Portfolio
lightgbmLGBM dual tail· rebalanceo 2024-12-31
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
8
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-19.47%
Short avg
-29.87%
bajar = bueno para el short
Spread long − short
10.40%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DLTR | Dollar Tree, Inc. | Consumer Defensive | 0.233 | 3.33% | -12.40% |
| 2 | MU | Micron Technology, Inc. | Technology | 0.233 | 3.33% | -29.83% |
| 3 | ON | ON Semiconductor Corporation | Technology | 0.233 | 3.33% | -60.49% |
| 4 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.233 | 3.33% | -46.00% |
| 5 | AMD | Advanced Micro Devices, Inc. | Technology | 0.233 | 3.33% | -34.12% |
| 6 | PLTR | Palantir Technologies Inc. | Technology | 0.231 | 3.33% | -1.58% |
| 7 | INCY | Incyte Corporation | Healthcare | 0.229 | 3.33% | -13.78% |
| 8 | WDC | Western Digital Corporation | Technology | 0.229 | 3.33% | -42.58% |
| 9 | CRWD | CrowdStrike Holdings, Inc. | Technology | 0.229 | 3.33% | -7.69% |
| 10 | DELL | Dell Technologies Inc. | Technology | 0.229 | 3.33% | -48.27% |
| 11 | INTC | Intel Corporation | Technology | 0.229 | 3.33% | -1.85% |
| 12 | CVS | CVS Health Corporation | Healthcare | 0.229 | 3.33% | 37.72% |
| 13 | FMC | FMC Corporation | Basic Materials | 0.229 | 3.33% | -30.50% |
| 14 | PAYC | Paycom Software, Inc. | Technology | 0.229 | 3.33% | -1.47% |
| 15 | HUM | Humana Inc. | Healthcare | 0.229 | 3.33% | 0.77% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FSLR | First Solar, Inc. | Energy | 0.223 | -3.33% | -37.09% |
| 2 | MRNA | Moderna, Inc. | Healthcare | 0.229 | -3.33% | -51.44% |
| 3 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.229 | -3.33% | -33.00% |
| 4 | DECK | Deckers Outdoor Corporation | Consumer Cyclical | 0.222 | -3.33% | -65.71% |
| 5 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.222 | -3.33% | -50.20% |
| 6 | ALGN | Align Technology, Inc. | Healthcare | 0.229 | -3.33% | -30.61% |
| 7 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.222 | -3.33% | -41.60% |
| 8 | BA | The Boeing Company | Industrials | 0.226 | -3.33% | -22.98% |
| 9 | LLY | Eli Lilly and Company | Healthcare | 0.228 | -3.33% | -5.09% |
| 10 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.223 | -3.33% | -28.83% |
| 11 | DXCM | DexCom, Inc. | Healthcare | 0.229 | -3.33% | -27.16% |
| 12 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.223 | -3.33% | -27.83% |
| 13 | TECH | Bio-Techne Corporation | Healthcare | 0.225 | -3.33% | -32.24% |
| 14 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | 0.226 | -3.33% | 15.03% |
| 15 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | 0.222 | -3.33% | -9.28% |
Sector exposure en el rebalanceo seleccionado
2024-12-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 10.0% | 23.3% | -13.33% | 3 | 7 |
| Technology | 30.0% | 0.0% | 30.00% | 9 | 0 |
| Consumer Cyclical | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Consumer Defensive | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |