Portfolio
lightgbmLGBM 126d fundamental flexible 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
27
gross 63.9%
Short book
19
gross -21.6%
Sectores cubiertos
11
46 posiciones
Sortino del run
0.79
Long book
27 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MA | Mastercard Incorporated | Financial Services | 0.160 | 3.77% | — |
| 2 | MSCI | MSCI Inc. | Financial Services | 0.111 | 3.59% | — |
| 3 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.066 | 3.40% | — |
| 4 | OTIS | Otis Worldwide Corporation | Industrials | 0.156 | 3.19% | — |
| 5 | EW | Edwards Lifesciences Corporation | Healthcare | 0.068 | 3.05% | — |
| 6 | SBAC | SBA Communications Corporation | Real Estate | 0.027 | 2.64% | — |
| 7 | NTAP | NetApp, Inc. | Technology | 0.105 | 2.60% | — |
| 8 | NOW | ServiceNow, Inc. | Technology | 0.113 | 2.59% | — |
| 9 | VRSN | VeriSign, Inc. | Technology | 0.131 | 2.58% | — |
| 10 | AMD | Advanced Micro Devices, Inc. | Technology | 0.065 | 2.53% | — |
| 11 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.046 | 2.52% | — |
| 12 | ADBE | Adobe Inc. | Technology | 0.082 | 2.50% | — |
| 13 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.170 | 2.47% | — |
| 14 | INTU | Intuit Inc. | Technology | 0.090 | 2.47% | — |
| 15 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.038 | 2.42% | — |
| 16 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.018 | 2.33% | — |
| 17 | FFIV | F5, Inc. | Technology | 0.078 | 2.33% | — |
| 18 | CSCO | Cisco Systems, Inc. | Technology | 0.089 | 2.28% | — |
| 19 | GRMN | Garmin Ltd. | Technology | 0.055 | 2.21% | — |
| 20 | PANW | Palo Alto Networks, Inc. | Technology | 0.091 | 2.11% | — |
| 21 | ACN | Accenture plc | Technology | 0.063 | 2.10% | — |
| 22 | CRM | Salesforce, Inc. | Technology | 0.061 | 2.08% | — |
| 23 | INTC | Intel Corporation | Technology | 0.051 | 2.02% | — |
| 24 | MSFT | Microsoft Corporation | Technology | 0.046 | 1.97% | — |
| 25 | WDC | Western Digital Corporation | Technology | 0.010 | 1.27% | — |
| 26 | TDG | TransDigm Group Incorporated | Industrials | -0.015 | 0.46% | — |
| 27 | 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 | -1.60% | — |
| 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 | DAY | Dayforce Inc | Technology | -0.154 | -1.10% | — |
| 12 | STT | State Street Corporation | Financial Services | -0.136 | -0.98% | — |
| 13 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.092 | -0.97% | — |
| 14 | RF | Regions Financial Corporation | Financial Services | -0.120 | -0.92% | — |
| 15 | FOX | Fox Corporation | Communication Services | -0.035 | -0.82% | — |
| 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 | 36.1% | 1.1% | 35.00% | 16 | 1 |
| Financial Services | 9.9% | 9.0% | 0.86% | 3 | 7 |
| Healthcare | 9.2% | 1.3% | 7.89% | 4 | 1 |
| Real Estate | 2.6% | 1.5% | 1.19% | 1 | 1 |
| Industrials | 3.6% | 0.0% | 3.65% | 2 | 0 |
| Consumer Defensive | 2.4% | 0.0% | 2.42% | 1 | 0 |
| Energy | 0.0% | 2.3% | -2.28% | 0 | 3 |
| Consumer Cyclical | 0.0% | 2.2% | -2.18% | 0 | 2 |
| Basic Materials | 0.0% | 1.6% | -1.60% | 0 | 1 |
| Communication Services | 0.0% | 1.3% | -1.33% | 0 | 2 |
| Utilities | 0.0% | 1.3% | -1.32% | 0 | 1 |