Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2024-03-28
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
37
gross 77.4%
Short book
19
gross -21.2%
Sectores cubiertos
11
56 posiciones
Sortino del run
0.96
Long book
37 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MA | Mastercard Incorporated | Financial Services | 0.160 | 3.77% | — |
| 2 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.092 | 3.75% | — |
| 3 | OTIS | Otis Worldwide Corporation | Industrials | 0.156 | 3.63% | — |
| 4 | MSCI | MSCI Inc. | Financial Services | 0.111 | 3.59% | — |
| 5 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.066 | 3.40% | — |
| 6 | EW | Edwards Lifesciences Corporation | Healthcare | 0.068 | 3.05% | — |
| 7 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.024 | 2.91% | — |
| 8 | SBAC | SBA Communications Corporation | Real Estate | 0.027 | 2.64% | — |
| 9 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.058 | 2.62% | — |
| 10 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.046 | 2.52% | — |
| 11 | LIN | Linde plc | Basic Materials | 0.035 | 2.43% | — |
| 12 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.038 | 2.42% | — |
| 13 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.018 | 2.33% | — |
| 14 | AON | Aon plc | Financial Services | 0.142 | 2.18% | — |
| 15 | CDNS | Cadence Design Systems, Inc. | Technology | 0.108 | 1.93% | — |
| 16 | NTAP | NetApp, Inc. | Technology | 0.105 | 1.91% | — |
| 17 | NOW | ServiceNow, Inc. | Technology | 0.113 | 1.91% | — |
| 18 | VRSN | VeriSign, Inc. | Technology | 0.131 | 1.90% | — |
| 19 | FTNT | Fortinet, Inc. | Technology | 0.149 | 1.87% | — |
| 20 | AMD | Advanced Micro Devices, Inc. | Technology | 0.065 | 1.87% | — |
| 21 | ADBE | Adobe Inc. | Technology | 0.082 | 1.84% | — |
| 22 | ANSS | ANSYS, Inc. | Technology | 0.079 | 1.84% | — |
| 23 | INTU | Intuit Inc. | Technology | 0.090 | 1.82% | — |
| 24 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.170 | 1.81% | — |
| 25 | FFIV | F5, Inc. | Technology | 0.078 | 1.72% | — |
| 26 | CSCO | Cisco Systems, Inc. | Technology | 0.089 | 1.68% | — |
| 27 | GRMN | Garmin Ltd. | Technology | 0.055 | 1.63% | — |
| 28 | ADSK | Autodesk, Inc. | Technology | 0.128 | 1.56% | — |
| 29 | ACN | Accenture plc | Technology | 0.063 | 1.54% | — |
| 30 | PANW | Palo Alto Networks, Inc. | Technology | 0.091 | 1.53% | — |
| 31 | CRM | Salesforce, Inc. | Technology | 0.061 | 1.53% | — |
| 32 | INTC | Intel Corporation | Technology | 0.051 | 1.50% | — |
| 33 | SNPS | Synopsys, Inc. | Technology | 0.090 | 1.49% | — |
| 34 | MSFT | Microsoft Corporation | Technology | 0.046 | 1.45% | — |
| 35 | WDC | Western Digital Corporation | Technology | 0.010 | 0.94% | — |
| 36 | TDG | TransDigm Group Incorporated | Industrials | -0.015 | 0.46% | — |
| 37 | WAT | Waters Corporation | Healthcare | -0.009 | 0.39% | — |
Short book
19 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | -0.160 | -1.74% | — |
| 2 | BAC | Bank of America Corporation | Financial Services | -0.136 | -1.63% | — |
| 3 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.132 | -1.62% | — |
| 4 | ALB | Albemarle Corporation | Basic Materials | -0.073 | -1.60% | — |
| 5 | MS | Morgan Stanley | Financial Services | -0.130 | -1.52% | — |
| 6 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.141 | -1.45% | — |
| 7 | AEP | American Electric Power Company, Inc. | Utilities | -0.053 | -1.32% | — |
| 8 | CTLT | Catalent, Inc. | Healthcare | -0.046 | -1.29% | — |
| 9 | SLB | SLB N.V. | Energy | -0.034 | -1.26% | — |
| 10 | MGM | MGM Resorts International | Consumer Cyclical | -0.034 | -1.21% | — |
| 11 | STT | State Street Corporation | Financial Services | -0.136 | -0.98% | — |
| 12 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.092 | -0.97% | — |
| 13 | RF | Regions Financial Corporation | Financial Services | -0.120 | -0.92% | — |
| 14 | FOX | Fox Corporation | Communication Services | -0.035 | -0.82% | — |
| 15 | DAY | Dayforce Inc | Technology | -0.154 | -0.81% | — |
| 16 | SCHW | The Charles Schwab Corporation | Financial Services | -0.092 | -0.54% | — |
| 17 | HAL | Halliburton Company | Energy | 0.010 | -0.52% | — |
| 18 | DIS | The Walt Disney Company | Communication Services | -0.084 | -0.51% | — |
| 19 | MPC | Marathon Petroleum Corporation | Energy | 0.040 | -0.50% | — |
Sector exposure en el rebalanceo seleccionado
2024-03-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 35.3% | 0.8% | 34.45% | 21 | 1 |
| Financial Services | 15.0% | 8.9% | 6.02% | 5 | 7 |
| Healthcare | 12.9% | 1.3% | 11.64% | 5 | 1 |
| Consumer Defensive | 5.0% | 0.0% | 5.05% | 2 | 0 |
| Industrials | 4.1% | 0.0% | 4.09% | 2 | 0 |
| Real Estate | 2.6% | 1.5% | 1.19% | 1 | 1 |
| Basic Materials | 2.4% | 1.6% | 0.83% | 1 | 1 |
| Energy | 0.0% | 2.3% | -2.28% | 0 | 3 |
| Consumer Cyclical | 0.0% | 2.2% | -2.18% | 0 | 2 |
| Communication Services | 0.0% | 1.3% | -1.33% | 0 | 2 |
| Utilities | 0.0% | 1.3% | -1.32% | 0 | 1 |