Portfolio
lightgbmLGBM no sector· 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
9
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-13.19%
Short avg
-14.02%
bajar = bueno para el short
Spread long − short
0.83%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MET | MetLife, Inc. | Financial Services | 0.016 | 3.33% | -16.26% |
| 2 | TRV | The Travelers Companies, Inc. | Financial Services | 0.016 | 3.33% | 0.98% |
| 3 | SMCI | Super Micro Computer, Inc. | Technology | 0.016 | 3.33% | -0.77% |
| 4 | CINF | Cincinnati Financial Corporation | Financial Services | 0.016 | 3.33% | -7.28% |
| 5 | CE | Celanese Corporation | Basic Materials | 0.011 | 3.33% | -51.17% |
| 6 | GL | Globe Life Inc. | Financial Services | 0.011 | 3.33% | 4.77% |
| 7 | DLTR | Dollar Tree, Inc. | Consumer Defensive | 0.011 | 3.33% | -12.40% |
| 8 | BR | Broadridge Financial Solutions, Inc. | Technology | 0.011 | 3.33% | -0.40% |
| 9 | ICE | Intercontinental Exchange, Inc. | Financial Services | 0.011 | 3.33% | 5.12% |
| 10 | OKE | ONEOK, Inc. | Energy | 0.011 | 3.33% | -21.93% |
| 11 | PGR | The Progressive Corporation | Financial Services | 0.005 | 3.33% | 8.76% |
| 12 | STX | Seagate Technology Holdings plc | Technology | 0.005 | 3.33% | -25.01% |
| 13 | NVDA | NVIDIA Corporation | Technology | 0.005 | 3.33% | -38.28% |
| 14 | ALL | The Allstate Corporation | Financial Services | 0.005 | 3.33% | -2.34% |
| 15 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.005 | 3.33% | -41.60% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | O | Realty Income Corporation | Real Estate | -0.005 | -3.33% | 6.17% |
| 2 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | -0.005 | -3.33% | -9.28% |
| 3 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.005 | -3.33% | -27.83% |
| 4 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.005 | -3.33% | -17.59% |
| 5 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.005 | -3.33% | 3.63% |
| 6 | GEN | Gen Digital Inc. | Technology | -0.005 | -3.33% | -13.99% |
| 7 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.005 | -3.33% | 7.43% |
| 8 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.005 | -3.33% | -50.20% |
| 9 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.005 | -3.33% | 15.03% |
| 10 | KMX | CarMax, Inc. | Consumer Cyclical | -0.005 | -3.33% | -7.01% |
| 11 | RJF | Raymond James Financial, Inc. | Financial Services | -0.002 | -3.33% | -22.24% |
| 12 | IRM | Iron Mountain Incorporated | Real Estate | -0.002 | -3.33% | -29.61% |
| 13 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.002 | -3.33% | -10.68% |
| 14 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.002 | -3.33% | -6.71% |
| 15 | KKR | KKR & Co. Inc. | Financial Services | -0.002 | -3.33% | -47.37% |
Sector exposure en el rebalanceo seleccionado
2024-12-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 23.3% | 6.7% | 16.67% | 7 | 2 |
| Consumer Cyclical | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Technology | 13.3% | 3.3% | 10.00% | 4 | 1 |
| Consumer Defensive | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Real Estate | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |