Portfolio
lightgbmLGBM 126d fundamental flexible sector45· rebalanceo 2022-09-30
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
27
gross 73.0%
Short book
21
gross -21.1%
Sectores cubiertos
10
48 posiciones
Sortino del run
0.79
Long book
27 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.006 | 3.46% | — |
| 2 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.006 | 3.44% | — |
| 3 | WAT | Waters Corporation | Healthcare | 0.006 | 3.36% | — |
| 4 | ILMN | Illumina, Inc. | Healthcare | 0.006 | 3.27% | — |
| 5 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.006 | 3.25% | — |
| 6 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.006 | 3.22% | — |
| 7 | EW | Edwards Lifesciences Corporation | Healthcare | 0.006 | 3.21% | — |
| 8 | NOW | ServiceNow, Inc. | Technology | 0.006 | 2.86% | — |
| 9 | VRSN | VeriSign, Inc. | Technology | 0.006 | 2.86% | — |
| 10 | ADBE | Adobe Inc. | Technology | 0.006 | 2.84% | — |
| 11 | CRM | Salesforce, Inc. | Technology | 0.006 | 2.84% | — |
| 12 | MSFT | Microsoft Corporation | Technology | 0.006 | 2.84% | — |
| 13 | GRMN | Garmin Ltd. | Technology | 0.006 | 2.83% | — |
| 14 | INTU | Intuit Inc. | Technology | 0.006 | 2.81% | — |
| 15 | FFIV | F5, Inc. | Technology | 0.006 | 2.78% | — |
| 16 | CSCO | Cisco Systems, Inc. | Technology | 0.006 | 2.72% | — |
| 17 | INTC | Intel Corporation | Technology | 0.006 | 2.71% | — |
| 18 | MA | Mastercard Incorporated | Financial Services | 0.004 | 2.70% | — |
| 19 | TDG | TransDigm Group Incorporated | Industrials | 0.004 | 2.65% | — |
| 20 | NTAP | NetApp, Inc. | Technology | 0.006 | 2.58% | — |
| 21 | SBAC | SBA Communications Corporation | Real Estate | 0.004 | 2.57% | — |
| 22 | ECL | Ecolab Inc. | Basic Materials | 0.004 | 2.56% | — |
| 23 | AMD | Advanced Micro Devices, Inc. | Technology | 0.006 | 2.51% | — |
| 24 | ACN | Accenture plc | Technology | 0.000 | 2.30% | — |
| 25 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.000 | 2.22% | — |
| 26 | WDC | Western Digital Corporation | Technology | 0.006 | 1.23% | — |
| 27 | AEE | Ameren Corporation | Utilities | 0.000 | 0.36% | — |
Short book
21 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | -0.006 | -1.65% | — |
| 2 | BAC | Bank of America Corporation | Financial Services | -0.008 | -1.60% | — |
| 3 | MPC | Marathon Petroleum Corporation | Energy | -0.014 | -1.59% | — |
| 4 | BKR | Baker Hughes Company | Energy | -0.006 | -1.48% | — |
| 5 | BA | The Boeing Company | Industrials | -0.006 | -1.47% | — |
| 6 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.002 | -1.41% | — |
| 7 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.006 | -1.35% | — |
| 8 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.006 | -1.33% | — |
| 9 | SBNY | Signature Bank | Financial Services | -0.006 | -1.22% | — |
| 10 | F | Ford Motor Company | Consumer Cyclical | -0.006 | -1.21% | — |
| 11 | MGM | MGM Resorts International | Consumer Cyclical | -0.014 | -1.07% | — |
| 12 | DAY | Dayforce Inc | Technology | -0.006 | -1.05% | — |
| 13 | ALB | Albemarle Corporation | Basic Materials | -0.006 | -0.85% | — |
| 14 | HPE | Hewlett Packard Enterprise Company | Technology | -0.002 | -0.69% | — |
| 15 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | 0.006 | -0.60% | — |
| 16 | SLB | SLB N.V. | Energy | 0.000 | -0.58% | — |
| 17 | COF | Capital One Financial Corporation | Financial Services | -0.008 | -0.53% | — |
| 18 | IRM | Iron Mountain Incorporated | Real Estate | 0.004 | -0.37% | — |
| 19 | OKE | ONEOK, Inc. | Energy | 0.000 | -0.37% | — |
| 20 | WMB | The Williams Companies, Inc. | Energy | 0.000 | -0.31% | — |
| 21 | CI | Cigna Corporation | Healthcare | 0.000 | -0.31% | — |
Sector exposure en el rebalanceo seleccionado
2022-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 36.7% | 1.7% | 34.98% | 14 | 2 |
| Healthcare | 18.7% | 1.7% | 17.07% | 6 | 2 |
| Financial Services | 6.2% | 4.8% | 1.40% | 2 | 4 |
| Consumer Cyclical | 3.2% | 3.6% | -0.38% | 1 | 3 |
| Energy | 0.0% | 6.0% | -6.00% | 0 | 6 |
| Industrials | 2.6% | 1.5% | 1.18% | 1 | 1 |
| Basic Materials | 2.6% | 0.9% | 1.71% | 1 | 1 |
| Real Estate | 2.6% | 0.4% | 2.19% | 1 | 1 |
| Communication Services | 0.0% | 0.6% | -0.60% | 0 | 1 |
| Utilities | 0.4% | 0.0% | 0.36% | 1 | 0 |