Portfolio
lightgbmLGBM 126d fundamental flexible 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
28
gross 64.5%
Short book
18
gross -21.6%
Sectores cubiertos
10
46 posiciones
Sortino del run
0.79
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.097 | 3.53% | — |
| 2 | EW | Edwards Lifesciences Corporation | Healthcare | 0.057 | 3.26% | — |
| 3 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.021 | 2.98% | — |
| 4 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.034 | 2.96% | — |
| 5 | AMD | Advanced Micro Devices, Inc. | Technology | 0.200 | 2.70% | — |
| 6 | TDG | TransDigm Group Incorporated | Industrials | 0.039 | 2.70% | — |
| 7 | NOW | ServiceNow, Inc. | Technology | 0.111 | 2.66% | — |
| 8 | INTC | Intel Corporation | Technology | 0.097 | 2.65% | — |
| 9 | ADBE | Adobe Inc. | Technology | 0.111 | 2.64% | — |
| 10 | MA | Mastercard Incorporated | Financial Services | 0.061 | 2.63% | — |
| 11 | GRMN | Garmin Ltd. | Technology | 0.086 | 2.60% | — |
| 12 | NTAP | NetApp, Inc. | Technology | 0.118 | 2.56% | — |
| 13 | MSFT | Microsoft Corporation | Technology | 0.062 | 2.49% | — |
| 14 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.045 | 2.47% | — |
| 15 | INTU | Intuit Inc. | Technology | 0.106 | 2.46% | — |
| 16 | FFIV | F5, Inc. | Technology | 0.077 | 2.41% | — |
| 17 | CRM | Salesforce, Inc. | Technology | 0.070 | 2.39% | — |
| 18 | WAT | Waters Corporation | Healthcare | 0.011 | 2.39% | — |
| 19 | VRSN | VeriSign, Inc. | Technology | 0.106 | 2.35% | — |
| 20 | SBAC | SBA Communications Corporation | Real Estate | 0.031 | 2.33% | — |
| 21 | WDC | Western Digital Corporation | Technology | 0.070 | 2.32% | — |
| 22 | CSCO | Cisco Systems, Inc. | Technology | 0.056 | 2.24% | — |
| 23 | ACN | Accenture plc | Technology | 0.078 | 2.13% | — |
| 24 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.147 | 1.45% | — |
| 25 | MSCI | MSCI Inc. | Financial Services | 0.164 | 1.31% | — |
| 26 | ECL | Ecolab Inc. | Basic Materials | -0.020 | 1.09% | — |
| 27 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | -0.014 | 0.38% | — |
| 28 | 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 | CEG | Constellation Energy Corporation | Utilities | -0.008 | -1.25% | — |
| 10 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.064 | -1.24% | — |
| 11 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.044 | -1.19% | — |
| 12 | MPC | Marathon Petroleum Corporation | Energy | -0.018 | -1.18% | — |
| 13 | MGM | MGM Resorts International | Consumer Cyclical | 0.006 | -1.18% | — |
| 14 | DAY | Dayforce Inc | Technology | -0.116 | -1.05% | — |
| 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 | 36.1% | 1.0% | 35.02% | 15 | 1 |
| Healthcare | 12.2% | 0.0% | 12.16% | 4 | 0 |
| Financial Services | 6.9% | 4.9% | 2.03% | 3 | 4 |
| Energy | 0.0% | 8.1% | -8.10% | 0 | 6 |
| Consumer Cyclical | 0.4% | 4.8% | -4.41% | 1 | 5 |
| Consumer Defensive | 2.9% | 0.0% | 2.85% | 2 | 0 |
| Industrials | 2.7% | 0.0% | 2.70% | 1 | 0 |
| Basic Materials | 1.1% | 1.5% | -0.43% | 1 | 1 |
| Real Estate | 2.3% | 0.0% | 2.33% | 1 | 0 |
| Utilities | 0.0% | 1.3% | -1.25% | 0 | 1 |