Portfolio
lightgbmLGBM 126d fundamental flexible 50 uncapped· rebalanceo 2023-12-29
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
41
gross 111.5%
Short book
23
gross -23.0%
Sectores cubiertos
11
64 posiciones
Sortino del run
1.20
Long book
41 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AMD | Advanced Micro Devices, Inc. | Technology | 0.141 | 3.98% | — |
| 2 | CDNS | Cadence Design Systems, Inc. | Technology | 0.126 | 3.88% | — |
| 3 | ADBE | Adobe Inc. | Technology | 0.126 | 3.85% | — |
| 4 | NOW | ServiceNow, Inc. | Technology | 0.094 | 3.80% | — |
| 5 | NTAP | NetApp, Inc. | Technology | 0.126 | 3.80% | — |
| 6 | ANSS | ANSYS, Inc. | Technology | 0.092 | 3.80% | — |
| 7 | INTC | Intel Corporation | Technology | 0.080 | 3.70% | — |
| 8 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.127 | 3.66% | — |
| 9 | INTU | Intuit Inc. | Technology | 0.084 | 3.64% | — |
| 10 | VRSN | VeriSign, Inc. | Technology | 0.124 | 3.63% | — |
| 11 | GRMN | Garmin Ltd. | Technology | 0.066 | 3.58% | — |
| 12 | FTNT | Fortinet, Inc. | Technology | 0.108 | 3.54% | — |
| 13 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.082 | 3.48% | — |
| 14 | FFIV | F5, Inc. | Technology | 0.077 | 3.44% | — |
| 15 | MA | Mastercard Incorporated | Financial Services | 0.149 | 3.29% | — |
| 16 | MSFT | Microsoft Corporation | Technology | 0.064 | 3.29% | — |
| 17 | CRM | Salesforce, Inc. | Technology | 0.052 | 3.24% | — |
| 18 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.070 | 3.23% | — |
| 19 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.116 | 3.16% | — |
| 20 | ACN | Accenture plc | Technology | 0.059 | 3.13% | — |
| 21 | CSCO | Cisco Systems, Inc. | Technology | 0.069 | 3.12% | — |
| 22 | EW | Edwards Lifesciences Corporation | Healthcare | 0.058 | 3.00% | — |
| 23 | OTIS | Otis Worldwide Corporation | Industrials | 0.178 | 2.79% | — |
| 24 | MSCI | MSCI Inc. | Financial Services | 0.145 | 2.77% | — |
| 25 | WDC | Western Digital Corporation | Technology | 0.013 | 2.71% | — |
| 26 | SBAC | SBA Communications Corporation | Real Estate | 0.064 | 2.58% | — |
| 27 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.034 | 2.54% | — |
| 28 | LIN | Linde plc | Basic Materials | 0.046 | 2.48% | — |
| 29 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.045 | 2.45% | — |
| 30 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.066 | 2.43% | — |
| 31 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.056 | 2.32% | — |
| 32 | MU | Micron Technology, Inc. | Technology | -0.019 | 1.59% | — |
| 33 | TDG | TransDigm Group Incorporated | Industrials | -0.015 | 1.52% | — |
| 34 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.009 | 1.40% | — |
| 35 | PANW | Palo Alto Networks, Inc. | Technology | 0.190 | 1.31% | — |
| 36 | ADSK | Autodesk, Inc. | Technology | 0.156 | 1.30% | — |
| 37 | WAT | Waters Corporation | Healthcare | 0.006 | 1.30% | — |
| 38 | SNPS | Synopsys, Inc. | Technology | 0.116 | 1.30% | — |
| 39 | SYK | Stryker Corporation | Healthcare | -0.020 | 0.62% | — |
| 40 | ECL | Ecolab Inc. | Basic Materials | -0.007 | 0.49% | — |
| 41 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.138 | 0.35% | — |
Short book
23 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | -0.180 | -1.66% | — |
| 2 | BAC | Bank of America Corporation | Financial Services | -0.142 | -1.61% | — |
| 3 | ALB | Albemarle Corporation | Basic Materials | -0.143 | -1.60% | — |
| 4 | DAY | Dayforce Inc | Technology | -0.170 | -1.58% | — |
| 5 | SLB | SLB N.V. | Energy | -0.052 | -1.46% | — |
| 6 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.081 | -1.40% | — |
| 7 | MS | Morgan Stanley | Financial Services | -0.138 | -1.24% | — |
| 8 | HAL | Halliburton Company | Energy | -0.005 | -1.21% | — |
| 9 | MGM | MGM Resorts International | Consumer Cyclical | -0.039 | -1.20% | — |
| 10 | MPC | Marathon Petroleum Corporation | Energy | -0.016 | -1.19% | — |
| 11 | SCHW | The Charles Schwab Corporation | Financial Services | -0.137 | -0.95% | — |
| 12 | DIS | The Walt Disney Company | Communication Services | -0.127 | -0.92% | — |
| 13 | BKR | Baker Hughes Company | Energy | 0.030 | -0.91% | — |
| 14 | AEP | American Electric Power Company, Inc. | Utilities | -0.076 | -0.90% | — |
| 15 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.079 | -0.89% | — |
| 16 | CTLT | Catalent, Inc. | Healthcare | -0.059 | -0.87% | — |
| 17 | TRGP | Targa Resources Corp. | Energy | 0.118 | -0.61% | — |
| 18 | SEDG | — | — | — | -0.60% | — |
| 19 | CEG | Constellation Energy Corporation | Utilities | 0.003 | -0.56% | — |
| 20 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.066 | -0.56% | — |
| 21 | VFC | V.F. Corporation | Consumer Cyclical | 0.031 | -0.38% | — |
| 22 | F | Ford Motor Company | Consumer Cyclical | 0.019 | -0.37% | — |
| 23 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.108 | -0.31% | — |
Sector exposure en el rebalanceo seleccionado
2023-12-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 70.2% | 1.6% | 68.61% | 23 | 1 |
| Financial Services | 11.8% | 6.9% | 4.97% | 4 | 5 |
| Healthcare | 14.5% | 0.9% | 13.62% | 6 | 1 |
| Energy | 0.0% | 5.4% | -5.38% | 0 | 5 |
| Consumer Defensive | 4.8% | 0.0% | 4.77% | 2 | 0 |
| Basic Materials | 3.0% | 1.6% | 1.36% | 2 | 1 |
| Industrials | 4.3% | 0.0% | 4.31% | 2 | 0 |
| Real Estate | 2.6% | 0.9% | 1.69% | 1 | 1 |
| Consumer Cyclical | 0.0% | 2.8% | -2.82% | 0 | 5 |
| Utilities | 0.0% | 1.5% | -1.46% | 0 | 2 |
| Communication Services | 0.3% | 0.9% | -0.57% | 1 | 1 |
| Unknown | 0.0% | 0.6% | -0.60% | 0 | 1 |