Portfolio
lightgbmLGBM 126d fundamental flexible· rebalanceo 2023-07-31
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
26
gross 56.8%
Short book
18
gross -20.9%
Sectores cubiertos
9
44 posiciones
Sortino del run
0.64
Long book
26 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.080 | 3.50% | — |
| 2 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.065 | 3.46% | — |
| 3 | WAT | Waters Corporation | Healthcare | 0.070 | 3.41% | — |
| 4 | EW | Edwards Lifesciences Corporation | Healthcare | 0.073 | 3.40% | — |
| 5 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.063 | 3.22% | — |
| 6 | TDG | TransDigm Group Incorporated | Industrials | 0.066 | 3.10% | — |
| 7 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.022 | 2.61% | — |
| 8 | ECL | Ecolab Inc. | Basic Materials | 0.024 | 2.16% | — |
| 9 | MA | Mastercard Incorporated | Financial Services | 0.049 | 2.12% | — |
| 10 | SBAC | SBA Communications Corporation | Real Estate | 0.051 | 2.09% | — |
| 11 | INTC | Intel Corporation | Technology | 0.139 | 2.00% | — |
| 12 | NOW | ServiceNow, Inc. | Technology | 0.150 | 2.00% | — |
| 13 | AMD | Advanced Micro Devices, Inc. | Technology | 0.177 | 1.97% | — |
| 14 | ADBE | Adobe Inc. | Technology | 0.111 | 1.97% | — |
| 15 | GRMN | Garmin Ltd. | Technology | 0.106 | 1.95% | — |
| 16 | MSFT | Microsoft Corporation | Technology | 0.087 | 1.92% | — |
| 17 | WDC | Western Digital Corporation | Technology | 0.104 | 1.90% | — |
| 18 | NTAP | NetApp, Inc. | Technology | 0.102 | 1.90% | — |
| 19 | FFIV | F5, Inc. | Technology | 0.093 | 1.88% | — |
| 20 | CRM | Salesforce, Inc. | Technology | 0.080 | 1.77% | — |
| 21 | INTU | Intuit Inc. | Technology | 0.077 | 1.72% | — |
| 22 | CSCO | Cisco Systems, Inc. | Technology | 0.080 | 1.69% | — |
| 23 | VRSN | VeriSign, Inc. | Technology | 0.064 | 1.67% | — |
| 24 | ACN | Accenture plc | Technology | 0.065 | 1.40% | — |
| 25 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.013 | 1.23% | — |
| 26 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.021 | 0.75% | — |
Short book
18 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | SLB | SLB N.V. | Energy | -0.090 | -1.64% | — |
| 2 | HAL | Halliburton Company | Energy | -0.041 | -1.64% | — |
| 3 | BAC | Bank of America Corporation | Financial Services | -0.052 | -1.54% | — |
| 4 | ALB | Albemarle Corporation | Basic Materials | -0.072 | -1.47% | — |
| 5 | TRGP | Targa Resources Corp. | Energy | -0.144 | -1.46% | — |
| 6 | F | Ford Motor Company | Consumer Cyclical | -0.011 | -1.39% | — |
| 7 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.040 | -1.34% | — |
| 8 | BKR | Baker Hughes Company | Energy | -0.067 | -1.26% | — |
| 9 | VFC | V.F. Corporation | Consumer Cyclical | -0.038 | -1.24% | — |
| 10 | C | Citigroup Inc. | Financial Services | -0.000 | -1.18% | — |
| 11 | MGM | MGM Resorts International | Consumer Cyclical | -0.007 | -1.14% | — |
| 12 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.123 | -1.11% | — |
| 13 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.011 | -1.01% | — |
| 14 | NTRS | Northern Trust Corporation | Financial Services | 0.031 | -0.83% | — |
| 15 | MPC | Marathon Petroleum Corporation | Energy | -0.063 | -0.80% | — |
| 16 | DAY | Dayforce Inc | Technology | -0.038 | -0.71% | — |
| 17 | SEDG | SolarEdge Technologies, Inc. | Energy | -0.100 | -0.59% | — |
| 18 | OKE | ONEOK, Inc. | Energy | -0.089 | -0.56% | — |
Sector exposure en el rebalanceo seleccionado
2023-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 25.7% | 0.7% | 25.01% | 14 | 1 |
| Healthcare | 13.8% | 0.0% | 13.77% | 4 | 0 |
| Financial Services | 5.3% | 4.5% | 0.79% | 2 | 4 |
| Energy | 0.0% | 7.9% | -7.95% | 0 | 7 |
| Consumer Cyclical | 1.2% | 6.2% | -5.00% | 1 | 5 |
| Basic Materials | 2.2% | 1.5% | 0.69% | 1 | 1 |
| Consumer Defensive | 3.4% | 0.0% | 3.36% | 2 | 0 |
| Industrials | 3.1% | 0.0% | 3.10% | 1 | 0 |
| Real Estate | 2.1% | 0.0% | 2.09% | 1 | 0 |