Portfolio
lightgbmLGBM no sector· 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
10
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
2.12%
Short avg
0.50%
bajar = bueno para el short
Spread long − short
1.61%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | L | Loews Corporation | Financial Services | 0.016 | 3.33% | 8.55% |
| 2 | TRV | The Travelers Companies, Inc. | Financial Services | 0.016 | 3.33% | 0.70% |
| 3 | SMCI | Super Micro Computer, Inc. | Technology | 0.016 | 3.33% | 18.97% |
| 4 | ACGL | Arch Capital Group Ltd. | Financial Services | 0.016 | 3.33% | 1.90% |
| 5 | CINF | Cincinnati Financial Corporation | Financial Services | 0.016 | 3.33% | -2.23% |
| 6 | ALL | The Allstate Corporation | Financial Services | 0.016 | 3.33% | 5.14% |
| 7 | EG | Everest Re Group, Ltd. | Financial Services | 0.016 | 3.33% | -2.71% |
| 8 | ALB | Albemarle Corporation | Basic Materials | 0.011 | 3.33% | -20.29% |
| 9 | OKE | ONEOK, Inc. | Energy | 0.011 | 3.33% | 5.83% |
| 10 | BR | Broadridge Financial Solutions, Inc. | Technology | 0.011 | 3.33% | 13.67% |
| 11 | ICE | Intercontinental Exchange, Inc. | Financial Services | 0.011 | 3.33% | 4.13% |
| 12 | PGR | The Progressive Corporation | Financial Services | 0.005 | 3.33% | 4.46% |
| 13 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.005 | 3.33% | 12.28% |
| 14 | STX | Seagate Technology Holdings plc | Technology | 0.005 | 3.33% | -3.05% |
| 15 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | 0.005 | 3.33% | -15.58% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NVDA | NVIDIA Corporation | Technology | -0.010 | -3.33% | -8.12% |
| 2 | MGM | MGM Resorts International | Consumer Cyclical | -0.005 | -3.33% | -6.14% |
| 3 | KMX | CarMax, Inc. | Consumer Cyclical | -0.005 | -3.33% | 14.86% |
| 4 | HII | Huntington Ingalls Industries, Inc. | Industrials | -0.005 | -3.33% | 3.98% |
| 5 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | -0.005 | -3.33% | -10.55% |
| 6 | UBER | Uber Technologies, Inc. | Technology | -0.005 | -3.33% | -12.75% |
| 7 | O | Realty Income Corporation | Real Estate | -0.005 | -3.33% | -6.42% |
| 8 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.005 | -3.33% | 21.36% |
| 9 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.005 | -3.33% | 9.75% |
| 10 | BAX | Baxter International Inc. | Healthcare | -0.005 | -3.33% | -12.58% |
| 11 | DAY | Dayforce Inc | Technology | -0.005 | -3.33% | -13.09% |
| 12 | SWK | Stanley Black & Decker, Inc. | Industrials | -0.005 | -3.33% | -7.76% |
| 13 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.005 | -3.33% | -2.47% |
| 14 | DIS | The Walt Disney Company | Communication Services | -0.005 | -3.33% | 14.75% |
| 15 | BSX | Boston Scientific Corporation | Healthcare | -0.004 | -3.33% | 22.74% |
Sector exposure en el rebalanceo seleccionado
2024-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 26.7% | 0.0% | 26.67% | 8 | 0 |
| Technology | 10.0% | 10.0% | 0.00% | 3 | 3 |
| Consumer Cyclical | 6.7% | 10.0% | -3.33% | 2 | 3 |
| Healthcare | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Industrials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |