Portfolio
lightgbmLGBM 126d fundamental flexible uncapped· rebalanceo 2022-11-30
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 80.0%
Short book
16
gross -21.0%
Sectores cubiertos
9
43 posiciones
Sortino del run
0.96
Long book
27 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.006 | 3.40% | — |
| 2 | VRSN | VeriSign, Inc. | Technology | 0.006 | 3.40% | — |
| 3 | NOW | ServiceNow, Inc. | Technology | 0.006 | 3.40% | — |
| 4 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.006 | 3.40% | — |
| 5 | ADBE | Adobe Inc. | Technology | 0.006 | 3.39% | — |
| 6 | CRM | Salesforce, Inc. | Technology | 0.006 | 3.39% | — |
| 7 | MSFT | Microsoft Corporation | Technology | 0.006 | 3.39% | — |
| 8 | GRMN | Garmin Ltd. | Technology | 0.006 | 3.38% | — |
| 9 | INTU | Intuit Inc. | Technology | 0.006 | 3.37% | — |
| 10 | WAT | Waters Corporation | Healthcare | 0.006 | 3.36% | — |
| 11 | FFIV | F5, Inc. | Technology | 0.006 | 3.35% | — |
| 12 | CSCO | Cisco Systems, Inc. | Technology | 0.006 | 3.32% | — |
| 13 | ILMN | Illumina, Inc. | Healthcare | 0.006 | 3.32% | — |
| 14 | INTC | Intel Corporation | Technology | 0.006 | 3.31% | — |
| 15 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.006 | 3.31% | — |
| 16 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.006 | 3.30% | — |
| 17 | EW | Edwards Lifesciences Corporation | Healthcare | 0.006 | 3.29% | — |
| 18 | NTAP | NetApp, Inc. | Technology | 0.006 | 3.25% | — |
| 19 | AMD | Advanced Micro Devices, Inc. | Technology | 0.006 | 3.21% | — |
| 20 | TDG | TransDigm Group Incorporated | Industrials | 0.004 | 2.60% | — |
| 21 | SBAC | SBA Communications Corporation | Real Estate | 0.004 | 2.56% | — |
| 22 | ECL | Ecolab Inc. | Basic Materials | 0.004 | 2.56% | — |
| 23 | WDC | Western Digital Corporation | Technology | 0.006 | 2.52% | — |
| 24 | MA | Mastercard Incorporated | Financial Services | -0.001 | 2.29% | — |
| 25 | ACN | Accenture plc | Technology | 0.000 | 1.69% | — |
| 26 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.011 | 1.31% | — |
| 27 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.000 | 1.00% | — |
Short book
16 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 | -1.58% | — |
| 3 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.006 | -1.52% | — |
| 4 | BA | The Boeing Company | Industrials | -0.006 | -1.49% | — |
| 5 | BKR | Baker Hughes Company | Energy | -0.001 | -1.48% | — |
| 6 | DAY | Dayforce Inc | Technology | -0.006 | -1.41% | — |
| 7 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | 0.000 | -1.38% | — |
| 8 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.002 | -1.36% | — |
| 9 | F | Ford Motor Company | Consumer Cyclical | -0.006 | -1.35% | — |
| 10 | MGM | MGM Resorts International | Consumer Cyclical | 0.000 | -1.30% | — |
| 11 | SBNY | Signature Bank | Financial Services | -0.002 | -1.28% | — |
| 12 | ALB | Albemarle Corporation | Basic Materials | -0.018 | -1.26% | — |
| 13 | HPE | Hewlett Packard Enterprise Company | Technology | -0.002 | -1.17% | — |
| 14 | COF | Capital One Financial Corporation | Financial Services | -0.008 | -1.13% | — |
| 15 | MPC | Marathon Petroleum Corporation | Energy | -0.014 | -1.06% | — |
| 16 | C | Citigroup Inc. | Financial Services | -0.008 | -0.56% | — |
Sector exposure en el rebalanceo seleccionado
2022-11-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 44.4% | 2.6% | 41.77% | 14 | 2 |
| Healthcare | 17.7% | 1.4% | 16.28% | 6 | 1 |
| Financial Services | 5.7% | 5.9% | -0.21% | 2 | 5 |
| Consumer Cyclical | 3.3% | 4.2% | -0.87% | 1 | 3 |
| Energy | 0.0% | 4.2% | -4.18% | 0 | 3 |
| Industrials | 2.6% | 1.5% | 1.10% | 1 | 1 |
| Basic Materials | 2.6% | 1.3% | 1.30% | 1 | 1 |
| Real Estate | 2.6% | 0.0% | 2.56% | 1 | 0 |
| Consumer Defensive | 1.3% | 0.0% | 1.31% | 1 | 0 |