Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· 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 78.7%
Short book
18
gross -21.3%
Sectores cubiertos
10
58 posiciones
Sortino del run
0.96
Long book
40 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.097 | 3.53% | — |
| 2 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.110 | 3.43% | — |
| 3 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.078 | 3.32% | — |
| 4 | EW | Edwards Lifesciences Corporation | Healthcare | 0.057 | 3.26% | — |
| 5 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.021 | 2.98% | — |
| 6 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.034 | 2.96% | — |
| 7 | TDG | TransDigm Group Incorporated | Industrials | 0.039 | 2.70% | — |
| 8 | MA | Mastercard Incorporated | Financial Services | 0.061 | 2.63% | — |
| 9 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.045 | 2.50% | — |
| 10 | LIN | Linde plc | Basic Materials | 0.048 | 2.41% | — |
| 11 | WAT | Waters Corporation | Healthcare | 0.011 | 2.39% | — |
| 12 | SBAC | SBA Communications Corporation | Real Estate | 0.031 | 2.33% | — |
| 13 | AMD | Advanced Micro Devices, Inc. | Technology | 0.200 | 2.07% | — |
| 14 | NOW | ServiceNow, Inc. | Technology | 0.111 | 2.04% | — |
| 15 | INTC | Intel Corporation | Technology | 0.097 | 2.03% | — |
| 16 | ADBE | Adobe Inc. | Technology | 0.111 | 2.02% | — |
| 17 | CDNS | Cadence Design Systems, Inc. | Technology | 0.157 | 2.00% | — |
| 18 | ANSS | ANSYS, Inc. | Technology | 0.120 | 2.00% | — |
| 19 | GRMN | Garmin Ltd. | Technology | 0.086 | 1.99% | — |
| 20 | NTAP | NetApp, Inc. | Technology | 0.118 | 1.97% | — |
| 21 | MSFT | Microsoft Corporation | Technology | 0.062 | 1.91% | — |
| 22 | FTNT | Fortinet, Inc. | Technology | 0.070 | 1.89% | — |
| 23 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.051 | 1.88% | — |
| 24 | INTU | Intuit Inc. | Technology | 0.106 | 1.88% | — |
| 25 | FFIV | F5, Inc. | Technology | 0.077 | 1.85% | — |
| 26 | CRM | Salesforce, Inc. | Technology | 0.070 | 1.83% | — |
| 27 | VRSN | VeriSign, Inc. | Technology | 0.106 | 1.81% | — |
| 28 | WDC | Western Digital Corporation | Technology | 0.070 | 1.78% | — |
| 29 | CSCO | Cisco Systems, Inc. | Technology | 0.056 | 1.72% | — |
| 30 | ACN | Accenture plc | Technology | 0.078 | 1.64% | — |
| 31 | SYK | Stryker Corporation | Healthcare | 0.007 | 1.39% | — |
| 32 | MSCI | MSCI Inc. | Financial Services | 0.164 | 1.31% | — |
| 33 | OTIS | Otis Worldwide Corporation | Industrials | 0.189 | 1.31% | — |
| 34 | MU | Micron Technology, Inc. | Technology | 0.019 | 1.31% | — |
| 35 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.147 | 1.11% | — |
| 36 | ECL | Ecolab Inc. | Basic Materials | -0.020 | 1.09% | — |
| 37 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.017 | 0.90% | — |
| 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 | ALB | Albemarle Corporation | Basic Materials | -0.163 | -1.52% | — |
| 3 | SLB | SLB N.V. | Energy | -0.051 | -1.52% | — |
| 4 | C | Citigroup Inc. | Financial Services | -0.118 | -1.52% | — |
| 5 | HAL | Halliburton Company | Energy | -0.020 | -1.37% | — |
| 6 | TRGP | Targa Resources Corp. | Energy | 0.078 | -1.36% | — |
| 7 | BKR | Baker Hughes Company | Energy | -0.068 | -1.35% | — |
| 8 | SEDG | SolarEdge Technologies, Inc. | Energy | -0.055 | -1.33% | — |
| 9 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.064 | -1.24% | — |
| 10 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.044 | -1.19% | — |
| 11 | MPC | Marathon Petroleum Corporation | Energy | -0.018 | -1.18% | — |
| 12 | MGM | MGM Resorts International | Consumer Cyclical | 0.006 | -1.18% | — |
| 13 | OKE | ONEOK, Inc. | Energy | 0.029 | -1.03% | — |
| 14 | VFC | V.F. Corporation | Consumer Cyclical | 0.074 | -0.85% | — |
| 15 | F | Ford Motor Company | Consumer Cyclical | 0.006 | -0.83% | — |
| 16 | DAY | Dayforce Inc | Technology | -0.116 | -0.80% | — |
| 17 | NTRS | Northern Trust Corporation | Financial Services | -0.103 | -0.74% | — |
| 18 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.113 | -0.68% | — |
Sector exposure en el rebalanceo seleccionado
2023-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 35.7% | 0.8% | 34.95% | 20 | 1 |
| Healthcare | 17.0% | 0.0% | 16.97% | 6 | 0 |
| Financial Services | 10.2% | 5.0% | 5.19% | 4 | 4 |
| Energy | 0.0% | 9.1% | -9.14% | 0 | 7 |
| Consumer Cyclical | 0.4% | 4.8% | -4.40% | 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 |
| Communication Services | 0.8% | 0.0% | 0.77% | 1 | 0 |