Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2023-03-31
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
39
gross 85.5%
Short book
19
gross -20.4%
Sectores cubiertos
10
58 posiciones
Sortino del run
0.96
Long book
39 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.088 | 3.57% | — |
| 2 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.082 | 3.50% | — |
| 3 | EW | Edwards Lifesciences Corporation | Healthcare | 0.082 | 3.44% | — |
| 4 | WAT | Waters Corporation | Healthcare | 0.070 | 3.38% | — |
| 5 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.060 | 3.19% | — |
| 6 | SYK | Stryker Corporation | Healthcare | 0.043 | 3.14% | — |
| 7 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.020 | 3.02% | — |
| 8 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.052 | 2.98% | — |
| 9 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.049 | 2.94% | — |
| 10 | TDG | TransDigm Group Incorporated | Industrials | 0.048 | 2.92% | — |
| 11 | MA | Mastercard Incorporated | Financial Services | 0.024 | 2.88% | — |
| 12 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.052 | 2.68% | — |
| 13 | ECL | Ecolab Inc. | Basic Materials | 0.041 | 2.55% | — |
| 14 | SBAC | SBA Communications Corporation | Real Estate | 0.015 | 2.45% | — |
| 15 | INTC | Intel Corporation | Technology | 0.168 | 2.13% | — |
| 16 | ADBE | Adobe Inc. | Technology | 0.133 | 2.12% | — |
| 17 | NOW | ServiceNow, Inc. | Technology | 0.120 | 2.11% | — |
| 18 | GRMN | Garmin Ltd. | Technology | 0.095 | 2.08% | — |
| 19 | NTAP | NetApp, Inc. | Technology | 0.104 | 2.05% | — |
| 20 | MSFT | Microsoft Corporation | Technology | 0.095 | 2.05% | — |
| 21 | FFIV | F5, Inc. | Technology | 0.085 | 2.05% | — |
| 22 | VRSN | VeriSign, Inc. | Technology | 0.086 | 2.03% | — |
| 23 | ANSS | ANSYS, Inc. | Technology | 0.081 | 2.01% | — |
| 24 | FTNT | Fortinet, Inc. | Technology | 0.095 | 1.99% | — |
| 25 | CRM | Salesforce, Inc. | Technology | 0.069 | 1.99% | — |
| 26 | INTU | Intuit Inc. | Technology | 0.060 | 1.99% | — |
| 27 | WDC | Western Digital Corporation | Technology | 0.118 | 1.97% | — |
| 28 | AMD | Advanced Micro Devices, Inc. | Technology | 0.122 | 1.94% | — |
| 29 | CSCO | Cisco Systems, Inc. | Technology | 0.055 | 1.91% | — |
| 30 | CDNS | Cadence Design Systems, Inc. | Technology | 0.082 | 1.84% | — |
| 31 | LIN | Linde plc | Basic Materials | 0.033 | 1.74% | — |
| 32 | FDS | FactSet Research Systems Inc. | Financial Services | 0.020 | 1.72% | — |
| 33 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.021 | 1.36% | — |
| 34 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.039 | 1.36% | — |
| 35 | ACN | Accenture plc | Technology | 0.050 | 1.28% | — |
| 36 | ILMN | Illumina, Inc. | Healthcare | -0.011 | 1.00% | — |
| 37 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.012 | 0.94% | — |
| 38 | ATVI | Activision Blizzard, Inc. | Technology | -0.015 | 0.83% | — |
| 39 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.028 | 0.34% | — |
Short book
19 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | -0.063 | -1.69% | — |
| 2 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.052 | -1.67% | — |
| 3 | BAC | Bank of America Corporation | Financial Services | -0.053 | -1.55% | — |
| 4 | ALB | Albemarle Corporation | Basic Materials | -0.061 | -1.36% | — |
| 5 | NTRS | Northern Trust Corporation | Financial Services | -0.043 | -1.34% | — |
| 6 | F | Ford Motor Company | Consumer Cyclical | -0.017 | -1.33% | — |
| 7 | BKR | Baker Hughes Company | Energy | -0.002 | -1.27% | — |
| 8 | SLB | SLB N.V. | Energy | -0.095 | -1.24% | — |
| 9 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.002 | -1.21% | — |
| 10 | C | Citigroup Inc. | Financial Services | -0.024 | -1.20% | — |
| 11 | BA | The Boeing Company | Industrials | -0.006 | -1.12% | — |
| 12 | MGM | MGM Resorts International | Consumer Cyclical | 0.010 | -1.12% | — |
| 13 | SBNY | — | — | — | -0.88% | — |
| 14 | DAY | Dayforce Inc | Technology | -0.020 | -0.80% | — |
| 15 | TRGP | Targa Resources Corp. | Energy | -0.151 | -0.58% | — |
| 16 | MPC | Marathon Petroleum Corporation | Energy | -0.076 | -0.54% | — |
| 17 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.055 | -0.53% | — |
| 18 | NFLX | Netflix, Inc. | Communication Services | 0.029 | -0.53% | — |
| 19 | COF | Capital One Financial Corporation | Financial Services | 0.052 | -0.39% | — |
Sector exposure en el rebalanceo seleccionado
2023-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 35.7% | 0.8% | 34.94% | 19 | 1 |
| Healthcare | 21.2% | 0.0% | 21.22% | 7 | 0 |
| Financial Services | 10.2% | 5.7% | 4.54% | 4 | 5 |
| Consumer Cyclical | 3.0% | 4.6% | -1.63% | 1 | 4 |
| Basic Materials | 4.3% | 1.4% | 2.93% | 2 | 1 |
| Energy | 0.0% | 5.3% | -5.33% | 0 | 5 |
| Consumer Defensive | 4.3% | 0.0% | 4.26% | 3 | 0 |
| Industrials | 2.9% | 1.1% | 1.80% | 1 | 1 |
| Real Estate | 2.4% | 0.0% | 2.45% | 1 | 0 |
| Communication Services | 1.4% | 0.5% | 0.83% | 1 | 1 |
| Unknown | 0.0% | 0.9% | -0.88% | 0 | 1 |