Portfolio
lightgbmLGBM 126d flexible 50 beta40· rebalanceo 2022-07-29
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
42
gross 113.6%
Short book
22
gross -21.3%
Sectores cubiertos
12
65 posiciones
Sortino del run
0.51
Long book
42 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.006 | 3.61% | — |
| 2 | NOW | ServiceNow, Inc. | Technology | 0.006 | 3.60% | — |
| 3 | VRSN | VeriSign, Inc. | Technology | 0.006 | 3.58% | — |
| 4 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.006 | 3.57% | — |
| 5 | ADBE | Adobe Inc. | Technology | 0.006 | 3.54% | — |
| 6 | CRM | Salesforce, Inc. | Technology | 0.006 | 3.54% | — |
| 7 | MSFT | Microsoft Corporation | Technology | 0.006 | 3.52% | — |
| 8 | CDNS | Cadence Design Systems, Inc. | Technology | 0.006 | 3.51% | — |
| 9 | GRMN | Garmin Ltd. | Technology | 0.006 | 3.50% | — |
| 10 | ANSS | ANSYS, Inc. | Technology | 0.006 | 3.45% | — |
| 11 | SYK | Stryker Corporation | Healthcare | 0.006 | 3.44% | — |
| 12 | INTU | Intuit Inc. | Technology | 0.006 | 3.44% | — |
| 13 | WAT | Waters Corporation | Healthcare | 0.006 | 3.38% | — |
| 14 | ATVI | Activision Blizzard, Inc. | Technology | 0.006 | 3.36% | — |
| 15 | FFIV | F5, Inc. | Technology | 0.006 | 3.36% | — |
| 16 | CSCO | Cisco Systems, Inc. | Technology | 0.006 | 3.20% | — |
| 17 | ILMN | Illumina, Inc. | Healthcare | 0.006 | 3.18% | — |
| 18 | INTC | Intel Corporation | Technology | 0.006 | 3.17% | — |
| 19 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.006 | 3.14% | — |
| 20 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.006 | 3.13% | — |
| 21 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.006 | 3.08% | — |
| 22 | EW | Edwards Lifesciences Corporation | Healthcare | 0.006 | 3.06% | — |
| 23 | MA | Mastercard Incorporated | Financial Services | 0.004 | 3.00% | — |
| 24 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.004 | 2.92% | — |
| 25 | TDG | TransDigm Group Incorporated | Industrials | 0.004 | 2.91% | — |
| 26 | NTAP | NetApp, Inc. | Technology | 0.006 | 2.83% | — |
| 27 | SBAC | SBA Communications Corporation | Real Estate | 0.004 | 2.70% | — |
| 28 | ECL | Ecolab Inc. | Basic Materials | 0.004 | 2.69% | — |
| 29 | AMD | Advanced Micro Devices, Inc. | Technology | 0.006 | 2.63% | — |
| 30 | ADSK | Autodesk, Inc. | Technology | -0.002 | 2.18% | — |
| 31 | ACN | Accenture plc | Technology | 0.011 | 2.18% | — |
| 32 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.011 | 2.18% | — |
| 33 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.011 | 2.18% | — |
| 34 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.004 | 2.17% | — |
| 35 | FDS | FactSet Research Systems Inc. | Financial Services | 0.004 | 2.15% | — |
| 36 | BSX | Boston Scientific Corporation | Healthcare | -0.002 | 1.44% | — |
| 37 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.015 | 1.32% | — |
| 38 | FTNT | Fortinet, Inc. | Technology | -0.002 | 1.15% | — |
| 39 | WDC | Western Digital Corporation | Technology | -0.004 | 0.84% | — |
| 40 | AEE | Ameren Corporation | Utilities | 0.000 | 0.80% | — |
| 41 | HPQ | HP Inc. | Technology | 0.000 | 0.53% | — |
| 42 | PGR | The Progressive Corporation | Financial Services | -0.001 | 0.44% | — |
Short book
22 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | 0.000 | -1.68% | — |
| 2 | MPC | Marathon Petroleum Corporation | Energy | -0.014 | -1.65% | — |
| 3 | BAC | Bank of America Corporation | Financial Services | -0.008 | -1.57% | — |
| 4 | BKR | Baker Hughes Company | Energy | -0.001 | -1.39% | — |
| 5 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.002 | -1.35% | — |
| 6 | BA | The Boeing Company | Industrials | -0.006 | -1.32% | — |
| 7 | SLB | SLB N.V. | Energy | 0.000 | -1.30% | — |
| 8 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | 0.000 | -1.21% | — |
| 9 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.006 | -0.90% | — |
| 10 | DAY | Dayforce Inc | Technology | -0.006 | -0.87% | — |
| 11 | F | Ford Motor Company | Consumer Cyclical | -0.006 | -0.87% | — |
| 12 | SBNY | Signature Bank | Financial Services | -0.006 | -0.85% | — |
| 13 | IRM | Iron Mountain Incorporated | Real Estate | 0.004 | -0.83% | — |
| 14 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | -0.002 | -0.83% | — |
| 15 | OKE | ONEOK, Inc. | Energy | 0.000 | -0.83% | — |
| 16 | WMB | The Williams Companies, Inc. | Energy | 0.004 | -0.70% | — |
| 17 | CI | Cigna Corporation | Healthcare | 0.000 | -0.70% | — |
| 18 | KMI | Kinder Morgan, Inc. | Energy | 0.000 | -0.59% | — |
| 19 | DD | DuPont de Nemours, Inc. | Basic Materials | 0.000 | -0.55% | — |
| 20 | DXC | DXC Technology Company | Technology | 0.004 | -0.50% | — |
| 21 | MGM | MGM Resorts International | Consumer Cyclical | -0.014 | -0.44% | — |
| 22 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.008 | -0.36% | — |
Sector exposure en el rebalanceo seleccionado
2022-07-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Market Hedge | 0.0% | 74.3% | -74.27% | 0 | 1 |
| Technology | 60.2% | 1.4% | 58.87% | 21 | 2 |
| Healthcare | 26.3% | 1.9% | 24.39% | 9 | 2 |
| Financial Services | 9.2% | 4.1% | 5.08% | 4 | 4 |
| Energy | 0.0% | 8.1% | -8.12% | 0 | 7 |
| Consumer Cyclical | 3.1% | 2.2% | 0.87% | 1 | 3 |
| Consumer Defensive | 4.4% | 0.0% | 4.36% | 2 | 0 |
| Industrials | 2.9% | 1.3% | 1.59% | 1 | 1 |
| Real Estate | 2.7% | 0.8% | 1.87% | 1 | 1 |
| Basic Materials | 2.7% | 0.6% | 2.14% | 1 | 1 |
| Communication Services | 1.3% | 0.8% | 0.49% | 1 | 1 |
| Utilities | 0.8% | 0.0% | 0.80% | 1 | 0 |