Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2023-09-29
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 78.7%
Short book
18
gross -21.9%
Sectores cubiertos
10
56 posiciones
Sortino del run
0.96
Long book
38 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.048 | 3.48% | — |
| 2 | EW | Edwards Lifesciences Corporation | Healthcare | 0.044 | 3.35% | — |
| 3 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.044 | 3.32% | — |
| 4 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.067 | 3.30% | — |
| 5 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.054 | 3.28% | — |
| 6 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.038 | 3.15% | — |
| 7 | WAT | Waters Corporation | Healthcare | 0.016 | 2.95% | — |
| 8 | TDG | TransDigm Group Incorporated | Industrials | 0.032 | 2.91% | — |
| 9 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.032 | 2.48% | — |
| 10 | MA | Mastercard Incorporated | Financial Services | 0.042 | 2.46% | — |
| 11 | SBAC | SBA Communications Corporation | Real Estate | 0.034 | 2.41% | — |
| 12 | LIN | Linde plc | Basic Materials | 0.032 | 2.31% | — |
| 13 | AMD | Advanced Micro Devices, Inc. | Technology | 0.139 | 2.09% | — |
| 14 | INTC | Intel Corporation | Technology | 0.096 | 2.08% | — |
| 15 | NOW | ServiceNow, Inc. | Technology | 0.101 | 2.08% | — |
| 16 | SYK | Stryker Corporation | Healthcare | 0.002 | 2.07% | — |
| 17 | ADBE | Adobe Inc. | Technology | 0.110 | 2.05% | — |
| 18 | GRMN | Garmin Ltd. | Technology | 0.077 | 2.03% | — |
| 19 | ANSS | ANSYS, Inc. | Technology | 0.092 | 2.01% | — |
| 20 | CDNS | Cadence Design Systems, Inc. | Technology | 0.082 | 2.00% | — |
| 21 | NTAP | NetApp, Inc. | Technology | 0.055 | 1.99% | — |
| 22 | MSFT | Microsoft Corporation | Technology | 0.070 | 1.98% | — |
| 23 | FTNT | Fortinet, Inc. | Technology | 0.081 | 1.94% | — |
| 24 | FFIV | F5, Inc. | Technology | 0.048 | 1.91% | — |
| 25 | WDC | Western Digital Corporation | Technology | 0.016 | 1.88% | — |
| 26 | CRM | Salesforce, Inc. | Technology | 0.055 | 1.87% | — |
| 27 | INTU | Intuit Inc. | Technology | 0.069 | 1.86% | — |
| 28 | CSCO | Cisco Systems, Inc. | Technology | 0.050 | 1.78% | — |
| 29 | VRSN | VeriSign, Inc. | Technology | 0.085 | 1.76% | — |
| 30 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.021 | 1.64% | — |
| 31 | ECL | Ecolab Inc. | Basic Materials | 0.006 | 1.63% | — |
| 32 | ACN | Accenture plc | Technology | 0.053 | 1.60% | — |
| 33 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.094 | 1.15% | — |
| 34 | MU | Micron Technology, Inc. | Technology | 0.094 | 1.10% | — |
| 35 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.009 | 1.03% | — |
| 36 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.146 | 0.65% | — |
| 37 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | -0.006 | 0.57% | — |
| 38 | AMZN | Amazon.com, Inc. | Consumer Cyclical | -0.049 | 0.55% | — |
Short book
18 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | SLB | SLB N.V. | Energy | 0.003 | -1.57% | — |
| 2 | BAC | Bank of America Corporation | Financial Services | -0.097 | -1.56% | — |
| 3 | TRGP | Targa Resources Corp. | Energy | -0.065 | -1.54% | — |
| 4 | ALB | Albemarle Corporation | Basic Materials | -0.087 | -1.49% | — |
| 5 | HAL | Halliburton Company | Energy | -0.001 | -1.46% | — |
| 6 | C | Citigroup Inc. | Financial Services | -0.071 | -1.39% | — |
| 7 | BKR | Baker Hughes Company | Energy | -0.017 | -1.33% | — |
| 8 | VFC | V.F. Corporation | Consumer Cyclical | -0.007 | -1.26% | — |
| 9 | F | Ford Motor Company | Consumer Cyclical | 0.007 | -1.24% | — |
| 10 | MGM | MGM Resorts International | Consumer Cyclical | -0.019 | -1.21% | — |
| 11 | SEDG | SolarEdge Technologies, Inc. | Energy | -0.029 | -1.20% | — |
| 12 | MPC | Marathon Petroleum Corporation | Energy | -0.037 | -1.15% | — |
| 13 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.028 | -1.12% | — |
| 14 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.079 | -1.11% | — |
| 15 | OKE | ONEOK, Inc. | Energy | -0.024 | -1.08% | — |
| 16 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.079 | -1.01% | — |
| 17 | DAY | Dayforce Inc | Technology | -0.047 | -0.77% | — |
| 18 | NTRS | Northern Trust Corporation | Financial Services | -0.007 | -0.36% | — |
Sector exposure en el rebalanceo seleccionado
2023-09-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 35.7% | 0.8% | 34.92% | 20 | 1 |
| Healthcare | 18.5% | 0.0% | 18.48% | 6 | 0 |
| Financial Services | 8.9% | 4.4% | 4.45% | 3 | 4 |
| Energy | 0.0% | 9.3% | -9.32% | 0 | 7 |
| Consumer Cyclical | 0.6% | 5.8% | -5.29% | 1 | 5 |
| Basic Materials | 3.9% | 1.5% | 2.45% | 2 | 1 |
| Consumer Defensive | 4.7% | 0.0% | 4.69% | 3 | 0 |
| Industrials | 2.9% | 0.0% | 2.91% | 1 | 0 |
| Real Estate | 2.4% | 0.0% | 2.41% | 1 | 0 |
| Communication Services | 1.2% | 0.0% | 1.15% | 1 | 0 |