Portfolio
lightgbmLGBM 126d flexible 50 beta40· rebalanceo 2023-02-28
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
39
gross 113.8%
Short book
19
gross -21.5%
Sectores cubiertos
12
59 posiciones
Sortino del run
0.51
Long book
39 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ADBE | Adobe Inc. | Technology | 0.149 | 3.69% | — |
| 2 | INTC | Intel Corporation | Technology | 0.168 | 3.68% | — |
| 3 | NOW | ServiceNow, Inc. | Technology | 0.110 | 3.68% | — |
| 4 | GRMN | Garmin Ltd. | Technology | 0.112 | 3.65% | — |
| 5 | FFIV | F5, Inc. | Technology | 0.109 | 3.58% | — |
| 6 | MSFT | Microsoft Corporation | Technology | 0.122 | 3.58% | — |
| 7 | NTAP | NetApp, Inc. | Technology | 0.100 | 3.57% | — |
| 8 | VRSN | VeriSign, Inc. | Technology | 0.086 | 3.57% | — |
| 9 | INTU | Intuit Inc. | Technology | 0.070 | 3.57% | — |
| 10 | CRM | Salesforce, Inc. | Technology | 0.091 | 3.53% | — |
| 11 | ANSS | ANSYS, Inc. | Technology | 0.075 | 3.53% | — |
| 12 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.088 | 3.53% | — |
| 13 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.090 | 3.44% | — |
| 14 | FTNT | Fortinet, Inc. | Technology | 0.104 | 3.44% | — |
| 15 | EW | Edwards Lifesciences Corporation | Healthcare | 0.080 | 3.39% | — |
| 16 | CSCO | Cisco Systems, Inc. | Technology | 0.065 | 3.39% | — |
| 17 | WAT | Waters Corporation | Healthcare | 0.068 | 3.35% | — |
| 18 | WDC | Western Digital Corporation | Technology | 0.103 | 3.33% | — |
| 19 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.037 | 3.30% | — |
| 20 | AMD | Advanced Micro Devices, Inc. | Technology | 0.070 | 3.29% | — |
| 21 | SYK | Stryker Corporation | Healthcare | 0.058 | 3.22% | — |
| 22 | CDNS | Cadence Design Systems, Inc. | Technology | 0.078 | 3.13% | — |
| 23 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.034 | 3.11% | — |
| 24 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.096 | 3.05% | — |
| 25 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.059 | 2.96% | — |
| 26 | TDG | TransDigm Group Incorporated | Industrials | 0.048 | 2.87% | — |
| 27 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.022 | 2.78% | — |
| 28 | MA | Mastercard Incorporated | Financial Services | 0.078 | 2.71% | — |
| 29 | SBAC | SBA Communications Corporation | Real Estate | 0.043 | 2.69% | — |
| 30 | ECL | Ecolab Inc. | Basic Materials | 0.043 | 2.54% | — |
| 31 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.064 | 2.40% | — |
| 32 | ATVI | Activision Blizzard, Inc. | Technology | -0.020 | 2.15% | — |
| 33 | ACN | Accenture plc | Technology | 0.032 | 2.04% | — |
| 34 | FDS | FactSet Research Systems Inc. | Financial Services | 0.015 | 1.96% | — |
| 35 | LIN | Linde plc | Basic Materials | 0.020 | 1.77% | — |
| 36 | ILMN | Illumina, Inc. | Healthcare | -0.011 | 1.50% | — |
| 37 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.007 | 1.41% | — |
| 38 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.060 | 0.90% | — |
| 39 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.013 | 0.51% | — |
Short book
19 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.076 | -1.68% | — |
| 2 | HAL | Halliburton Company | Energy | -0.068 | -1.68% | — |
| 3 | BAC | Bank of America Corporation | Financial Services | -0.063 | -1.55% | — |
| 4 | DAY | Dayforce Inc | Technology | -0.026 | -1.44% | — |
| 5 | F | Ford Motor Company | Consumer Cyclical | -0.013 | -1.35% | — |
| 6 | BKR | Baker Hughes Company | Energy | -0.004 | -1.32% | — |
| 7 | SBNY | Signature Bank | Financial Services | -0.038 | -1.31% | — |
| 8 | ALB | Albemarle Corporation | Basic Materials | -0.064 | -1.30% | — |
| 9 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.004 | -1.23% | — |
| 10 | BA | The Boeing Company | Industrials | 0.006 | -1.21% | — |
| 11 | MGM | MGM Resorts International | Consumer Cyclical | 0.007 | -1.20% | — |
| 12 | C | Citigroup Inc. | Financial Services | -0.024 | -1.16% | — |
| 13 | SLB | SLB N.V. | Energy | -0.095 | -0.97% | — |
| 14 | CEG | Constellation Energy Corporation | Utilities | -0.065 | -0.91% | — |
| 15 | MPC | Marathon Petroleum Corporation | Energy | -0.072 | -0.81% | — |
| 16 | NFLX | Netflix, Inc. | Communication Services | 0.030 | -0.79% | — |
| 17 | COF | Capital One Financial Corporation | Financial Services | 0.032 | -0.58% | — |
| 18 | HPE | Hewlett Packard Enterprise Company | Technology | 0.011 | -0.55% | — |
| 19 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | 0.025 | -0.42% | — |
Sector exposure en el rebalanceo seleccionado
2023-02-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Market Hedge | 0.0% | 72.7% | -72.71% | 0 | 1 |
| Technology | 63.2% | 2.0% | 61.20% | 19 | 2 |
| Healthcare | 21.5% | 0.4% | 21.06% | 7 | 1 |
| Financial Services | 10.0% | 5.8% | 4.20% | 4 | 5 |
| Consumer Cyclical | 3.3% | 4.2% | -0.93% | 1 | 3 |
| Basic Materials | 4.3% | 1.3% | 3.01% | 2 | 1 |
| Consumer Defensive | 5.0% | 0.0% | 5.03% | 3 | 0 |
| Energy | 0.0% | 4.8% | -4.78% | 0 | 4 |
| Industrials | 2.9% | 1.2% | 1.66% | 1 | 1 |
| Real Estate | 2.7% | 0.0% | 2.69% | 1 | 0 |
| Communication Services | 0.9% | 0.8% | 0.10% | 1 | 1 |
| Utilities | 0.0% | 0.9% | -0.91% | 0 | 1 |