Portfolio
lightgbmLGBM 126d flexible 50 beta60· rebalanceo 2023-04-28
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 112.5%
Short book
19
gross -21.0%
Sectores cubiertos
12
59 posiciones
Sortino del run
0.81
Long book
39 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | INTC | Intel Corporation | Technology | 0.172 | 3.85% | — |
| 2 | ADBE | Adobe Inc. | Technology | 0.127 | 3.83% | — |
| 3 | NOW | ServiceNow, Inc. | Technology | 0.156 | 3.82% | — |
| 4 | GRMN | Garmin Ltd. | Technology | 0.095 | 3.72% | — |
| 5 | NTAP | NetApp, Inc. | Technology | 0.104 | 3.70% | — |
| 6 | MSFT | Microsoft Corporation | Technology | 0.095 | 3.69% | — |
| 7 | FFIV | F5, Inc. | Technology | 0.085 | 3.66% | — |
| 8 | WDC | Western Digital Corporation | Technology | 0.112 | 3.62% | — |
| 9 | FTNT | Fortinet, Inc. | Technology | 0.093 | 3.62% | — |
| 10 | VRSN | VeriSign, Inc. | Technology | 0.078 | 3.61% | — |
| 11 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.077 | 3.59% | — |
| 12 | AMD | Advanced Micro Devices, Inc. | Technology | 0.128 | 3.58% | — |
| 13 | ANSS | ANSYS, Inc. | Technology | 0.084 | 3.57% | — |
| 14 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.074 | 3.53% | — |
| 15 | CRM | Salesforce, Inc. | Technology | 0.055 | 3.48% | — |
| 16 | EW | Edwards Lifesciences Corporation | Healthcare | 0.074 | 3.48% | — |
| 17 | INTU | Intuit Inc. | Technology | 0.053 | 3.44% | — |
| 18 | CDNS | Cadence Design Systems, Inc. | Technology | 0.097 | 3.42% | — |
| 19 | WAT | Waters Corporation | Healthcare | 0.074 | 3.41% | — |
| 20 | CSCO | Cisco Systems, Inc. | Technology | 0.076 | 3.39% | — |
| 21 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.078 | 3.30% | — |
| 22 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.085 | 3.11% | — |
| 23 | SYK | Stryker Corporation | Healthcare | 0.051 | 3.09% | — |
| 24 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.052 | 2.96% | — |
| 25 | TDG | TransDigm Group Incorporated | Industrials | 0.048 | 2.91% | — |
| 26 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.062 | 2.87% | — |
| 27 | MA | Mastercard Incorporated | Financial Services | 0.027 | 2.71% | — |
| 28 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.030 | 2.68% | — |
| 29 | ECL | Ecolab Inc. | Basic Materials | 0.041 | 2.56% | — |
| 30 | ACN | Accenture plc | Technology | 0.050 | 2.46% | — |
| 31 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.021 | 2.04% | — |
| 32 | SBAC | SBA Communications Corporation | Real Estate | 0.015 | 2.02% | — |
| 33 | LIN | Linde plc | Basic Materials | 0.033 | 1.84% | — |
| 34 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.033 | 1.75% | — |
| 35 | FDS | FactSet Research Systems Inc. | Financial Services | 0.006 | 1.15% | — |
| 36 | ATVI | Activision Blizzard, Inc. | Technology | — | 0.97% | — |
| 37 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.035 | 0.74% | — |
| 38 | ILMN | Illumina, Inc. | Healthcare | -0.013 | 0.67% | — |
| 39 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.012 | 0.63% | — |
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 | -0.080 | -1.67% | — |
| 3 | BAC | Bank of America Corporation | Financial Services | -0.043 | -1.54% | — |
| 4 | SLB | SLB N.V. | Energy | -0.093 | -1.43% | — |
| 5 | ALB | Albemarle Corporation | Basic Materials | -0.077 | -1.41% | — |
| 6 | DAY | Dayforce Inc | Technology | -0.013 | -1.38% | — |
| 7 | F | Ford Motor Company | Consumer Cyclical | -0.014 | -1.31% | — |
| 8 | CEG | Constellation Energy Corporation | Utilities | -0.062 | -1.28% | — |
| 9 | BKR | Baker Hughes Company | Energy | 0.004 | -1.22% | — |
| 10 | C | Citigroup Inc. | Financial Services | -0.014 | -1.21% | — |
| 11 | MGM | MGM Resorts International | Consumer Cyclical | 0.000 | -1.08% | — |
| 12 | TRGP | Targa Resources Corp. | Energy | -0.145 | -0.97% | — |
| 13 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.051 | -0.89% | — |
| 14 | MPC | Marathon Petroleum Corporation | Energy | -0.072 | -0.86% | — |
| 15 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.015 | -0.81% | — |
| 16 | BA | The Boeing Company | Industrials | -0.012 | -0.75% | — |
| 17 | SBNY | — | — | — | -0.59% | — |
| 18 | VFC | V.F. Corporation | Consumer Cyclical | -0.055 | -0.53% | — |
| 19 | NFLX | Netflix, Inc. | Communication Services | 0.017 | -0.36% | — |
Sector exposure en el rebalanceo seleccionado
2023-04-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 63.5% | 1.4% | 62.09% | 19 | 1 |
| Market Hedge | 0.0% | 51.4% | -51.36% | 0 | 1 |
| Healthcare | 21.1% | 0.0% | 21.07% | 7 | 0 |
| Financial Services | 9.8% | 3.6% | 6.26% | 4 | 3 |
| Consumer Cyclical | 2.7% | 5.5% | -2.79% | 1 | 5 |
| Energy | 0.0% | 6.2% | -6.18% | 0 | 5 |
| Basic Materials | 4.4% | 1.4% | 2.99% | 2 | 1 |
| Consumer Defensive | 4.3% | 0.0% | 4.33% | 3 | 0 |
| Industrials | 2.9% | 0.8% | 2.16% | 1 | 1 |
| Communication Services | 1.7% | 0.4% | 1.39% | 1 | 1 |
| Real Estate | 2.0% | 0.0% | 2.02% | 1 | 0 |
| Utilities | 0.0% | 1.3% | -1.28% | 0 | 1 |
| Unknown | 0.0% | 0.6% | -0.59% | 0 | 1 |