Portfolio
lightgbmLGBM 126d fundamental flexible 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
27
gross 69.1%
Short book
18
gross -21.1%
Sectores cubiertos
10
45 posiciones
Sortino del run
0.79
Long book
27 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 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.060 | 3.20% | — |
| 6 | TDG | TransDigm Group Incorporated | Industrials | 0.061 | 2.96% | — |
| 7 | INTC | Intel Corporation | Technology | 0.139 | 2.81% | — |
| 8 | ADBE | Adobe Inc. | Technology | 0.124 | 2.78% | — |
| 9 | NOW | ServiceNow, Inc. | Technology | 0.118 | 2.78% | — |
| 10 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.051 | 2.76% | — |
| 11 | GRMN | Garmin Ltd. | Technology | 0.111 | 2.72% | — |
| 12 | NTAP | NetApp, Inc. | Technology | 0.100 | 2.70% | — |
| 13 | MSFT | Microsoft Corporation | Technology | 0.102 | 2.68% | — |
| 14 | AMD | Advanced Micro Devices, Inc. | Technology | 0.163 | 2.68% | — |
| 15 | WDC | Western Digital Corporation | Technology | 0.086 | 2.65% | — |
| 16 | FFIV | F5, Inc. | Technology | 0.093 | 2.65% | — |
| 17 | VRSN | VeriSign, Inc. | Technology | 0.041 | 2.53% | — |
| 18 | CRM | Salesforce, Inc. | Technology | 0.065 | 2.48% | — |
| 19 | ECL | Ecolab Inc. | Basic Materials | 0.024 | 2.48% | — |
| 20 | INTU | Intuit Inc. | Technology | 0.068 | 2.46% | — |
| 21 | CSCO | Cisco Systems, Inc. | Technology | 0.055 | 2.43% | — |
| 22 | MA | Mastercard Incorporated | Financial Services | 0.015 | 2.26% | — |
| 23 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.008 | 2.18% | — |
| 24 | SBAC | SBA Communications Corporation | Real Estate | 0.028 | 1.84% | — |
| 25 | ACN | Accenture plc | Technology | 0.025 | 1.77% | — |
| 26 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.021 | 0.77% | — |
| 27 | ILMN | Illumina, Inc. | Healthcare | 0.003 | 0.45% | — |
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 | -1.66% | — |
| 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 | CEG | Constellation Energy Corporation | Utilities | -0.037 | -1.36% | — |
| 7 | F | Ford Motor Company | Consumer Cyclical | -0.064 | -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 | DAY | Dayforce Inc | Technology | -0.026 | -0.99% | — |
| 15 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.025 | -0.89% | — |
| 16 | VFC | V.F. Corporation | Consumer Cyclical | -0.061 | -0.88% | — |
| 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 | 36.1% | 1.0% | 35.14% | 14 | 1 |
| Healthcare | 14.5% | 0.0% | 14.47% | 5 | 0 |
| Financial Services | 5.5% | 3.7% | 1.79% | 2 | 3 |
| Consumer Cyclical | 2.2% | 6.0% | -3.85% | 1 | 5 |
| Energy | 0.0% | 6.7% | -6.71% | 0 | 5 |
| Basic Materials | 2.5% | 1.4% | 1.04% | 1 | 1 |
| Consumer Defensive | 3.5% | 0.0% | 3.53% | 2 | 0 |
| Industrials | 3.0% | 0.5% | 2.46% | 1 | 1 |
| Real Estate | 1.8% | 0.0% | 1.84% | 1 | 0 |
| Utilities | 0.0% | 1.4% | -1.36% | 0 | 1 |
| Unknown | 0.0% | 0.4% | -0.40% | 0 | 1 |