Portfolio
lightgbmLGBM no sector· 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
9
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-6.17%
Short avg
-13.08%
bajar = bueno para el short
Spread long − short
6.91%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MET | MetLife, Inc. | Financial Services | 0.016 | 3.33% | -4.86% |
| 2 | TRV | The Travelers Companies, Inc. | Financial Services | 0.016 | 3.33% | -2.46% |
| 3 | CINF | Cincinnati Financial Corporation | Financial Services | 0.016 | 3.33% | -10.71% |
| 4 | SMCI | Super Micro Computer, Inc. | Technology | 0.016 | 3.33% | -12.54% |
| 5 | GL | Globe Life Inc. | Financial Services | 0.011 | 3.33% | 12.50% |
| 6 | OKE | ONEOK, Inc. | Energy | 0.011 | 3.33% | -19.69% |
| 7 | ICE | Intercontinental Exchange, Inc. | Financial Services | 0.011 | 3.33% | 7.22% |
| 8 | BR | Broadridge Financial Solutions, Inc. | Technology | 0.011 | 3.33% | 1.89% |
| 9 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.005 | 3.33% | -21.92% |
| 10 | STX | Seagate Technology Holdings plc | Technology | 0.005 | 3.33% | -16.72% |
| 11 | ALL | The Allstate Corporation | Financial Services | 0.005 | 3.33% | -3.46% |
| 12 | SWK | Stanley Black & Decker, Inc. | Industrials | 0.005 | 3.33% | -3.57% |
| 13 | NVDA | NVIDIA Corporation | Technology | 0.005 | 3.33% | -22.61% |
| 14 | PGR | The Progressive Corporation | Financial Services | 0.005 | 3.33% | 8.19% |
| 15 | DFS | Discover Financial Services | Financial Services | 0.003 | 3.33% | -3.87% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.005 | -3.33% | -5.28% |
| 2 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | -0.005 | -3.33% | -14.30% |
| 3 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.005 | -3.33% | -34.89% |
| 4 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.005 | -3.33% | -8.37% |
| 5 | O | Realty Income Corporation | Real Estate | -0.005 | -3.33% | 2.58% |
| 6 | KMX | CarMax, Inc. | Consumer Cyclical | -0.005 | -3.33% | -7.10% |
| 7 | GEN | Gen Digital Inc. | Technology | -0.005 | -3.33% | -11.95% |
| 8 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.005 | -3.33% | 1.32% |
| 9 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.005 | -3.33% | 16.59% |
| 10 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.005 | -3.33% | -2.51% |
| 11 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | -0.002 | -3.33% | -7.30% |
| 12 | IRM | Iron Mountain Incorporated | Real Estate | -0.002 | -3.33% | -37.80% |
| 13 | RJF | Raymond James Financial, Inc. | Financial Services | -0.002 | -3.33% | -14.57% |
| 14 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.002 | -3.33% | -40.97% |
| 15 | KKR | KKR & Co. Inc. | Financial Services | -0.002 | -3.33% | -31.70% |
Sector exposure en el rebalanceo seleccionado
2024-11-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 26.7% | 6.7% | 20.00% | 8 | 2 |
| Consumer Cyclical | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Technology | 13.3% | 3.3% | 10.00% | 4 | 1 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Real Estate | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |