Portfolio
lightgbmLGBM macro· 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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
7
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-3.65%
Short avg
8.91%
bajar = bueno para el short
Spread long − short
-12.56%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ANET | Arista Networks, Inc. | Technology | 0.121 | 3.33% | 14.66% |
| 2 | WEC | WEC Energy Group, Inc. | Utilities | 0.116 | 3.33% | -1.98% |
| 3 | ED | Consolidated Edison, Inc. | Utilities | 0.110 | 3.33% | -15.56% |
| 4 | CAH | Cardinal Health, Inc. | Healthcare | 0.108 | 3.33% | 6.95% |
| 5 | HSY | The Hershey Company | Consumer Defensive | 0.108 | 3.33% | -11.65% |
| 6 | CHD | Church & Dwight Co., Inc. | Consumer Defensive | 0.106 | 3.33% | 0.49% |
| 7 | SO | The Southern Company | Utilities | 0.104 | 3.33% | -9.07% |
| 8 | AMT | American Tower Corporation | Real Estate | 0.103 | 3.33% | -21.92% |
| 9 | CDNS | Cadence Design Systems, Inc. | Technology | 0.099 | 3.33% | 13.19% |
| 10 | EVRG | Evergy, Inc. | Utilities | 0.098 | 3.33% | 0.90% |
| 11 | D | Dominion Energy, Inc. | Utilities | 0.097 | 3.33% | -6.69% |
| 12 | PPL | PPL Corporation | Utilities | 0.096 | 3.33% | -1.59% |
| 13 | KO | The Coca-Cola Company | Consumer Defensive | 0.096 | 3.33% | -13.38% |
| 14 | PEP | PepsiCo, Inc. | Consumer Defensive | 0.096 | 3.33% | -11.11% |
| 15 | ORLY | O'Reilly Automotive, Inc. | Consumer Cyclical | 0.095 | 3.33% | 2.02% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KKR | KKR & Co. Inc. | Financial Services | -0.147 | -3.33% | 13.14% |
| 2 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.126 | -3.33% | 8.35% |
| 3 | SMCI | Super Micro Computer, Inc. | Technology | -0.111 | -3.33% | -28.55% |
| 4 | STT | State Street Corporation | Financial Services | -0.105 | -3.33% | 12.47% |
| 5 | JPM | JPMorgan Chase & Co. | Financial Services | -0.104 | -3.33% | 15.27% |
| 6 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.095 | -3.33% | 16.04% |
| 7 | NTRS | Northern Trust Corporation | Financial Services | -0.094 | -3.33% | 15.12% |
| 8 | AMP | Ameriprise Financial, Inc. | Financial Services | -0.094 | -3.33% | 12.10% |
| 9 | C | Citigroup Inc. | Financial Services | -0.093 | -3.33% | 13.87% |
| 10 | IVZ | Invesco Ltd. | Financial Services | -0.089 | -3.33% | 2.46% |
| 11 | BAC | Bank of America Corporation | Financial Services | -0.086 | -3.33% | 11.95% |
| 12 | WFC | Wells Fargo & Company | Financial Services | -0.085 | -3.33% | 24.31% |
| 13 | KEY | KeyCorp | Financial Services | -0.084 | -3.33% | 6.44% |
| 14 | MS | Morgan Stanley | Financial Services | -0.082 | -3.33% | 19.36% |
| 15 | PFG | Principal Financial Group, Inc. | Financial Services | -0.080 | -3.33% | -8.67% |
Sector exposure en el rebalanceo seleccionado
2024-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 0.0% | 46.7% | -46.67% | 0 | 14 |
| Utilities | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Consumer Defensive | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Technology | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Consumer Cyclical | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |