Portfolio
lightgbmLGBM macro· 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
7
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
1.31%
Short avg
10.14%
bajar = bueno para el short
Spread long − short
-8.83%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WEC | WEC Energy Group, Inc. | Utilities | 0.135 | 3.33% | 6.27% |
| 2 | ANET | Arista Networks, Inc. | Technology | 0.134 | 3.33% | 15.87% |
| 3 | AEP | American Electric Power Company, Inc. | Utilities | 0.128 | 3.33% | 3.15% |
| 4 | XEL | Xcel Energy Inc. | Utilities | 0.128 | 3.33% | 2.70% |
| 5 | SO | The Southern Company | Utilities | 0.127 | 3.33% | -4.60% |
| 6 | MA | Mastercard Incorporated | Financial Services | 0.127 | 3.33% | 11.00% |
| 7 | COR | Cencora, Inc. | Healthcare | 0.126 | 3.33% | 8.03% |
| 8 | ED | Consolidated Edison, Inc. | Utilities | 0.121 | 3.33% | -3.03% |
| 9 | PPL | PPL Corporation | Utilities | 0.121 | 3.33% | 8.01% |
| 10 | EVRG | Evergy, Inc. | Utilities | 0.121 | 3.33% | 9.70% |
| 11 | DUK | Duke Energy Corporation | Utilities | 0.119 | 3.33% | 1.98% |
| 12 | CMS | CMS Energy Corporation | Utilities | 0.115 | 3.33% | -0.98% |
| 13 | D | Dominion Energy, Inc. | Utilities | 0.115 | 3.33% | -7.54% |
| 14 | AMT | American Tower Corporation | Real Estate | 0.112 | 3.33% | -11.07% |
| 15 | HSY | The Hershey Company | Consumer Defensive | 0.110 | 3.33% | -19.77% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KKR | KKR & Co. Inc. | Financial Services | -0.173 | -3.33% | 11.28% |
| 2 | STT | State Street Corporation | Financial Services | -0.124 | -3.33% | 7.58% |
| 3 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.124 | -3.33% | 13.52% |
| 4 | AMP | Ameriprise Financial, Inc. | Financial Services | -0.124 | -3.33% | 6.24% |
| 5 | JPM | JPMorgan Chase & Co. | Financial Services | -0.107 | -3.33% | 19.82% |
| 6 | SMCI | Super Micro Computer, Inc. | Technology | -0.100 | -3.33% | 18.97% |
| 7 | PFG | Principal Financial Group, Inc. | Financial Services | -0.095 | -3.33% | -1.13% |
| 8 | RF | Regions Financial Corporation | Financial Services | -0.090 | -3.33% | 4.11% |
| 9 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.086 | -3.33% | 22.23% |
| 10 | USB | U.S. Bancorp | Financial Services | -0.084 | -3.33% | 0.07% |
| 11 | MTB | M&T Bank Corporation | Financial Services | -0.083 | -3.33% | 3.94% |
| 12 | BA | The Boeing Company | Industrials | -0.081 | -3.33% | 16.24% |
| 13 | BAC | Bank of America Corporation | Financial Services | -0.080 | -3.33% | 12.60% |
| 14 | FITB | Fifth Third Bancorp | Financial Services | -0.079 | -3.33% | 2.77% |
| 15 | CFG | Citizens Financial Group, Inc. | Financial Services | -0.076 | -3.33% | 13.92% |
Sector exposure en el rebalanceo seleccionado
2024-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 3.3% | 43.3% | -40.00% | 1 | 13 |
| Utilities | 33.3% | 0.0% | 33.33% | 10 | 0 |
| Technology | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Consumer Defensive | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |