Portfolio
lightgbmLGBM no sector· 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
10
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-0.27%
Short avg
-2.11%
bajar = bueno para el short
Spread long − short
1.84%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | L | Loews Corporation | Financial Services | 0.016 | 3.33% | 6.65% |
| 2 | HIG | The Hartford Financial Services Group, Inc. | Financial Services | 0.016 | 3.33% | -7.11% |
| 3 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.016 | 3.33% | 25.64% |
| 4 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.016 | 3.33% | 28.88% |
| 5 | SMCI | Super Micro Computer, Inc. | Technology | 0.016 | 3.33% | -28.55% |
| 6 | ALL | The Allstate Corporation | Financial Services | 0.016 | 3.33% | 1.96% |
| 7 | PCG | PG&E Corporation | Utilities | 0.016 | 3.33% | 1.87% |
| 8 | ACGL | Arch Capital Group Ltd. | Financial Services | 0.016 | 3.33% | -15.60% |
| 9 | EG | Everest Re Group, Ltd. | Financial Services | 0.016 | 3.33% | -8.39% |
| 10 | ALB | Albemarle Corporation | Basic Materials | 0.011 | 3.33% | -8.75% |
| 11 | OKE | ONEOK, Inc. | Energy | 0.011 | 3.33% | 9.46% |
| 12 | NDAQ | Nasdaq, Inc. | Financial Services | 0.011 | 3.33% | 5.95% |
| 13 | ICE | Intercontinental Exchange, Inc. | Financial Services | 0.011 | 3.33% | -7.53% |
| 14 | BR | Broadridge Financial Solutions, Inc. | Technology | 0.011 | 3.33% | 5.55% |
| 15 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | 0.005 | 3.33% | -14.07% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NVDA | NVIDIA Corporation | Technology | -0.010 | -3.33% | 13.79% |
| 2 | MO | Altria Group, Inc. | Consumer Defensive | -0.010 | -3.33% | 4.56% |
| 3 | SWK | Stanley Black & Decker, Inc. | Industrials | -0.005 | -3.33% | -29.98% |
| 4 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.005 | -3.33% | 0.68% |
| 5 | KMX | CarMax, Inc. | Consumer Cyclical | -0.005 | -3.33% | 4.49% |
| 6 | TMUS | T-Mobile US, Inc. | Communication Services | -0.005 | -3.33% | 7.22% |
| 7 | DAY | Dayforce Inc | Technology | -0.005 | -3.33% | 17.79% |
| 8 | MGM | MGM Resorts International | Consumer Cyclical | -0.005 | -3.33% | -10.85% |
| 9 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | -0.005 | -3.33% | -29.18% |
| 10 | BAX | Baxter International Inc. | Healthcare | -0.005 | -3.33% | -23.08% |
| 11 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.005 | -3.33% | 25.88% |
| 12 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.005 | -3.33% | 10.03% |
| 13 | UBER | Uber Technologies, Inc. | Technology | -0.005 | -3.33% | -20.76% |
| 14 | KDP | Keurig Dr Pepper Inc. | Consumer Defensive | -0.005 | -3.33% | -14.66% |
| 15 | FISV | Fiserv, Inc. | Technology | -0.005 | -3.33% | 12.48% |
Sector exposure en el rebalanceo seleccionado
2024-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 23.3% | 0.0% | 23.33% | 7 | 0 |
| Consumer Cyclical | 10.0% | 10.0% | 0.00% | 3 | 3 |
| Technology | 6.7% | 13.3% | -6.67% | 2 | 4 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 3.3% | 0.0% | 3.33% | 1 | 0 |