Portfolio
lightgbmLGBM 126d fundamental flexible 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
28
gross 74.2%
Short book
17
gross -21.0%
Sectores cubiertos
10
45 posiciones
Sortino del run
0.79
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.006 | 3.39% | — |
| 2 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.006 | 3.39% | — |
| 3 | WAT | Waters Corporation | Healthcare | 0.006 | 3.36% | — |
| 4 | ILMN | Illumina, Inc. | Healthcare | 0.006 | 3.33% | — |
| 5 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.006 | 3.33% | — |
| 6 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.006 | 3.32% | — |
| 7 | EW | Edwards Lifesciences Corporation | Healthcare | 0.006 | 3.32% | — |
| 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 | 2.85% | — |
| 11 | CRM | Salesforce, Inc. | Technology | 0.006 | 2.85% | — |
| 12 | MSFT | Microsoft Corporation | Technology | 0.006 | 2.85% | — |
| 13 | GRMN | Garmin Ltd. | Technology | 0.006 | 2.85% | — |
| 14 | INTU | Intuit Inc. | Technology | 0.006 | 2.84% | — |
| 15 | FFIV | F5, Inc. | Technology | 0.006 | 2.83% | — |
| 16 | CSCO | Cisco Systems, Inc. | Technology | 0.006 | 2.82% | — |
| 17 | INTC | Intel Corporation | Technology | 0.006 | 2.81% | — |
| 18 | NTAP | NetApp, Inc. | Technology | 0.006 | 2.77% | — |
| 19 | AMD | Advanced Micro Devices, Inc. | Technology | 0.006 | 2.75% | — |
| 20 | TDG | TransDigm Group Incorporated | Industrials | 0.004 | 2.60% | — |
| 21 | SBAC | SBA Communications Corporation | Real Estate | 0.004 | 2.58% | — |
| 22 | ECL | Ecolab Inc. | Basic Materials | 0.004 | 2.58% | — |
| 23 | WDC | Western Digital Corporation | Technology | 0.006 | 2.37% | — |
| 24 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.011 | 2.19% | — |
| 25 | MA | Mastercard Incorporated | Financial Services | -0.001 | 1.54% | — |
| 26 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.011 | 1.31% | — |
| 27 | ACN | Accenture plc | Technology | 0.000 | 0.94% | — |
| 28 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.000 | 0.67% | — |
Short book
17 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 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.006 | -1.56% | — |
| 4 | BA | The Boeing Company | Industrials | -0.006 | -1.49% | — |
| 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 | DAY | Dayforce Inc | Technology | -0.006 | -1.23% | — |
| 13 | HPE | Hewlett Packard Enterprise Company | Technology | -0.002 | -1.04% | — |
| 14 | C | Citigroup Inc. | Financial Services | -0.008 | -0.93% | — |
| 15 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | 0.000 | -0.93% | — |
| 16 | MPC | Marathon Petroleum Corporation | Energy | -0.014 | -0.71% | — |
| 17 | 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 | 37.3% | 2.3% | 34.99% | 14 | 2 |
| Healthcare | 17.4% | 0.9% | 16.46% | 6 | 1 |
| Financial Services | 4.9% | 6.4% | -1.47% | 2 | 5 |
| Consumer Cyclical | 3.3% | 4.3% | -0.94% | 1 | 3 |
| Industrials | 2.6% | 1.5% | 1.12% | 1 | 1 |
| Basic Materials | 2.6% | 1.4% | 1.23% | 1 | 1 |
| Energy | 0.0% | 3.8% | -3.76% | 0 | 3 |
| Consumer Defensive | 3.5% | 0.0% | 3.50% | 2 | 0 |
| Real Estate | 2.6% | 0.0% | 2.58% | 1 | 0 |
| Communication Services | 0.0% | 0.5% | -0.51% | 0 | 1 |