Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2022-08-31
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
69 rebalanceosSnapshot (histórico)
Long book
40
gross 89.1%
Short book
22
gross -20.9%
Sectores cubiertos
11
62 posiciones
Sortino del run
0.96
Long book
40 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.006 | 3.52% | — |
| 2 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.006 | 3.50% | — |
| 3 | SYK | Stryker Corporation | Healthcare | 0.006 | 3.41% | — |
| 4 | WAT | Waters Corporation | Healthcare | 0.006 | 3.37% | — |
| 5 | ILMN | Illumina, Inc. | Healthcare | 0.006 | 3.24% | — |
| 6 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.006 | 3.20% | — |
| 7 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.006 | 3.17% | — |
| 8 | EW | Edwards Lifesciences Corporation | Healthcare | 0.006 | 3.15% | — |
| 9 | MA | Mastercard Incorporated | Financial Services | 0.004 | 2.84% | — |
| 10 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.004 | 2.78% | — |
| 11 | TDG | TransDigm Group Incorporated | Industrials | 0.004 | 2.77% | — |
| 12 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.011 | 2.77% | — |
| 13 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.011 | 2.77% | — |
| 14 | SBAC | SBA Communications Corporation | Real Estate | 0.004 | 2.63% | — |
| 15 | ECL | Ecolab Inc. | Basic Materials | 0.004 | 2.63% | — |
| 16 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.000 | 2.37% | — |
| 17 | FDS | FactSet Research Systems Inc. | Financial Services | 0.004 | 2.37% | — |
| 18 | NOW | ServiceNow, Inc. | Technology | 0.006 | 2.09% | — |
| 19 | VRSN | VeriSign, Inc. | Technology | 0.006 | 2.08% | — |
| 20 | ADBE | Adobe Inc. | Technology | 0.006 | 2.06% | — |
| 21 | CRM | Salesforce, Inc. | Technology | 0.006 | 2.06% | — |
| 22 | MSFT | Microsoft Corporation | Technology | 0.006 | 2.05% | — |
| 23 | GRMN | Garmin Ltd. | Technology | 0.006 | 2.05% | — |
| 24 | ANSS | ANSYS, Inc. | Technology | 0.006 | 2.03% | — |
| 25 | INTU | Intuit Inc. | Technology | 0.006 | 2.03% | — |
| 26 | ATVI | Activision Blizzard, Inc. | Technology | 0.006 | 2.00% | — |
| 27 | FFIV | F5, Inc. | Technology | 0.006 | 2.00% | — |
| 28 | CSCO | Cisco Systems, Inc. | Technology | 0.006 | 1.94% | — |
| 29 | INTC | Intel Corporation | Technology | 0.006 | 1.93% | — |
| 30 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.006 | 1.91% | — |
| 31 | NTAP | NetApp, Inc. | Technology | 0.006 | 1.80% | — |
| 32 | CDNS | Cadence Design Systems, Inc. | Technology | -0.002 | 1.77% | — |
| 33 | AMD | Advanced Micro Devices, Inc. | Technology | 0.006 | 1.72% | — |
| 34 | ACN | Accenture plc | Technology | 0.011 | 1.70% | — |
| 35 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.001 | 1.61% | — |
| 36 | BSX | Boston Scientific Corporation | Healthcare | -0.002 | 0.96% | — |
| 37 | ADSK | Autodesk, Inc. | Technology | -0.002 | 0.82% | — |
| 38 | FTNT | Fortinet, Inc. | Technology | 0.006 | 0.80% | — |
| 39 | WDC | Western Digital Corporation | Technology | 0.006 | 0.68% | — |
| 40 | AEE | Ameren Corporation | Utilities | 0.000 | 0.54% | — |
Short book
22 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | -0.006 | -1.66% | — |
| 2 | MPC | Marathon Petroleum Corporation | Energy | -0.014 | -1.62% | — |
| 3 | BAC | Bank of America Corporation | Financial Services | -0.008 | -1.59% | — |
| 4 | BKR | Baker Hughes Company | Energy | -0.006 | -1.44% | — |
| 5 | BA | The Boeing Company | Industrials | -0.006 | -1.41% | — |
| 6 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.002 | -1.39% | — |
| 7 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.006 | -1.29% | — |
| 8 | CAH | Cardinal Health, Inc. | Healthcare | -0.001 | -1.24% | — |
| 9 | F | Ford Motor Company | Consumer Cyclical | -0.006 | -1.08% | — |
| 10 | SBNY | Signature Bank | Financial Services | -0.006 | -1.08% | — |
| 11 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | 0.006 | -0.90% | — |
| 12 | SLB | SLB N.V. | Energy | 0.000 | -0.87% | — |
| 13 | MGM | MGM Resorts International | Consumer Cyclical | -0.014 | -0.82% | — |
| 14 | DAY | Dayforce Inc | Technology | -0.006 | -0.68% | — |
| 15 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.006 | -0.56% | — |
| 16 | IRM | Iron Mountain Incorporated | Real Estate | 0.004 | -0.56% | — |
| 17 | OKE | ONEOK, Inc. | Energy | 0.000 | -0.55% | — |
| 18 | ALB | Albemarle Corporation | Basic Materials | -0.006 | -0.50% | — |
| 19 | WMB | The Williams Companies, Inc. | Energy | 0.000 | -0.47% | — |
| 20 | CI | Cigna Corporation | Healthcare | 0.000 | -0.47% | — |
| 21 | KMI | Kinder Morgan, Inc. | Energy | 0.000 | -0.39% | — |
| 22 | DD | DuPont de Nemours, Inc. | Basic Materials | 0.000 | -0.37% | — |
Sector exposure en el rebalanceo seleccionado
2022-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 35.5% | 0.7% | 34.82% | 20 | 1 |
| Healthcare | 26.0% | 3.0% | 22.98% | 9 | 3 |
| Financial Services | 8.7% | 4.1% | 4.67% | 3 | 3 |
| Energy | 0.0% | 7.0% | -7.00% | 0 | 7 |
| Consumer Cyclical | 3.2% | 2.5% | 0.72% | 1 | 3 |
| Consumer Defensive | 5.5% | 0.0% | 5.53% | 2 | 0 |
| Industrials | 2.8% | 1.4% | 1.36% | 1 | 1 |
| Basic Materials | 2.6% | 0.9% | 1.75% | 1 | 2 |
| Real Estate | 2.6% | 0.6% | 2.07% | 1 | 1 |
| Communication Services | 1.6% | 0.9% | 0.72% | 1 | 1 |
| Utilities | 0.5% | 0.0% | 0.54% | 1 | 0 |