Portfolio
lightgbmLGBM dual tail· rebalanceo 2024-10-31
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
9
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
1.61%
Short avg
8.77%
bajar = bueno para el short
Spread long − short
-7.15%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MOS | The Mosaic Company | Basic Materials | 0.233 | 3.33% | 4.13% |
| 2 | DLTR | Dollar Tree, Inc. | Consumer Defensive | 0.233 | 3.33% | 10.85% |
| 3 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.233 | 3.33% | 41.80% |
| 4 | PLTR | Palantir Technologies Inc. | Technology | 0.231 | 3.33% | 88.29% |
| 5 | MTCH | Match Group, Inc. | Communication Services | 0.230 | 3.33% | -5.52% |
| 6 | ALB | Albemarle Corporation | Basic Materials | 0.230 | 3.33% | -20.29% |
| 7 | LUV | Southwest Airlines Co. | Industrials | 0.229 | 3.33% | 1.41% |
| 8 | F | Ford Motor Company | Consumer Cyclical | 0.229 | 3.33% | -0.77% |
| 9 | VLO | Valero Energy Corporation | Energy | 0.229 | 3.33% | 10.74% |
| 10 | MGM | MGM Resorts International | Consumer Cyclical | 0.229 | 3.33% | -6.14% |
| 11 | AMD | Advanced Micro Devices, Inc. | Technology | 0.229 | 3.33% | -23.63% |
| 12 | MU | Micron Technology, Inc. | Technology | 0.229 | 3.33% | -6.21% |
| 13 | ON | ON Semiconductor Corporation | Technology | 0.229 | 3.33% | -31.67% |
| 14 | INTC | Intel Corporation | Technology | 0.229 | 3.33% | -16.61% |
| 15 | DELL | Dell Technologies Inc. | Technology | 0.229 | 3.33% | -22.16% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FSLR | First Solar, Inc. | Energy | 0.226 | -3.33% | -23.28% |
| 2 | WELL | Welltower Inc. | Real Estate | 0.209 | -3.33% | 6.97% |
| 3 | BA | The Boeing Company | Industrials | 0.214 | -3.33% | 16.24% |
| 4 | LLY | Eli Lilly and Company | Healthcare | 0.227 | -3.33% | 2.96% |
| 5 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.220 | -3.33% | -8.71% |
| 6 | TECH | Bio-Techne Corporation | Healthcare | 0.225 | -3.33% | 0.03% |
| 7 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.229 | -3.33% | -0.49% |
| 8 | PODD | Insulet Corporation | Healthcare | 0.229 | -3.33% | 18.93% |
| 9 | ALGN | Align Technology, Inc. | Healthcare | 0.229 | -3.33% | 3.66% |
| 10 | TMUS | T-Mobile US, Inc. | Communication Services | 0.212 | -3.33% | 8.59% |
| 11 | DXCM | DexCom, Inc. | Healthcare | 0.229 | -3.33% | 23.27% |
| 12 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.220 | -3.33% | 28.05% |
| 13 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.223 | -3.33% | 21.36% |
| 14 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.222 | -3.33% | 12.28% |
| 15 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.222 | -3.33% | 21.67% |
Sector exposure en el rebalanceo seleccionado
2024-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 10.0% | 10.0% | 0.00% | 3 | 3 |
| Healthcare | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Technology | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Communication Services | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Defensive | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Energy | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |