Portfolio
lightgbmLGBM 126d flexible 50 beta40· rebalanceo 2023-11-30
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 110.0%
Short book
23
gross -22.4%
Sectores cubiertos
12
62 posiciones
Sortino del run
0.51
Long book
38 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AMD | Advanced Micro Devices, Inc. | Technology | 0.200 | 3.97% | — |
| 2 | NOW | ServiceNow, Inc. | Technology | 0.113 | 3.86% | — |
| 3 | CDNS | Cadence Design Systems, Inc. | Technology | 0.144 | 3.86% | — |
| 4 | ADBE | Adobe Inc. | Technology | 0.119 | 3.85% | — |
| 5 | ANSS | ANSYS, Inc. | Technology | 0.120 | 3.83% | — |
| 6 | INTC | Intel Corporation | Technology | 0.093 | 3.82% | — |
| 7 | NTAP | NetApp, Inc. | Technology | 0.121 | 3.76% | — |
| 8 | GRMN | Garmin Ltd. | Technology | 0.086 | 3.72% | — |
| 9 | INTU | Intuit Inc. | Technology | 0.121 | 3.65% | — |
| 10 | VRSN | VeriSign, Inc. | Technology | 0.110 | 3.55% | — |
| 11 | FTNT | Fortinet, Inc. | Technology | 0.077 | 3.55% | — |
| 12 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.127 | 3.54% | — |
| 13 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.083 | 3.52% | — |
| 14 | FFIV | F5, Inc. | Technology | 0.092 | 3.48% | — |
| 15 | MSFT | Microsoft Corporation | Technology | 0.062 | 3.46% | — |
| 16 | CRM | Salesforce, Inc. | Technology | 0.075 | 3.41% | — |
| 17 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.066 | 3.28% | — |
| 18 | CSCO | Cisco Systems, Inc. | Technology | 0.066 | 3.18% | — |
| 19 | ACN | Accenture plc | Technology | 0.071 | 3.18% | — |
| 20 | WDC | Western Digital Corporation | Technology | 0.049 | 3.12% | — |
| 21 | EW | Edwards Lifesciences Corporation | Healthcare | 0.057 | 3.11% | — |
| 22 | MA | Mastercard Incorporated | Financial Services | 0.147 | 2.99% | — |
| 23 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.147 | 2.78% | — |
| 24 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.053 | 2.76% | — |
| 25 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.021 | 2.50% | — |
| 26 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.051 | 2.48% | — |
| 27 | SBAC | SBA Communications Corporation | Real Estate | 0.072 | 2.46% | — |
| 28 | LIN | Linde plc | Basic Materials | 0.055 | 2.46% | — |
| 29 | MU | Micron Technology, Inc. | Technology | 0.020 | 2.38% | — |
| 30 | TDG | TransDigm Group Incorporated | Industrials | 0.004 | 2.27% | — |
| 31 | OTIS | Otis Worldwide Corporation | Industrials | 0.195 | 2.19% | — |
| 32 | MSCI | MSCI Inc. | Financial Services | 0.150 | 2.18% | — |
| 33 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.059 | 2.12% | — |
| 34 | WAT | Waters Corporation | Healthcare | 0.010 | 1.94% | — |
| 35 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.019 | 1.56% | — |
| 36 | SYK | Stryker Corporation | Healthcare | 0.001 | 0.93% | — |
| 37 | ECL | Ecolab Inc. | Basic Materials | 0.004 | 0.73% | — |
| 38 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.130 | 0.52% | — |
Short book
23 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BAC | Bank of America Corporation | Financial Services | -0.121 | -1.60% | — |
| 2 | C | Citigroup Inc. | Financial Services | -0.137 | -1.60% | — |
| 3 | ALB | Albemarle Corporation | Basic Materials | -0.117 | -1.57% | — |
| 4 | DAY | Dayforce Inc | Technology | -0.154 | -1.56% | — |
| 5 | SLB | SLB N.V. | Energy | -0.058 | -1.47% | — |
| 6 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.063 | -1.32% | — |
| 7 | HAL | Halliburton Company | Energy | -0.016 | -1.28% | — |
| 8 | MPC | Marathon Petroleum Corporation | Energy | -0.023 | -1.20% | — |
| 9 | MGM | MGM Resorts International | Consumer Cyclical | -0.012 | -1.16% | — |
| 10 | MS | Morgan Stanley | Financial Services | -0.112 | -0.98% | — |
| 11 | TRGP | Targa Resources Corp. | Energy | 0.080 | -0.91% | — |
| 12 | BKR | Baker Hughes Company | Energy | -0.029 | -0.91% | — |
| 13 | SEDG | SolarEdge Technologies, Inc. | Energy | 0.043 | -0.89% | — |
| 14 | CEG | Constellation Energy Corporation | Utilities | -0.014 | -0.84% | — |
| 15 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.065 | -0.83% | — |
| 16 | VFC | V.F. Corporation | Consumer Cyclical | 0.018 | -0.57% | — |
| 17 | SCHW | The Charles Schwab Corporation | Financial Services | -0.106 | -0.57% | — |
| 18 | F | Ford Motor Company | Consumer Cyclical | 0.015 | -0.56% | — |
| 19 | DIS | The Walt Disney Company | Communication Services | -0.106 | -0.55% | — |
| 20 | AEP | American Electric Power Company, Inc. | Utilities | -0.080 | -0.54% | — |
| 21 | CTLT | Catalent, Inc. | Healthcare | -0.051 | -0.54% | — |
| 22 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.067 | -0.52% | — |
| 23 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.111 | -0.46% | — |
Sector exposure en el rebalanceo seleccionado
2023-11-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 68.0% | 1.6% | 66.41% | 20 | 1 |
| Market Hedge | 0.0% | 65.8% | -65.82% | 0 | 1 |
| Financial Services | 11.2% | 6.1% | 5.15% | 4 | 5 |
| Healthcare | 15.5% | 0.5% | 15.00% | 6 | 1 |
| Energy | 0.0% | 6.7% | -6.66% | 0 | 6 |
| Basic Materials | 3.2% | 1.6% | 1.62% | 2 | 1 |
| Consumer Defensive | 4.6% | 0.0% | 4.60% | 2 | 0 |
| Industrials | 4.5% | 0.0% | 4.46% | 2 | 0 |
| Consumer Cyclical | 0.0% | 3.6% | -3.57% | 0 | 5 |
| Real Estate | 2.5% | 0.5% | 1.94% | 1 | 1 |
| Utilities | 0.0% | 1.4% | -1.38% | 0 | 2 |
| Communication Services | 0.5% | 0.5% | -0.03% | 1 | 1 |