Portfolio
lightgbmLGBM 126d fundamental flexible sector45· 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
28
gross 73.6%
Short book
19
gross -20.8%
Sectores cubiertos
11
47 posiciones
Sortino del run
0.79
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.088 | 3.46% | — |
| 2 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.081 | 3.39% | — |
| 3 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.076 | 3.38% | — |
| 4 | WAT | Waters Corporation | Healthcare | 0.067 | 3.35% | — |
| 5 | EW | Edwards Lifesciences Corporation | Healthcare | 0.072 | 3.34% | — |
| 6 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.033 | 2.96% | — |
| 7 | NOW | ServiceNow, Inc. | Technology | 0.138 | 2.82% | — |
| 8 | ADBE | Adobe Inc. | Technology | 0.145 | 2.82% | — |
| 9 | INTC | Intel Corporation | Technology | 0.168 | 2.80% | — |
| 10 | GRMN | Garmin Ltd. | Technology | 0.116 | 2.80% | — |
| 11 | INTU | Intuit Inc. | Technology | 0.116 | 2.79% | — |
| 12 | TDG | TransDigm Group Incorporated | Industrials | 0.059 | 2.79% | — |
| 13 | VRSN | VeriSign, Inc. | Technology | 0.105 | 2.78% | — |
| 14 | FFIV | F5, Inc. | Technology | 0.098 | 2.75% | — |
| 15 | CRM | Salesforce, Inc. | Technology | 0.088 | 2.75% | — |
| 16 | NTAP | NetApp, Inc. | Technology | 0.109 | 2.74% | — |
| 17 | MSFT | Microsoft Corporation | Technology | 0.087 | 2.74% | — |
| 18 | CSCO | Cisco Systems, Inc. | Technology | 0.074 | 2.69% | — |
| 19 | SBAC | SBA Communications Corporation | Real Estate | 0.046 | 2.67% | — |
| 20 | AMD | Advanced Micro Devices, Inc. | Technology | 0.061 | 2.60% | — |
| 21 | ECL | Ecolab Inc. | Basic Materials | 0.038 | 2.50% | — |
| 22 | WDC | Western Digital Corporation | Technology | 0.103 | 2.45% | — |
| 23 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.040 | 2.41% | — |
| 24 | MA | Mastercard Incorporated | Financial Services | 0.106 | 2.25% | — |
| 25 | ILMN | Illumina, Inc. | Healthcare | -0.000 | 2.23% | — |
| 26 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.026 | 1.51% | — |
| 27 | ACN | Accenture plc | Technology | 0.058 | 1.34% | — |
| 28 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.012 | 0.45% | — |
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 | F | Ford Motor Company | Consumer Cyclical | -0.028 | -1.38% | — |
| 5 | BKR | Baker Hughes Company | Energy | -0.014 | -1.38% | — |
| 6 | BA | The Boeing Company | Industrials | -0.001 | -1.35% | — |
| 7 | SBNY | Signature Bank | Financial Services | -0.038 | -1.30% | — |
| 8 | MGM | MGM Resorts International | Consumer Cyclical | -0.015 | -1.27% | — |
| 9 | ALB | Albemarle Corporation | Basic Materials | 0.011 | -1.25% | — |
| 10 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.004 | -1.24% | — |
| 11 | DAY | Dayforce Inc | Technology | -0.038 | -1.16% | — |
| 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 | -0.70% | — |
| 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 | 36.9% | 1.9% | 35.00% | 14 | 2 |
| Healthcare | 16.2% | 0.6% | 15.59% | 6 | 1 |
| Financial Services | 5.2% | 6.1% | -0.84% | 2 | 5 |
| Consumer Cyclical | 3.4% | 4.3% | -0.88% | 1 | 3 |
| Industrials | 2.8% | 1.4% | 1.43% | 1 | 1 |
| Energy | 0.0% | 4.1% | -4.10% | 0 | 4 |
| Consumer Defensive | 3.9% | 0.0% | 3.92% | 2 | 0 |
| Basic Materials | 2.5% | 1.3% | 1.25% | 1 | 1 |
| Real Estate | 2.7% | 0.0% | 2.67% | 1 | 0 |
| Communication Services | 0.0% | 0.7% | -0.68% | 0 | 1 |
| Utilities | 0.0% | 0.6% | -0.57% | 0 | 1 |