Portfolio
lightgbmLGBM 126d flexible 50 beta40· rebalanceo 2024-01-31
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 112.3%
Short book
20
gross -22.2%
Sectores cubiertos
12
61 posiciones
Sortino del run
0.51
Long book
40 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AMD | Advanced Micro Devices, Inc. | Technology | 0.145 | 3.97% | — |
| 2 | CDNS | Cadence Design Systems, Inc. | Technology | 0.129 | 3.89% | — |
| 3 | NTAP | NetApp, Inc. | Technology | 0.128 | 3.82% | — |
| 4 | ADBE | Adobe Inc. | Technology | 0.104 | 3.81% | — |
| 5 | ANSS | ANSYS, Inc. | Technology | 0.127 | 3.79% | — |
| 6 | NOW | ServiceNow, Inc. | Technology | 0.128 | 3.79% | — |
| 7 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.120 | 3.72% | — |
| 8 | VRSN | VeriSign, Inc. | Technology | 0.126 | 3.70% | — |
| 9 | INTU | Intuit Inc. | Technology | 0.106 | 3.64% | — |
| 10 | FTNT | Fortinet, Inc. | Technology | 0.098 | 3.56% | — |
| 11 | MA | Mastercard Incorporated | Financial Services | 0.135 | 3.51% | — |
| 12 | GRMN | Garmin Ltd. | Technology | 0.080 | 3.46% | — |
| 13 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.082 | 3.44% | — |
| 14 | FFIV | F5, Inc. | Technology | 0.091 | 3.43% | — |
| 15 | INTC | Intel Corporation | Technology | 0.036 | 3.42% | — |
| 16 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.137 | 3.41% | — |
| 17 | CRM | Salesforce, Inc. | Technology | 0.082 | 3.20% | — |
| 18 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.074 | 3.19% | — |
| 19 | OTIS | Otis Worldwide Corporation | Industrials | 0.176 | 3.18% | — |
| 20 | MSFT | Microsoft Corporation | Technology | 0.060 | 3.17% | — |
| 21 | MSCI | MSCI Inc. | Financial Services | 0.178 | 3.16% | — |
| 22 | CSCO | Cisco Systems, Inc. | Technology | 0.079 | 3.15% | — |
| 23 | ACN | Accenture plc | Technology | 0.064 | 3.08% | — |
| 24 | EW | Edwards Lifesciences Corporation | Healthcare | 0.058 | 2.92% | — |
| 25 | SBAC | SBA Communications Corporation | Real Estate | 0.068 | 2.73% | — |
| 26 | LIN | Linde plc | Basic Materials | 0.050 | 2.46% | — |
| 27 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.056 | 2.45% | — |
| 28 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.054 | 2.45% | — |
| 29 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.048 | 2.43% | — |
| 30 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.047 | 2.40% | — |
| 31 | WDC | Western Digital Corporation | Technology | 0.035 | 2.40% | — |
| 32 | PANW | Palo Alto Networks, Inc. | Technology | 0.187 | 2.20% | — |
| 33 | ADSK | Autodesk, Inc. | Technology | 0.182 | 2.19% | — |
| 34 | SNPS | Synopsys, Inc. | Technology | 0.131 | 2.16% | — |
| 35 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.017 | 1.30% | — |
| 36 | MU | Micron Technology, Inc. | Technology | -0.007 | 1.07% | — |
| 37 | TDG | TransDigm Group Incorporated | Industrials | -0.003 | 1.02% | — |
| 38 | WAT | Waters Corporation | Healthcare | 0.010 | 0.87% | — |
| 39 | SYK | Stryker Corporation | Healthcare | -0.020 | 0.42% | — |
| 40 | ECL | Ecolab Inc. | Basic Materials | 0.004 | 0.33% | — |
Short book
20 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | -0.174 | -1.69% | — |
| 2 | BAC | Bank of America Corporation | Financial Services | -0.142 | -1.61% | — |
| 3 | ALB | Albemarle Corporation | Basic Materials | -0.104 | -1.61% | — |
| 4 | DAY | Dayforce Inc | Technology | -0.171 | -1.59% | — |
| 5 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.081 | -1.48% | — |
| 6 | MS | Morgan Stanley | Financial Services | -0.138 | -1.42% | — |
| 7 | SLB | SLB N.V. | Energy | -0.021 | -1.42% | — |
| 8 | MGM | MGM Resorts International | Consumer Cyclical | -0.014 | -1.23% | — |
| 9 | SCHW | The Charles Schwab Corporation | Financial Services | -0.137 | -1.21% | — |
| 10 | HAL | Halliburton Company | Energy | -0.004 | -1.15% | — |
| 11 | AEP | American Electric Power Company, Inc. | Utilities | -0.076 | -1.14% | — |
| 12 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.075 | -1.14% | — |
| 13 | DIS | The Walt Disney Company | Communication Services | -0.118 | -1.14% | — |
| 14 | MPC | Marathon Petroleum Corporation | Energy | 0.011 | -1.12% | — |
| 15 | CTLT | Catalent, Inc. | Healthcare | -0.042 | -1.08% | — |
| 16 | BKR | Baker Hughes Company | Energy | 0.048 | -0.61% | — |
| 17 | TRGP | Targa Resources Corp. | Energy | 0.118 | -0.41% | — |
| 18 | SEDG | — | — | — | -0.40% | — |
| 19 | CEG | Constellation Energy Corporation | Utilities | 0.007 | -0.38% | — |
| 20 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.061 | -0.37% | — |
Sector exposure en el rebalanceo seleccionado
2024-01-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 71.6% | 1.6% | 70.00% | 23 | 1 |
| Market Hedge | 0.0% | 70.8% | -70.83% | 0 | 1 |
| Financial Services | 12.3% | 7.4% | 4.88% | 4 | 5 |
| Healthcare | 13.8% | 1.1% | 12.74% | 6 | 1 |
| Consumer Defensive | 4.9% | 0.0% | 4.86% | 2 | 0 |
| Energy | 0.0% | 4.7% | -4.71% | 0 | 5 |
| Basic Materials | 2.8% | 1.6% | 1.18% | 2 | 1 |
| Industrials | 4.2% | 0.0% | 4.20% | 2 | 0 |
| Real Estate | 2.7% | 1.1% | 1.59% | 1 | 1 |
| Consumer Cyclical | 0.0% | 1.6% | -1.60% | 0 | 2 |
| Utilities | 0.0% | 1.5% | -1.51% | 0 | 2 |
| Communication Services | 0.0% | 1.1% | -1.14% | 0 | 1 |
| Unknown | 0.0% | 0.4% | -0.40% | 0 | 1 |