Portfolio
lightgbmLGBM 126d fundamental flexible sector45· rebalanceo 2023-08-31
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 66.4%
Short book
17
gross -21.2%
Sectores cubiertos
10
43 posiciones
Sortino del run
0.79
Long book
26 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.083 | 3.52% | — |
| 2 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.056 | 3.39% | — |
| 3 | EW | Edwards Lifesciences Corporation | Healthcare | 0.063 | 3.38% | — |
| 4 | WAT | Waters Corporation | Healthcare | 0.028 | 3.23% | — |
| 5 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.055 | 3.19% | — |
| 6 | TDG | TransDigm Group Incorporated | Industrials | 0.026 | 3.01% | — |
| 7 | INTC | Intel Corporation | Technology | 0.132 | 2.80% | — |
| 8 | NOW | ServiceNow, Inc. | Technology | 0.120 | 2.79% | — |
| 9 | AMD | Advanced Micro Devices, Inc. | Technology | 0.181 | 2.77% | — |
| 10 | ADBE | Adobe Inc. | Technology | 0.110 | 2.73% | — |
| 11 | GRMN | Garmin Ltd. | Technology | 0.116 | 2.73% | — |
| 12 | MSFT | Microsoft Corporation | Technology | 0.088 | 2.66% | — |
| 13 | NTAP | NetApp, Inc. | Technology | 0.106 | 2.66% | — |
| 14 | WDC | Western Digital Corporation | Technology | 0.075 | 2.64% | — |
| 15 | FFIV | F5, Inc. | Technology | 0.077 | 2.60% | — |
| 16 | CRM | Salesforce, Inc. | Technology | 0.090 | 2.51% | — |
| 17 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.032 | 2.47% | — |
| 18 | INTU | Intuit Inc. | Technology | 0.091 | 2.45% | — |
| 19 | CSCO | Cisco Systems, Inc. | Technology | 0.075 | 2.38% | — |
| 20 | VRSN | VeriSign, Inc. | Technology | 0.054 | 2.29% | — |
| 21 | SBAC | SBA Communications Corporation | Real Estate | 0.035 | 2.26% | — |
| 22 | MA | Mastercard Incorporated | Financial Services | 0.036 | 2.25% | — |
| 23 | ACN | Accenture plc | Technology | 0.055 | 2.05% | — |
| 24 | ECL | Ecolab Inc. | Basic Materials | 0.012 | 1.93% | — |
| 25 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.009 | 0.84% | — |
| 26 | AMZN | Amazon.com, Inc. | Consumer Cyclical | -0.039 | 0.83% | — |
Short book
17 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | SLB | SLB N.V. | Energy | -0.079 | -1.63% | — |
| 2 | HAL | Halliburton Company | Energy | -0.043 | -1.57% | — |
| 3 | BAC | Bank of America Corporation | Financial Services | -0.090 | -1.54% | — |
| 4 | TRGP | Targa Resources Corp. | Energy | -0.140 | -1.51% | — |
| 5 | ALB | Albemarle Corporation | Basic Materials | -0.084 | -1.48% | — |
| 6 | CEG | Constellation Energy Corporation | Utilities | -0.019 | -1.37% | — |
| 7 | F | Ford Motor Company | Consumer Cyclical | 0.004 | -1.35% | — |
| 8 | BKR | Baker Hughes Company | Energy | -0.057 | -1.31% | — |
| 9 | C | Citigroup Inc. | Financial Services | -0.057 | -1.27% | — |
| 10 | VFC | V.F. Corporation | Consumer Cyclical | 0.019 | -1.27% | — |
| 11 | MGM | MGM Resorts International | Consumer Cyclical | -0.029 | -1.19% | — |
| 12 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.022 | -1.06% | — |
| 13 | MPC | Marathon Petroleum Corporation | Energy | -0.050 | -1.01% | — |
| 14 | DAY | Dayforce Inc | Technology | -0.045 | -1.01% | — |
| 15 | SEDG | SolarEdge Technologies, Inc. | Energy | -0.092 | -0.97% | — |
| 16 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.123 | -0.90% | — |
| 17 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.123 | -0.75% | — |
Sector exposure en el rebalanceo seleccionado
2023-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 36.1% | 1.0% | 35.04% | 14 | 1 |
| Healthcare | 13.5% | 0.0% | 13.52% | 4 | 0 |
| Financial Services | 5.4% | 3.9% | 1.58% | 2 | 3 |
| Energy | 0.0% | 8.0% | -8.01% | 0 | 6 |
| Consumer Cyclical | 0.8% | 5.4% | -4.62% | 1 | 5 |
| Basic Materials | 1.9% | 1.5% | 0.45% | 1 | 1 |
| Consumer Defensive | 3.3% | 0.0% | 3.31% | 2 | 0 |
| Industrials | 3.0% | 0.0% | 3.01% | 1 | 0 |
| Real Estate | 2.3% | 0.0% | 2.26% | 1 | 0 |
| Utilities | 0.0% | 1.4% | -1.37% | 0 | 1 |