Portfolio
lightgbmLGBM macro· rebalanceo 2025-02-28
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
4
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-0.68%
Short avg
-4.46%
bajar = bueno para el short
Spread long − short
3.78%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PG | The Procter & Gamble Company | Consumer Defensive | 0.121 | 3.33% | -3.93% |
| 2 | DTE | DTE Energy Company | Utilities | 0.119 | 3.33% | 1.36% |
| 3 | AEP | American Electric Power Company, Inc. | Utilities | 0.118 | 3.33% | -3.40% |
| 4 | WEC | WEC Energy Group, Inc. | Utilities | 0.114 | 3.33% | -0.17% |
| 5 | SBAC | SBA Communications Corporation | Real Estate | 0.113 | 3.33% | 5.21% |
| 6 | K | Kellanova | Consumer Defensive | 0.112 | 3.33% | 0.11% |
| 7 | XEL | Xcel Energy Inc. | Utilities | 0.111 | 3.33% | -2.22% |
| 8 | SO | The Southern Company | Utilities | 0.111 | 3.33% | -0.17% |
| 9 | DUK | Duke Energy Corporation | Utilities | 0.111 | 3.33% | -0.31% |
| 10 | EXC | Exelon Corporation | Utilities | 0.111 | 3.33% | -0.82% |
| 11 | O | Realty Income Corporation | Real Estate | 0.109 | 3.33% | -0.30% |
| 12 | CHD | Church & Dwight Co., Inc. | Consumer Defensive | 0.109 | 3.33% | -12.03% |
| 13 | ES | Eversource Energy | Utilities | 0.108 | 3.33% | 5.41% |
| 14 | AMT | American Tower Corporation | Real Estate | 0.106 | 3.33% | 2.95% |
| 15 | PPL | PPL Corporation | Utilities | 0.104 | 3.33% | -1.88% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KKR | KKR & Co. Inc. | Financial Services | -0.152 | -3.33% | -8.59% |
| 2 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.149 | -3.33% | 1.33% |
| 3 | JPM | JPMorgan Chase & Co. | Financial Services | -0.132 | -3.33% | 2.15% |
| 4 | WFC | Wells Fargo & Company | Financial Services | -0.126 | -3.33% | -2.50% |
| 5 | C | Citigroup Inc. | Financial Services | -0.115 | -3.33% | -0.99% |
| 6 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.113 | -3.33% | -0.59% |
| 7 | KEY | KeyCorp | Financial Services | -0.113 | -3.33% | -4.72% |
| 8 | BAC | Bank of America Corporation | Financial Services | -0.111 | -3.33% | -2.68% |
| 9 | CFG | Citizens Financial Group, Inc. | Financial Services | -0.107 | -3.33% | -10.60% |
| 10 | MET | MetLife, Inc. | Financial Services | -0.106 | -3.33% | -7.80% |
| 11 | PFG | Principal Financial Group, Inc. | Financial Services | -0.106 | -3.33% | -12.24% |
| 12 | PRU | Prudential Financial, Inc. | Financial Services | -0.104 | -3.33% | -7.85% |
| 13 | RF | Regions Financial Corporation | Financial Services | -0.103 | -3.33% | -8.02% |
| 14 | MTB | M&T Bank Corporation | Financial Services | -0.102 | -3.33% | -4.01% |
| 15 | MS | Morgan Stanley | Financial Services | -0.102 | -3.33% | 0.23% |
Sector exposure en el rebalanceo seleccionado
2025-02-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 0.0% | 50.0% | -50.00% | 0 | 15 |
| Utilities | 30.0% | 0.0% | 30.00% | 9 | 0 |
| Consumer Defensive | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Real Estate | 10.0% | 0.0% | 10.00% | 3 | 0 |