Portfolio
lightgbmLGBM 126d fundamental flexible sector45· 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
28
gross 63.5%
Short book
20
gross -21.7%
Sectores cubiertos
11
48 posiciones
Sortino del run
0.79
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MA | Mastercard Incorporated | Financial Services | 0.135 | 3.51% | — |
| 2 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.082 | 3.44% | — |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.178 | 3.16% | — |
| 4 | EW | Edwards Lifesciences Corporation | Healthcare | 0.058 | 2.92% | — |
| 5 | SBAC | SBA Communications Corporation | Real Estate | 0.068 | 2.73% | — |
| 6 | AMD | Advanced Micro Devices, Inc. | Technology | 0.145 | 2.67% | — |
| 7 | NTAP | NetApp, Inc. | Technology | 0.128 | 2.57% | — |
| 8 | ADBE | Adobe Inc. | Technology | 0.104 | 2.57% | — |
| 9 | NOW | ServiceNow, Inc. | Technology | 0.128 | 2.55% | — |
| 10 | VRSN | VeriSign, Inc. | Technology | 0.126 | 2.49% | — |
| 11 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.054 | 2.45% | — |
| 12 | INTU | Intuit Inc. | Technology | 0.106 | 2.45% | — |
| 13 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.048 | 2.43% | — |
| 14 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.047 | 2.40% | — |
| 15 | GRMN | Garmin Ltd. | Technology | 0.080 | 2.33% | — |
| 16 | FFIV | F5, Inc. | Technology | 0.091 | 2.31% | — |
| 17 | INTC | Intel Corporation | Technology | 0.036 | 2.30% | — |
| 18 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.137 | 2.27% | — |
| 19 | OTIS | Otis Worldwide Corporation | Industrials | 0.176 | 2.20% | — |
| 20 | CRM | Salesforce, Inc. | Technology | 0.082 | 2.16% | — |
| 21 | MSFT | Microsoft Corporation | Technology | 0.060 | 2.13% | — |
| 22 | CSCO | Cisco Systems, Inc. | Technology | 0.079 | 2.12% | — |
| 23 | ACN | Accenture plc | Technology | 0.064 | 2.07% | — |
| 24 | WDC | Western Digital Corporation | Technology | 0.035 | 1.62% | — |
| 25 | PANW | Palo Alto Networks, Inc. | Technology | 0.187 | 1.46% | — |
| 26 | TDG | TransDigm Group Incorporated | Industrials | -0.003 | 1.02% | — |
| 27 | WAT | Waters Corporation | Healthcare | 0.010 | 0.87% | — |
| 28 | 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 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.081 | -1.48% | — |
| 5 | MS | Morgan Stanley | Financial Services | -0.138 | -1.42% | — |
| 6 | SLB | SLB N.V. | Energy | -0.021 | -1.42% | — |
| 7 | MGM | MGM Resorts International | Consumer Cyclical | -0.014 | -1.23% | — |
| 8 | SCHW | The Charles Schwab Corporation | Financial Services | -0.137 | -1.21% | — |
| 9 | HAL | Halliburton Company | Energy | -0.004 | -1.15% | — |
| 10 | AEP | American Electric Power Company, Inc. | Utilities | -0.076 | -1.14% | — |
| 11 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.075 | -1.14% | — |
| 12 | DIS | The Walt Disney Company | Communication Services | -0.118 | -1.14% | — |
| 13 | MPC | Marathon Petroleum Corporation | Energy | 0.011 | -1.12% | — |
| 14 | CTLT | Catalent, Inc. | Healthcare | -0.042 | -1.08% | — |
| 15 | DAY | Dayforce Inc | Technology | -0.171 | -1.07% | — |
| 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 | 36.1% | 1.1% | 35.01% | 16 | 1 |
| Financial Services | 9.1% | 7.4% | 1.69% | 3 | 5 |
| Healthcare | 9.7% | 1.1% | 8.60% | 4 | 1 |
| Energy | 0.0% | 4.7% | -4.71% | 0 | 5 |
| Real Estate | 2.7% | 1.1% | 1.59% | 1 | 1 |
| Industrials | 3.2% | 0.0% | 3.22% | 2 | 0 |
| Consumer Defensive | 2.4% | 0.0% | 2.40% | 1 | 0 |
| Basic Materials | 0.3% | 1.6% | -1.28% | 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 |