Portfolio
lightgbmLGBM 126d fundamental flexible 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
27
gross 67.9%
Short book
17
gross -21.4%
Sectores cubiertos
10
44 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 | 3.54% | — |
| 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 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.060 | 3.23% | — |
| 6 | TDG | TransDigm Group Incorporated | Industrials | 0.061 | 3.02% | — |
| 7 | INTC | Intel Corporation | Technology | 0.149 | 2.81% | — |
| 8 | NOW | ServiceNow, Inc. | Technology | 0.148 | 2.79% | — |
| 9 | ADBE | Adobe Inc. | Technology | 0.105 | 2.77% | — |
| 10 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.037 | 2.77% | — |
| 11 | GRMN | Garmin Ltd. | Technology | 0.130 | 2.73% | — |
| 12 | AMD | Advanced Micro Devices, Inc. | Technology | 0.177 | 2.73% | — |
| 13 | MSFT | Microsoft Corporation | Technology | 0.120 | 2.70% | — |
| 14 | NTAP | NetApp, Inc. | Technology | 0.081 | 2.68% | — |
| 15 | WDC | Western Digital Corporation | Technology | 0.103 | 2.66% | — |
| 16 | FFIV | F5, Inc. | Technology | 0.093 | 2.64% | — |
| 17 | CRM | Salesforce, Inc. | Technology | 0.085 | 2.48% | — |
| 18 | VRSN | VeriSign, Inc. | Technology | 0.056 | 2.42% | — |
| 19 | INTU | Intuit Inc. | Technology | 0.068 | 2.42% | — |
| 20 | CSCO | Cisco Systems, Inc. | Technology | 0.059 | 2.37% | — |
| 21 | ECL | Ecolab Inc. | Basic Materials | 0.027 | 2.34% | — |
| 22 | MA | Mastercard Incorporated | Financial Services | 0.020 | 2.02% | — |
| 23 | ACN | Accenture plc | Technology | 0.064 | 1.87% | — |
| 24 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.013 | 1.84% | — |
| 25 | SBAC | SBA Communications Corporation | Real Estate | 0.028 | 1.84% | — |
| 26 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.007 | 0.52% | — |
| 27 | 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 | -1.66% | — |
| 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 | CEG | Constellation Energy Corporation | Utilities | -0.036 | -1.38% | — |
| 7 | TRGP | Targa Resources Corp. | Energy | -0.159 | -1.38% | — |
| 8 | F | Ford Motor Company | Consumer Cyclical | -0.070 | -1.35% | — |
| 9 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.053 | -1.24% | — |
| 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 | DAY | Dayforce Inc | Technology | -0.038 | -0.99% | — |
| 16 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.005 | -0.95% | — |
| 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 | 36.1% | 1.0% | 35.09% | 14 | 1 |
| Healthcare | 14.2% | 0.0% | 14.21% | 5 | 0 |
| Financial Services | 5.2% | 3.7% | 1.56% | 2 | 3 |
| Consumer Cyclical | 1.8% | 6.5% | -4.62% | 1 | 5 |
| Energy | 0.0% | 7.1% | -7.05% | 0 | 5 |
| Basic Materials | 2.3% | 1.5% | 0.88% | 1 | 1 |
| Industrials | 3.0% | 0.3% | 2.69% | 1 | 1 |
| Consumer Defensive | 3.3% | 0.0% | 3.29% | 2 | 0 |
| Real Estate | 1.8% | 0.0% | 1.84% | 1 | 0 |
| Utilities | 0.0% | 1.4% | -1.38% | 0 | 1 |