Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2022-06-30
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
69 rebalanceosSnapshot (histórico)
Long book
41
gross 86.3%
Short book
22
gross -21.0%
Sectores cubiertos
11
63 posiciones
Sortino del run
0.96
Long book
41 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.006 | 3.76% | — |
| 2 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.006 | 3.71% | — |
| 3 | SYK | Stryker Corporation | Healthcare | 0.006 | 3.51% | — |
| 4 | WAT | Waters Corporation | Healthcare | 0.006 | 3.43% | — |
| 5 | MA | Mastercard Incorporated | Financial Services | 0.004 | 3.29% | — |
| 6 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.004 | 3.15% | — |
| 7 | TDG | TransDigm Group Incorporated | Industrials | 0.004 | 3.14% | — |
| 8 | ILMN | Illumina, Inc. | Healthcare | 0.006 | 3.13% | — |
| 9 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.006 | 3.06% | — |
| 10 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.006 | 2.98% | — |
| 11 | EW | Edwards Lifesciences Corporation | Healthcare | 0.006 | 2.94% | — |
| 12 | SBAC | SBA Communications Corporation | Real Estate | 0.004 | 2.83% | — |
| 13 | ECL | Ecolab Inc. | Basic Materials | 0.004 | 2.82% | — |
| 14 | BSX | Boston Scientific Corporation | Healthcare | -0.002 | 2.15% | — |
| 15 | NOW | ServiceNow, Inc. | Technology | 0.006 | 2.14% | — |
| 16 | VRSN | VeriSign, Inc. | Technology | 0.006 | 2.12% | — |
| 17 | ADBE | Adobe Inc. | Technology | 0.006 | 2.08% | — |
| 18 | CRM | Salesforce, Inc. | Technology | 0.006 | 2.08% | — |
| 19 | MSFT | Microsoft Corporation | Technology | 0.006 | 2.07% | — |
| 20 | CDNS | Cadence Design Systems, Inc. | Technology | 0.006 | 2.06% | — |
| 21 | GRMN | Garmin Ltd. | Technology | 0.006 | 2.05% | — |
| 22 | ANSS | ANSYS, Inc. | Technology | 0.006 | 2.01% | — |
| 23 | INTU | Intuit Inc. | Technology | 0.006 | 2.00% | — |
| 24 | ATVI | Activision Blizzard, Inc. | Technology | 0.006 | 1.94% | — |
| 25 | FFIV | F5, Inc. | Technology | 0.006 | 1.94% | — |
| 26 | ADSK | Autodesk, Inc. | Technology | -0.002 | 1.83% | — |
| 27 | CSCO | Cisco Systems, Inc. | Technology | 0.006 | 1.81% | — |
| 28 | INTC | Intel Corporation | Technology | 0.006 | 1.78% | — |
| 29 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.006 | 1.75% | — |
| 30 | NTAP | NetApp, Inc. | Technology | 0.006 | 1.51% | — |
| 31 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.015 | 1.32% | — |
| 32 | AMD | Advanced Micro Devices, Inc. | Technology | 0.006 | 1.32% | — |
| 33 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.011 | 1.30% | — |
| 34 | FDS | FactSet Research Systems Inc. | Financial Services | 0.011 | 1.30% | — |
| 35 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.011 | 1.30% | — |
| 36 | AEE | Ameren Corporation | Utilities | 0.000 | 1.19% | — |
| 37 | FTNT | Fortinet, Inc. | Technology | -0.002 | 0.94% | — |
| 38 | ACN | Accenture plc | Technology | 0.011 | 0.81% | — |
| 39 | WDC | Western Digital Corporation | Technology | -0.004 | 0.69% | — |
| 40 | PGR | The Progressive Corporation | Financial Services | -0.001 | 0.66% | — |
| 41 | HPQ | HP Inc. | Technology | 0.000 | 0.43% | — |
Short book
22 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | -0.006 | -1.68% | — |
| 2 | MPC | Marathon Petroleum Corporation | Energy | -0.014 | -1.66% | — |
| 3 | BAC | Bank of America Corporation | Financial Services | -0.008 | -1.54% | — |
| 4 | CAH | Cardinal Health, Inc. | Healthcare | -0.001 | -1.31% | — |
| 5 | SLB | SLB N.V. | Energy | 0.000 | -1.31% | — |
| 6 | BKR | Baker Hughes Company | Energy | -0.006 | -1.28% | — |
| 7 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.002 | -1.27% | — |
| 8 | BA | The Boeing Company | Industrials | -0.006 | -1.18% | — |
| 9 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.006 | -1.06% | — |
| 10 | WMB | The Williams Companies, Inc. | Energy | 0.004 | -1.04% | — |
| 11 | CI | Cigna Corporation | Healthcare | 0.000 | -1.04% | — |
| 12 | KMI | Kinder Morgan, Inc. | Energy | 0.004 | -0.88% | — |
| 13 | DD | DuPont de Nemours, Inc. | Basic Materials | 0.000 | -0.82% | — |
| 14 | IRM | Iron Mountain Incorporated | Real Estate | 0.004 | -0.72% | — |
| 15 | OKE | ONEOK, Inc. | Energy | 0.000 | -0.72% | — |
| 16 | MGM | MGM Resorts International | Consumer Cyclical | -0.014 | -0.66% | — |
| 17 | F | Ford Motor Company | Consumer Cyclical | -0.006 | -0.53% | — |
| 18 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.008 | -0.53% | — |
| 19 | SBNY | Signature Bank | Financial Services | -0.006 | -0.52% | — |
| 20 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | -0.002 | -0.50% | — |
| 21 | TMUS | T-Mobile US, Inc. | Communication Services | 0.004 | -0.38% | — |
| 22 | DAY | Dayforce Inc | Technology | -0.006 | -0.32% | — |
Sector exposure en el rebalanceo seleccionado
2022-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 35.4% | 0.3% | 35.03% | 21 | 1 |
| Healthcare | 26.4% | 3.4% | 22.98% | 9 | 3 |
| Financial Services | 9.0% | 3.9% | 5.15% | 4 | 4 |
| Energy | 0.0% | 8.6% | -8.56% | 0 | 7 |
| Industrials | 3.1% | 1.2% | 1.96% | 1 | 1 |
| Consumer Cyclical | 3.0% | 1.2% | 1.79% | 1 | 2 |
| Basic Materials | 2.8% | 0.8% | 1.99% | 1 | 1 |
| Real Estate | 2.8% | 0.7% | 2.11% | 1 | 1 |
| Consumer Defensive | 2.6% | 0.0% | 2.61% | 2 | 0 |
| Utilities | 1.2% | 0.0% | 1.19% | 1 | 0 |
| Communication Services | 0.0% | 0.9% | -0.88% | 0 | 2 |