Portfolio
lightgbmLGBM no sector· rebalanceo 2025-01-31
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
-9.70%
Short avg
-7.03%
bajar = bueno para el short
Spread long − short
-2.67%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | GL | Globe Life Inc. | Financial Services | 0.011 | 3.33% | -0.56% |
| 2 | DLTR | Dollar Tree, Inc. | Consumer Defensive | 0.011 | 3.33% | 15.87% |
| 3 | CE | Celanese Corporation | Basic Materials | 0.011 | 3.33% | -42.79% |
| 4 | ICE | Intercontinental Exchange, Inc. | Financial Services | 0.011 | 3.33% | 8.42% |
| 5 | BR | Broadridge Financial Solutions, Inc. | Technology | 0.011 | 3.33% | -2.36% |
| 6 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.003 | 3.33% | -20.73% |
| 7 | CF | CF Industries Holdings, Inc. | Basic Materials | 0.003 | 3.33% | -12.73% |
| 8 | HON | Honeywell International Inc. | Industrials | 0.003 | 3.33% | -3.20% |
| 9 | IBM | International Business Machines Corporation | Technology | 0.003 | 3.33% | -3.86% |
| 10 | HSY | The Hershey Company | Consumer Defensive | 0.003 | 3.33% | 12.87% |
| 11 | A | Agilent Technologies, Inc. | Healthcare | 0.003 | 3.33% | -31.38% |
| 12 | HAL | Halliburton Company | Energy | 0.003 | 3.33% | -24.27% |
| 13 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.003 | 3.33% | -8.42% |
| 14 | GRMN | Garmin Ltd. | Technology | 0.003 | 3.33% | -12.15% |
| 15 | GOOGL | Alphabet Inc. | Communication Services | 0.003 | 3.33% | -20.22% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.006 | -3.33% | -0.41% |
| 2 | BX | Blackstone Inc. | Financial Services | -0.006 | -3.33% | -22.75% |
| 3 | APO | Apollo Global Management, Inc. | Financial Services | -0.006 | -3.33% | -21.82% |
| 4 | ACGL | Arch Capital Group Ltd. | Financial Services | -0.006 | -3.33% | -0.56% |
| 5 | ERIE | Erie Indemnity Company | Financial Services | -0.006 | -3.33% | -10.82% |
| 6 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.006 | -3.33% | -12.79% |
| 7 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.006 | -3.33% | -46.52% |
| 8 | SMCI | Super Micro Computer, Inc. | Technology | -0.006 | -3.33% | 18.08% |
| 9 | JBL | Jabil Inc. | Technology | -0.006 | -3.33% | -5.93% |
| 10 | LII | Lennox International Inc. | Industrials | -0.006 | -3.33% | -3.28% |
| 11 | PRU | Prudential Financial, Inc. | Financial Services | -0.006 | -3.33% | -13.45% |
| 12 | NTRS | Northern Trust Corporation | Financial Services | -0.006 | -3.33% | -12.35% |
| 13 | UBER | Uber Technologies, Inc. | Technology | -0.006 | -3.33% | 23.87% |
| 14 | NVDA | NVIDIA Corporation | Technology | -0.006 | -3.33% | -2.46% |
| 15 | O | Realty Income Corporation | Real Estate | -0.006 | -3.33% | 5.78% |
Sector exposure en el rebalanceo seleccionado
2025-01-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 6.7% | 20.0% | -13.33% | 2 | 6 |
| Technology | 10.0% | 13.3% | -3.33% | 3 | 4 |
| Consumer Cyclical | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Healthcare | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Defensive | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |