce Inc | Technology | -0.006 | -3.33% | 21.43% |
| 10 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.006 | -3.33% | 31.78% |
| 11 | STE | STERIS plc | Healthcare | -0.006 | -3.33% | -6.91% |
| 12 | UDR | UDR, Inc. | Real Estate | -0.006 | -3.33% | 7.66% |
| 13 | UBER | Uber Technologies, Inc. | Technology | -0.006 | -3.33% | 26.37% |
| 14 | EG | Everest Re Group, Ltd. | Financial Services | -0.006 | -3.33% | 3.64% |
| 15 | GRMN | Garmin Ltd. | Technology | -0.004 | -3.33% | 18.47% |
Sector exposure en el rebalanceo seleccionado
2024-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 13.3% | 13.3% | 0.00% | 4 | 4 |
| Healthcare | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Technology | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Consumer Cyclical | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Defensive | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Communication Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Energy | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Industrials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |