Portfolio
lightgbmLGBM 126d flexible 50 beta60· rebalanceo 2023-10-31
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
40
gross 111.4%
Short book
18
gross -22.1%
Sectores cubiertos
12
59 posiciones
Sortino del run
0.81
Long book
40 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AMD | Advanced Micro Devices, Inc. | Technology | 0.200 | 3.96% | — |
| 2 | NOW | ServiceNow, Inc. | Technology | 0.111 | 3.90% | — |
| 3 | INTC | Intel Corporation | Technology | 0.097 | 3.88% | — |
| 4 | ADBE | Adobe Inc. | Technology | 0.111 | 3.86% | — |
| 5 | CDNS | Cadence Design Systems, Inc. | Technology | 0.157 | 3.83% | — |
| 6 | ANSS | ANSYS, Inc. | Technology | 0.120 | 3.82% | — |
| 7 | GRMN | Garmin Ltd. | Technology | 0.086 | 3.80% | — |
| 8 | NTAP | NetApp, Inc. | Technology | 0.118 | 3.76% | — |
| 9 | MSFT | Microsoft Corporation | Technology | 0.062 | 3.64% | — |
| 10 | FTNT | Fortinet, Inc. | Technology | 0.070 | 3.62% | — |
| 11 | INTU | Intuit Inc. | Technology | 0.106 | 3.60% | — |
| 12 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.097 | 3.53% | — |
| 13 | FFIV | F5, Inc. | Technology | 0.077 | 3.52% | — |
| 14 | CRM | Salesforce, Inc. | Technology | 0.070 | 3.50% | — |
| 15 | VRSN | VeriSign, Inc. | Technology | 0.106 | 3.45% | — |
| 16 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.110 | 3.43% | — |
| 17 | WDC | Western Digital Corporation | Technology | 0.070 | 3.39% | — |
| 18 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.078 | 3.32% | — |
| 19 | CSCO | Cisco Systems, Inc. | Technology | 0.056 | 3.28% | — |
| 20 | EW | Edwards Lifesciences Corporation | Healthcare | 0.057 | 3.26% | — |
| 21 | ACN | Accenture plc | Technology | 0.078 | 3.14% | — |
| 22 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.021 | 2.98% | — |
| 23 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.034 | 2.96% | — |
| 24 | TDG | TransDigm Group Incorporated | Industrials | 0.039 | 2.70% | — |
| 25 | MA | Mastercard Incorporated | Financial Services | 0.061 | 2.63% | — |
| 26 | MU | Micron Technology, Inc. | Technology | 0.019 | 2.57% | — |
| 27 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.045 | 2.50% | — |
| 28 | LIN | Linde plc | Basic Materials | 0.048 | 2.41% | — |
| 29 | WAT | Waters Corporation | Healthcare | 0.011 | 2.39% | — |
| 30 | SBAC | SBA Communications Corporation | Real Estate | 0.031 | 2.33% | — |
| 31 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.147 | 2.20% | — |
| 32 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.051 | 1.88% | — |
| 33 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.017 | 1.71% | — |
| 34 | SYK | Stryker Corporation | Healthcare | 0.007 | 1.39% | — |
| 35 | MSCI | MSCI Inc. | Financial Services | 0.164 | 1.31% | — |
| 36 | OTIS | Otis Worldwide Corporation | Industrials | 0.189 | 1.31% | — |
| 37 | ECL | Ecolab Inc. | Basic Materials | -0.020 | 1.09% | — |
| 38 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.042 | 0.77% | — |
| 39 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | -0.014 | 0.38% | — |
| 40 | AMZN | Amazon.com, Inc. | Consumer Cyclical | -0.110 | 0.37% | — |
Short book
18 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BAC | Bank of America Corporation | Financial Services | -0.124 | -1.59% | — |
| 2 | DAY | Dayforce Inc | Technology | -0.116 | -1.54% | — |
| 3 | ALB | Albemarle Corporation | Basic Materials | -0.163 | -1.52% | — |
| 4 | SLB | SLB N.V. | Energy | -0.051 | -1.52% | — |
| 5 | C | Citigroup Inc. | Financial Services | -0.118 | -1.52% | — |
| 6 | HAL | Halliburton Company | Energy | -0.020 | -1.37% | — |
| 7 | TRGP | Targa Resources Corp. | Energy | 0.078 | -1.36% | — |
| 8 | BKR | Baker Hughes Company | Energy | -0.068 | -1.35% | — |
| 9 | SEDG | SolarEdge Technologies, Inc. | Energy | -0.055 | -1.33% | — |
| 10 | CEG | Constellation Energy Corporation | Utilities | -0.008 | -1.25% | — |
| 11 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.064 | -1.24% | — |
| 12 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.044 | -1.19% | — |
| 13 | MPC | Marathon Petroleum Corporation | Energy | -0.018 | -1.18% | — |
| 14 | MGM | MGM Resorts International | Consumer Cyclical | 0.006 | -1.18% | — |
| 15 | VFC | V.F. Corporation | Consumer Cyclical | 0.074 | -0.85% | — |
| 16 | F | Ford Motor Company | Consumer Cyclical | 0.006 | -0.83% | — |
| 17 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.113 | -0.68% | — |
| 18 | MS | Morgan Stanley | Financial Services | -0.105 | -0.58% | — |
Sector exposure en el rebalanceo seleccionado
2023-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 68.4% | 1.5% | 66.89% | 20 | 1 |
| Market Hedge | 0.0% | 54.6% | -54.63% | 0 | 1 |
| Healthcare | 17.0% | 0.0% | 16.97% | 6 | 0 |
| Financial Services | 10.2% | 4.9% | 5.35% | 4 | 4 |
| Energy | 0.0% | 8.1% | -8.10% | 0 | 6 |
| Consumer Cyclical | 0.4% | 4.8% | -4.41% | 1 | 5 |
| Basic Materials | 3.5% | 1.5% | 1.98% | 2 | 1 |
| Consumer Defensive | 4.8% | 0.0% | 4.77% | 3 | 0 |
| Industrials | 4.0% | 0.0% | 4.01% | 2 | 0 |
| Real Estate | 2.3% | 0.0% | 2.33% | 1 | 0 |
| Utilities | 0.0% | 1.3% | -1.25% | 0 | 1 |
| Communication Services | 0.8% | 0.0% | 0.77% | 1 | 0 |