Portfolio
lightgbmLGBM dual tail· rebalanceo 2024-11-29
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
8
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-17.44%
Short avg
-13.85%
bajar = bueno para el short
Spread long − short
-3.58%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DLTR | Dollar Tree, Inc. | Consumer Defensive | 0.233 | 3.33% | -5.23% |
| 2 | MU | Micron Technology, Inc. | Technology | 0.233 | 3.33% | -9.75% |
| 3 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.233 | 3.33% | -30.41% |
| 4 | ON | ON Semiconductor Corporation | Technology | 0.233 | 3.33% | -52.19% |
| 5 | PLTR | Palantir Technologies Inc. | Technology | 0.231 | 3.33% | 19.22% |
| 6 | INCY | Incyte Corporation | Healthcare | 0.229 | 3.33% | -4.40% |
| 7 | AMD | Advanced Micro Devices, Inc. | Technology | 0.229 | 3.33% | -36.26% |
| 8 | WDC | Western Digital Corporation | Technology | 0.229 | 3.33% | -29.17% |
| 9 | DELL | Dell Technologies Inc. | Technology | 0.229 | 3.33% | -29.81% |
| 10 | CRWD | CrowdStrike Holdings, Inc. | Technology | 0.229 | 3.33% | 0.27% |
| 11 | INTC | Intel Corporation | Technology | 0.229 | 3.33% | -14.26% |
| 12 | CE | Celanese Corporation | Basic Materials | 0.229 | 3.33% | -29.51% |
| 13 | HUM | Humana Inc. | Healthcare | 0.229 | 3.33% | -9.45% |
| 14 | ALGN | Align Technology, Inc. | Healthcare | 0.229 | 3.33% | -30.84% |
| 15 | DXCM | DexCom, Inc. | Healthcare | 0.229 | 3.33% | 0.25% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FSLR | First Solar, Inc. | Energy | 0.223 | -3.33% | -46.10% |
| 2 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.222 | -3.33% | -34.89% |
| 3 | MRNA | Moderna, Inc. | Healthcare | 0.229 | -3.33% | -25.49% |
| 4 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.229 | -3.33% | -5.54% |
| 5 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.223 | -3.33% | 1.32% |
| 6 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.222 | -3.33% | -21.92% |
| 7 | BA | The Boeing Company | Industrials | 0.218 | -3.33% | 1.20% |
| 8 | DECK | Deckers Outdoor Corporation | Consumer Cyclical | 0.222 | -3.33% | -42.55% |
| 9 | LLY | Eli Lilly and Company | Healthcare | 0.228 | -3.33% | 13.38% |
| 10 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.223 | -3.33% | -17.31% |
| 11 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.218 | -3.33% | -13.15% |
| 12 | TPL | Texas Pacific Land Corporation | Energy | 0.223 | -3.33% | -13.84% |
| 13 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | 0.226 | -3.33% | 16.59% |
| 14 | MTCH | Match Group, Inc. | Communication Services | 0.225 | -3.33% | -5.22% |
| 15 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.222 | -3.33% | -14.30% |
Sector exposure en el rebalanceo seleccionado
2024-11-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 13.3% | 13.3% | 0.00% | 4 | 4 |
| Technology | 26.7% | 0.0% | 26.67% | 8 | 0 |
| Consumer Cyclical | 3.3% | 16.7% | -13.33% | 1 | 5 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Defensive | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |