Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2022-12-30
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
40
gross 88.7%
Short book
18
gross -20.8%
Sectores cubiertos
10
58 posiciones
Sortino del run
0.96
Long book
40 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.011 | 3.73% | — |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.006 | 3.39% | — |
| 3 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.006 | 3.39% | — |
| 4 | SYK | Stryker Corporation | Healthcare | 0.006 | 3.37% | — |
| 5 | WAT | Waters Corporation | Healthcare | 0.006 | 3.36% | — |
| 6 | ILMN | Illumina, Inc. | Healthcare | 0.006 | 3.33% | — |
| 7 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.006 | 3.33% | — |
| 8 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.006 | 3.32% | — |
| 9 | EW | Edwards Lifesciences Corporation | Healthcare | 0.006 | 3.32% | — |
| 10 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.004 | 2.61% | — |
| 11 | TDG | TransDigm Group Incorporated | Industrials | 0.004 | 2.61% | — |
| 12 | SBAC | SBA Communications Corporation | Real Estate | 0.004 | 2.58% | — |
| 13 | ECL | Ecolab Inc. | Basic Materials | 0.004 | 2.58% | — |
| 14 | FDS | FactSet Research Systems Inc. | Financial Services | 0.004 | 2.53% | — |
| 15 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.011 | 2.19% | — |
| 16 | LIN | Linde plc | Basic Materials | 0.011 | 2.19% | — |
| 17 | NOW | ServiceNow, Inc. | Technology | 0.006 | 2.02% | — |
| 18 | VRSN | VeriSign, Inc. | Technology | 0.006 | 2.02% | — |
| 19 | ADBE | Adobe Inc. | Technology | 0.006 | 2.02% | — |
| 20 | CRM | Salesforce, Inc. | Technology | 0.006 | 2.02% | — |
| 21 | MSFT | Microsoft Corporation | Technology | 0.006 | 2.02% | — |
| 22 | GRMN | Garmin Ltd. | Technology | 0.006 | 2.02% | — |
| 23 | ANSS | ANSYS, Inc. | Technology | 0.006 | 2.01% | — |
| 24 | INTU | Intuit Inc. | Technology | 0.006 | 2.01% | — |
| 25 | ATVI | Activision Blizzard, Inc. | Technology | 0.006 | 2.00% | — |
| 26 | FFIV | F5, Inc. | Technology | 0.006 | 2.00% | — |
| 27 | CSCO | Cisco Systems, Inc. | Technology | 0.006 | 1.99% | — |
| 28 | INTC | Intel Corporation | Technology | 0.006 | 1.99% | — |
| 29 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.006 | 1.99% | — |
| 30 | NTAP | NetApp, Inc. | Technology | 0.006 | 1.97% | — |
| 31 | AMD | Advanced Micro Devices, Inc. | Technology | 0.006 | 1.95% | — |
| 32 | FTNT | Fortinet, Inc. | Technology | 0.006 | 1.73% | — |
| 33 | WDC | Western Digital Corporation | Technology | 0.006 | 1.66% | — |
| 34 | CDNS | Cadence Design Systems, Inc. | Technology | 0.006 | 1.56% | — |
| 35 | MA | Mastercard Incorporated | Financial Services | -0.001 | 1.54% | — |
| 36 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.011 | 1.31% | — |
| 37 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.000 | 1.13% | — |
| 38 | ACN | Accenture plc | Technology | 0.000 | 0.69% | — |
| 39 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.000 | 0.67% | — |
| 40 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.001 | 0.52% | — |
Short book
18 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | -0.006 | -1.63% | — |
| 2 | BAC | Bank of America Corporation | Financial Services | -0.008 | -1.57% | — |
| 3 | BA | The Boeing Company | Industrials | -0.006 | -1.49% | — |
| 4 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.006 | -1.44% | — |
| 5 | BKR | Baker Hughes Company | Energy | -0.001 | -1.42% | — |
| 6 | F | Ford Motor Company | Consumer Cyclical | -0.006 | -1.39% | — |
| 7 | ALB | Albemarle Corporation | Basic Materials | -0.002 | -1.35% | — |
| 8 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.002 | -1.33% | — |
| 9 | MGM | MGM Resorts International | Consumer Cyclical | 0.000 | -1.32% | — |
| 10 | COF | Capital One Financial Corporation | Financial Services | -0.008 | -1.29% | — |
| 11 | SBNY | Signature Bank | Financial Services | -0.002 | -1.28% | — |
| 12 | C | Citigroup Inc. | Financial Services | -0.008 | -0.93% | — |
| 13 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | 0.000 | -0.93% | — |
| 14 | NTRS | Northern Trust Corporation | Financial Services | -0.008 | -0.88% | — |
| 15 | DAY | Dayforce Inc | Technology | -0.006 | -0.87% | — |
| 16 | MPC | Marathon Petroleum Corporation | Energy | -0.014 | -0.71% | — |
| 17 | CAH | Cardinal Health, Inc. | Healthcare | -0.001 | -0.53% | — |
| 18 | NFLX | Netflix, Inc. | Communication Services | -0.004 | -0.51% | — |
Sector exposure en el rebalanceo seleccionado
2022-12-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 35.7% | 0.9% | 34.80% | 19 | 1 |
| Healthcare | 23.4% | 1.5% | 21.91% | 8 | 2 |
| Financial Services | 8.8% | 7.3% | 1.49% | 4 | 6 |
| Consumer Cyclical | 3.3% | 4.1% | -0.82% | 1 | 3 |
| Consumer Defensive | 7.1% | 0.0% | 7.05% | 3 | 0 |
| Basic Materials | 4.8% | 1.4% | 3.42% | 2 | 1 |
| Industrials | 2.6% | 1.5% | 1.12% | 1 | 1 |
| Energy | 0.0% | 3.8% | -3.76% | 0 | 3 |
| Real Estate | 2.6% | 0.0% | 2.58% | 1 | 0 |
| Communication Services | 0.5% | 0.5% | 0.02% | 1 | 1 |