Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2024-09-30
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 50.3%
Short book
15
gross -49.7%
Sectores cubiertos
7
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
3.84%
Short avg
13.47%
bajar = bueno para el short
Spread long − short
-9.62%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EXR | Extra Space Storage Inc. | Real Estate | 0.023 | 3.35% | -16.51% |
| 2 | WELL | Welltower Inc. | Real Estate | 0.023 | 3.35% | -0.73% |
| 3 | EQR | Equity Residential | Real Estate | 0.022 | 3.35% | -2.91% |
| 4 | DOC | Healthpeak Properties, Inc. | Real Estate | 0.022 | 3.35% | -9.83% |
| 5 | O | Realty Income Corporation | Real Estate | 0.022 | 3.35% | -15.62% |
| 6 | EQT | EQT Corporation | Energy | 0.020 | 3.35% | 24.48% |
| 7 | FICO | Fair Isaac Corporation | Technology | 0.018 | 3.35% | 3.85% |
| 8 | PANW | Palo Alto Networks, Inc. | Technology | 0.016 | 3.35% | 10.00% |
| 9 | PTC | PTC Inc. | Technology | 0.016 | 3.35% | 4.39% |
| 10 | CDNS | Cadence Design Systems, Inc. | Technology | 0.016 | 3.35% | 13.19% |
| 11 | ANSS | ANSYS, Inc. | Technology | 0.016 | 3.35% | 7.47% |
| 12 | ADSK | Autodesk, Inc. | Technology | 0.016 | 3.35% | 9.99% |
| 13 | INTU | Intuit Inc. | Technology | 0.016 | 3.35% | 3.77% |
| 14 | NOW | ServiceNow, Inc. | Technology | 0.016 | 3.35% | 20.08% |
| 15 | MA | Mastercard Incorporated | Financial Services | 0.016 | 3.35% | 6.04% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NVDA | NVIDIA Corporation | Technology | -0.024 | -3.31% | 13.79% |
| 2 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.018 | -3.31% | -15.40% |
| 3 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.017 | -3.31% | 25.88% |
| 4 | JPM | JPMorgan Chase & Co. | Financial Services | -0.016 | -3.31% | 15.27% |
| 5 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.016 | -3.31% | 16.04% |
| 6 | WFC | Wells Fargo & Company | Financial Services | -0.016 | -3.31% | 24.31% |
| 7 | C | Citigroup Inc. | Financial Services | -0.016 | -3.31% | 13.87% |
| 8 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.016 | -3.31% | 8.35% |
| 9 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.016 | -3.31% | 32.39% |
| 10 | STT | State Street Corporation | Financial Services | -0.015 | -3.31% | 12.47% |
| 11 | MS | Morgan Stanley | Financial Services | -0.015 | -3.31% | 19.36% |
| 12 | AMP | Ameriprise Financial, Inc. | Financial Services | -0.014 | -3.31% | 12.10% |
| 13 | TFC | Truist Financial Corporation | Financial Services | -0.014 | -3.31% | 5.01% |
| 14 | L | Loews Corporation | Financial Services | -0.011 | -3.31% | 6.65% |
| 15 | BAC | Bank of America Corporation | Financial Services | -0.009 | -3.31% | 11.95% |
Sector exposure en el rebalanceo seleccionado
2024-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 3.4% | 36.5% | -33.11% | 1 | 11 |
| Technology | 26.8% | 3.3% | 23.50% | 8 | 1 |
| Real Estate | 16.8% | 0.0% | 16.76% | 5 | 0 |
| Energy | 3.4% | 0.0% | 3.35% | 1 | 0 |
| Communication Services | 0.0% | 3.3% | -3.31% | 0 | 1 |
| Consumer Cyclical | 0.0% | 3.3% | -3.31% | 0 | 1 |
| Healthcare | 0.0% | 3.3% | -3.31% | 0 | 1 |