Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2023-05-31
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 84.3%
Short book
18
gross -20.8%
Sectores cubiertos
10
57 posiciones
Sortino del run
0.96
Long book
39 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.069 | 3.57% | — |
| 2 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.068 | 3.52% | — |
| 3 | EW | Edwards Lifesciences Corporation | Healthcare | 0.064 | 3.48% | — |
| 4 | WAT | Waters Corporation | Healthcare | 0.070 | 3.44% | — |
| 5 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.067 | 3.35% | — |
| 6 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.060 | 3.20% | — |
| 7 | SYK | Stryker Corporation | Healthcare | 0.039 | 2.99% | — |
| 8 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.051 | 2.97% | — |
| 9 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.057 | 2.97% | — |
| 10 | TDG | TransDigm Group Incorporated | Industrials | 0.061 | 2.96% | — |
| 11 | ECL | Ecolab Inc. | Basic Materials | 0.024 | 2.48% | — |
| 12 | MA | Mastercard Incorporated | Financial Services | 0.015 | 2.26% | — |
| 13 | INTC | Intel Corporation | Technology | 0.139 | 2.20% | — |
| 14 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.008 | 2.18% | — |
| 15 | ADBE | Adobe Inc. | Technology | 0.124 | 2.17% | — |
| 16 | NOW | ServiceNow, Inc. | Technology | 0.118 | 2.17% | — |
| 17 | GRMN | Garmin Ltd. | Technology | 0.111 | 2.12% | — |
| 18 | NTAP | NetApp, Inc. | Technology | 0.100 | 2.11% | — |
| 19 | MSFT | Microsoft Corporation | Technology | 0.102 | 2.09% | — |
| 20 | AMD | Advanced Micro Devices, Inc. | Technology | 0.163 | 2.09% | — |
| 21 | WDC | Western Digital Corporation | Technology | 0.086 | 2.07% | — |
| 22 | FFIV | F5, Inc. | Technology | 0.093 | 2.07% | — |
| 23 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.044 | 2.04% | — |
| 24 | FTNT | Fortinet, Inc. | Technology | 0.069 | 2.04% | — |
| 25 | ANSS | ANSYS, Inc. | Technology | 0.091 | 2.03% | — |
| 26 | LIN | Linde plc | Basic Materials | 0.033 | 2.00% | — |
| 27 | VRSN | VeriSign, Inc. | Technology | 0.041 | 1.97% | — |
| 28 | CDNS | Cadence Design Systems, Inc. | Technology | 0.078 | 1.97% | — |
| 29 | CRM | Salesforce, Inc. | Technology | 0.065 | 1.94% | — |
| 30 | INTU | Intuit Inc. | Technology | 0.068 | 1.91% | — |
| 31 | CSCO | Cisco Systems, Inc. | Technology | 0.055 | 1.89% | — |
| 32 | SBAC | SBA Communications Corporation | Real Estate | 0.028 | 1.84% | — |
| 33 | ACN | Accenture plc | Technology | 0.025 | 1.39% | — |
| 34 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.040 | 1.32% | — |
| 35 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.029 | 1.12% | — |
| 36 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.021 | 0.79% | — |
| 37 | FDS | FactSet Research Systems Inc. | Financial Services | 0.007 | 0.77% | — |
| 38 | ILMN | Illumina, Inc. | Healthcare | 0.003 | 0.45% | — |
| 39 | ATVI | Activision Blizzard, Inc. | Technology | — | 0.37% | — |
Short book
18 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 | -0.079 | -1.64% | — |
| 3 | SLB | SLB N.V. | Energy | -0.089 | -1.54% | — |
| 4 | BAC | Bank of America Corporation | Financial Services | -0.065 | -1.54% | — |
| 5 | ALB | Albemarle Corporation | Basic Materials | -0.067 | -1.44% | — |
| 6 | F | Ford Motor Company | Consumer Cyclical | -0.064 | -1.31% | — |
| 7 | NTRS | Northern Trust Corporation | Financial Services | -0.013 | -1.31% | — |
| 8 | C | Citigroup Inc. | Financial Services | -0.020 | -1.24% | — |
| 9 | TRGP | Targa Resources Corp. | Energy | -0.149 | -1.22% | — |
| 10 | BKR | Baker Hughes Company | Energy | -0.004 | -1.19% | — |
| 11 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.040 | -1.10% | — |
| 12 | MGM | MGM Resorts International | Consumer Cyclical | -0.005 | -1.07% | — |
| 13 | MPC | Marathon Petroleum Corporation | Energy | -0.057 | -1.07% | — |
| 14 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.025 | -0.89% | — |
| 15 | VFC | V.F. Corporation | Consumer Cyclical | -0.061 | -0.88% | — |
| 16 | DAY | Dayforce Inc | Technology | -0.026 | -0.77% | — |
| 17 | BA | The Boeing Company | Industrials | -0.012 | -0.50% | — |
| 18 | SBNY | — | — | — | -0.40% | — |
Sector exposure en el rebalanceo seleccionado
2023-05-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 35.7% | 0.8% | 34.97% | 19 | 1 |
| Healthcare | 20.8% | 0.0% | 20.81% | 7 | 0 |
| Financial Services | 9.2% | 5.0% | 4.22% | 4 | 4 |
| Consumer Cyclical | 2.2% | 6.0% | -3.83% | 1 | 5 |
| Energy | 0.0% | 6.7% | -6.71% | 0 | 5 |
| Basic Materials | 4.5% | 1.4% | 3.05% | 2 | 1 |
| Consumer Defensive | 5.1% | 0.0% | 5.08% | 3 | 0 |
| Industrials | 3.0% | 0.5% | 2.46% | 1 | 1 |
| Communication Services | 2.0% | 0.0% | 2.04% | 1 | 0 |
| Real Estate | 1.8% | 0.0% | 1.84% | 1 | 0 |
| Unknown | 0.0% | 0.4% | -0.40% | 0 | 1 |