Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2023-06-30
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
38
gross 83.4%
Short book
17
gross -21.0%
Sectores cubiertos
10
55 posiciones
Sortino del run
0.96
Long book
38 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.069 | 3.54% | — |
| 2 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.075 | 3.51% | — |
| 3 | EW | Edwards Lifesciences Corporation | Healthcare | 0.064 | 3.43% | — |
| 4 | WAT | Waters Corporation | Healthcare | 0.067 | 3.43% | — |
| 5 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.067 | 3.38% | — |
| 6 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.060 | 3.23% | — |
| 7 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.074 | 3.09% | — |
| 8 | TDG | TransDigm Group Incorporated | Industrials | 0.061 | 3.02% | — |
| 9 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.037 | 2.91% | — |
| 10 | SYK | Stryker Corporation | Healthcare | 0.039 | 2.89% | — |
| 11 | ECL | Ecolab Inc. | Basic Materials | 0.027 | 2.34% | — |
| 12 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.059 | 2.33% | — |
| 13 | INTC | Intel Corporation | Technology | 0.149 | 2.21% | — |
| 14 | NOW | ServiceNow, Inc. | Technology | 0.148 | 2.19% | — |
| 15 | ADBE | Adobe Inc. | Technology | 0.105 | 2.17% | — |
| 16 | AMD | Advanced Micro Devices, Inc. | Technology | 0.177 | 2.14% | — |
| 17 | GRMN | Garmin Ltd. | Technology | 0.130 | 2.14% | — |
| 18 | LIN | Linde plc | Basic Materials | 0.033 | 2.12% | — |
| 19 | MSFT | Microsoft Corporation | Technology | 0.120 | 2.12% | — |
| 20 | NTAP | NetApp, Inc. | Technology | 0.081 | 2.10% | — |
| 21 | WDC | Western Digital Corporation | Technology | 0.103 | 2.08% | — |
| 22 | FFIV | F5, Inc. | Technology | 0.093 | 2.07% | — |
| 23 | ANSS | ANSYS, Inc. | Technology | 0.104 | 2.06% | — |
| 24 | FTNT | Fortinet, Inc. | Technology | 0.083 | 2.03% | — |
| 25 | CDNS | Cadence Design Systems, Inc. | Technology | 0.122 | 2.02% | — |
| 26 | MA | Mastercard Incorporated | Financial Services | 0.020 | 2.02% | — |
| 27 | CRM | Salesforce, Inc. | Technology | 0.085 | 1.94% | — |
| 28 | VRSN | VeriSign, Inc. | Technology | 0.056 | 1.90% | — |
| 29 | INTU | Intuit Inc. | Technology | 0.068 | 1.89% | — |
| 30 | CSCO | Cisco Systems, Inc. | Technology | 0.059 | 1.85% | — |
| 31 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.013 | 1.84% | — |
| 32 | SBAC | SBA Communications Corporation | Real Estate | 0.028 | 1.84% | — |
| 33 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.021 | 1.58% | — |
| 34 | ACN | Accenture plc | Technology | 0.064 | 1.47% | — |
| 35 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.029 | 1.12% | — |
| 36 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.007 | 0.53% | — |
| 37 | FDS | FactSet Research Systems Inc. | Financial Services | 0.008 | 0.52% | — |
| 38 | ILMN | Illumina, Inc. | Healthcare | 0.000 | 0.30% | — |
Short book
17 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | -0.063 | -1.68% | — |
| 2 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.069 | -1.65% | — |
| 3 | SLB | SLB N.V. | Energy | -0.089 | -1.62% | — |
| 4 | BAC | Bank of America Corporation | Financial Services | -0.061 | -1.54% | — |
| 5 | ALB | Albemarle Corporation | Basic Materials | -0.061 | -1.46% | — |
| 6 | TRGP | Targa Resources Corp. | Energy | -0.159 | -1.38% | — |
| 7 | F | Ford Motor Company | Consumer Cyclical | -0.070 | -1.35% | — |
| 8 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.053 | -1.24% | — |
| 9 | NTRS | Northern Trust Corporation | Financial Services | 0.013 | -1.21% | — |
| 10 | C | Citigroup Inc. | Financial Services | -0.000 | -1.21% | — |
| 11 | MPC | Marathon Petroleum Corporation | Energy | -0.058 | -1.19% | — |
| 12 | BKR | Baker Hughes Company | Energy | -0.009 | -1.18% | — |
| 13 | MGM | MGM Resorts International | Consumer Cyclical | -0.020 | -1.11% | — |
| 14 | VFC | V.F. Corporation | Consumer Cyclical | -0.047 | -1.10% | — |
| 15 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.005 | -0.95% | — |
| 16 | DAY | Dayforce Inc | Technology | -0.038 | -0.77% | — |
| 17 | BA | The Boeing Company | Industrials | -0.009 | -0.34% | — |
Sector exposure en el rebalanceo seleccionado
2023-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 35.5% | 0.8% | 34.73% | 18 | 1 |
| Healthcare | 20.5% | 0.0% | 20.48% | 7 | 0 |
| Financial Services | 8.9% | 4.9% | 3.96% | 4 | 4 |
| Consumer Cyclical | 1.8% | 6.4% | -4.61% | 1 | 5 |
| Energy | 0.0% | 7.1% | -7.05% | 0 | 5 |
| Basic Materials | 4.5% | 1.5% | 3.00% | 2 | 1 |
| Consumer Defensive | 5.0% | 0.0% | 5.02% | 3 | 0 |
| Industrials | 3.0% | 0.3% | 2.69% | 1 | 1 |
| Communication Services | 2.3% | 0.0% | 2.33% | 1 | 0 |
| Real Estate | 1.8% | 0.0% | 1.84% | 1 | 0 |