Portfolio
lightgbmLGBM 126d flexible 50 beta60· rebalanceo 2023-01-31
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 114.5%
Short book
19
gross -21.2%
Sectores cubiertos
12
60 posiciones
Sortino del run
0.81
Long book
40 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NOW | ServiceNow, Inc. | Technology | 0.138 | 3.57% | — |
| 2 | ADBE | Adobe Inc. | Technology | 0.145 | 3.57% | — |
| 3 | INTC | Intel Corporation | Technology | 0.168 | 3.54% | — |
| 4 | GRMN | Garmin Ltd. | Technology | 0.116 | 3.53% | — |
| 5 | INTU | Intuit Inc. | Technology | 0.116 | 3.53% | — |
| 6 | VRSN | VeriSign, Inc. | Technology | 0.105 | 3.51% | — |
| 7 | ANSS | ANSYS, Inc. | Technology | 0.104 | 3.50% | — |
| 8 | FFIV | F5, Inc. | Technology | 0.098 | 3.47% | — |
| 9 | CRM | Salesforce, Inc. | Technology | 0.088 | 3.46% | — |
| 10 | NTAP | NetApp, Inc. | Technology | 0.109 | 3.46% | — |
| 11 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.088 | 3.46% | — |
| 12 | MSFT | Microsoft Corporation | Technology | 0.087 | 3.45% | — |
| 13 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.040 | 3.44% | — |
| 14 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.081 | 3.39% | — |
| 15 | CSCO | Cisco Systems, Inc. | Technology | 0.074 | 3.38% | — |
| 16 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.076 | 3.38% | — |
| 17 | WAT | Waters Corporation | Healthcare | 0.067 | 3.35% | — |
| 18 | EW | Edwards Lifesciences Corporation | Healthcare | 0.072 | 3.34% | — |
| 19 | AMD | Advanced Micro Devices, Inc. | Technology | 0.061 | 3.27% | — |
| 20 | SYK | Stryker Corporation | Healthcare | 0.050 | 3.25% | — |
| 21 | FTNT | Fortinet, Inc. | Technology | 0.125 | 3.24% | — |
| 22 | ATVI | Activision Blizzard, Inc. | Technology | 0.047 | 3.22% | — |
| 23 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.044 | 3.16% | — |
| 24 | WDC | Western Digital Corporation | Technology | 0.103 | 3.11% | — |
| 25 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.033 | 2.96% | — |
| 26 | CDNS | Cadence Design Systems, Inc. | Technology | 0.084 | 2.93% | — |
| 27 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.063 | 2.81% | — |
| 28 | TDG | TransDigm Group Incorporated | Industrials | 0.059 | 2.79% | — |
| 29 | SBAC | SBA Communications Corporation | Real Estate | 0.046 | 2.67% | — |
| 30 | ECL | Ecolab Inc. | Basic Materials | 0.038 | 2.50% | — |
| 31 | FDS | FactSet Research Systems Inc. | Financial Services | 0.032 | 2.33% | — |
| 32 | MA | Mastercard Incorporated | Financial Services | 0.106 | 2.25% | — |
| 33 | ILMN | Illumina, Inc. | Healthcare | -0.000 | 2.23% | — |
| 34 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.026 | 2.10% | — |
| 35 | LIN | Linde plc | Basic Materials | 0.021 | 2.01% | — |
| 36 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.056 | 1.95% | — |
| 37 | ACN | Accenture plc | Technology | 0.058 | 1.77% | — |
| 38 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.016 | 0.76% | — |
| 39 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.012 | 0.45% | — |
| 40 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.015 | 0.35% | — |
Short book
19 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | -0.082 | -1.66% | — |
| 2 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.094 | -1.63% | — |
| 3 | BAC | Bank of America Corporation | Financial Services | -0.040 | -1.55% | — |
| 4 | DAY | Dayforce Inc | Technology | -0.038 | -1.46% | — |
| 5 | F | Ford Motor Company | Consumer Cyclical | -0.028 | -1.38% | — |
| 6 | BKR | Baker Hughes Company | Energy | -0.014 | -1.38% | — |
| 7 | BA | The Boeing Company | Industrials | -0.001 | -1.35% | — |
| 8 | SBNY | Signature Bank | Financial Services | -0.038 | -1.30% | — |
| 9 | MGM | MGM Resorts International | Consumer Cyclical | -0.015 | -1.27% | — |
| 10 | ALB | Albemarle Corporation | Basic Materials | 0.011 | -1.25% | — |
| 11 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.004 | -1.24% | — |
| 12 | C | Citigroup Inc. | Financial Services | -0.020 | -1.11% | — |
| 13 | COF | Capital One Financial Corporation | Financial Services | 0.028 | -0.86% | — |
| 14 | HPE | Hewlett Packard Enterprise Company | Technology | 0.045 | -0.82% | — |
| 15 | NFLX | Netflix, Inc. | Communication Services | 0.041 | -0.68% | — |
| 16 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | 0.025 | -0.62% | — |
| 17 | SLB | SLB N.V. | Energy | -0.095 | -0.58% | — |
| 18 | CEG | Constellation Energy Corporation | Utilities | -0.100 | -0.57% | — |
| 19 | MPC | Marathon Petroleum Corporation | Energy | -0.074 | -0.47% | — |
Sector exposure en el rebalanceo seleccionado
2023-01-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 62.7% | 2.3% | 60.39% | 19 | 2 |
| Market Hedge | 0.0% | 51.6% | -51.56% | 0 | 1 |
| Healthcare | 22.3% | 0.6% | 21.66% | 8 | 1 |
| Financial Services | 9.5% | 6.1% | 3.44% | 4 | 5 |
| Consumer Cyclical | 3.4% | 4.3% | -0.88% | 1 | 3 |
| Consumer Defensive | 6.3% | 0.0% | 6.30% | 3 | 0 |
| Basic Materials | 4.5% | 1.3% | 3.26% | 2 | 1 |
| Industrials | 2.8% | 1.4% | 1.44% | 1 | 1 |
| Energy | 0.0% | 4.1% | -4.10% | 0 | 4 |
| Real Estate | 2.7% | 0.0% | 2.67% | 1 | 0 |
| Communication Services | 0.4% | 0.7% | -0.33% | 1 | 1 |
| Utilities | 0.0% | 0.6% | -0.57% | 0 | 1 |