Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2024-05-31
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
37
gross 77.7%
Short book
17
gross -21.2%
Sectores cubiertos
11
54 posiciones
Sortino del run
0.96
Long book
37 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MA | Mastercard Incorporated | Financial Services | 0.168 | 3.89% | — |
| 2 | OTIS | Otis Worldwide Corporation | Industrials | 0.155 | 3.83% | — |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.125 | 3.75% | — |
| 4 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.105 | 3.73% | — |
| 5 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.094 | 3.39% | — |
| 6 | EW | Edwards Lifesciences Corporation | Healthcare | 0.070 | 3.24% | — |
| 7 | AON | Aon plc | Financial Services | 0.130 | 3.16% | — |
| 8 | HRL | Hormel Foods Corporation | Consumer Defensive | 0.044 | 2.68% | — |
| 9 | SBAC | SBA Communications Corporation | Real Estate | 0.056 | 2.50% | — |
| 10 | LIN | Linde plc | Basic Materials | 0.041 | 2.38% | — |
| 11 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.023 | 2.37% | — |
| 12 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.026 | 2.31% | — |
| 13 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.015 | 2.21% | — |
| 14 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.063 | 2.02% | — |
| 15 | VRSN | VeriSign, Inc. | Technology | 0.119 | 1.92% | — |
| 16 | FTNT | Fortinet, Inc. | Technology | 0.147 | 1.92% | — |
| 17 | NOW | ServiceNow, Inc. | Technology | 0.132 | 1.91% | — |
| 18 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.191 | 1.90% | — |
| 19 | CDNS | Cadence Design Systems, Inc. | Technology | 0.105 | 1.86% | — |
| 20 | NTAP | NetApp, Inc. | Technology | 0.073 | 1.86% | — |
| 21 | INTU | Intuit Inc. | Technology | 0.095 | 1.81% | — |
| 22 | ANSS | ANSYS, Inc. | Technology | 0.089 | 1.81% | — |
| 23 | ADBE | Adobe Inc. | Technology | 0.071 | 1.76% | — |
| 24 | ADSK | Autodesk, Inc. | Technology | 0.121 | 1.76% | — |
| 25 | FFIV | F5, Inc. | Technology | 0.087 | 1.72% | — |
| 26 | CSCO | Cisco Systems, Inc. | Technology | 0.061 | 1.72% | — |
| 27 | PANW | Palo Alto Networks, Inc. | Technology | 0.107 | 1.67% | — |
| 28 | SNPS | Synopsys, Inc. | Technology | 0.090 | 1.64% | — |
| 29 | ACN | Accenture plc | Technology | 0.079 | 1.61% | — |
| 30 | AMD | Advanced Micro Devices, Inc. | Technology | 0.033 | 1.60% | — |
| 31 | CRM | Salesforce, Inc. | Technology | 0.078 | 1.54% | — |
| 32 | INTC | Intel Corporation | Technology | 0.045 | 1.39% | — |
| 33 | GRMN | Garmin Ltd. | Technology | 0.042 | 1.38% | — |
| 34 | MSFT | Microsoft Corporation | Technology | 0.058 | 1.29% | — |
| 35 | LRCX | Lam Research Corporation | Technology | 0.133 | 1.07% | — |
| 36 | TDG | TransDigm Group Incorporated | Industrials | 0.050 | 0.70% | — |
| 37 | WDC | Western Digital Corporation | Technology | 0.013 | 0.42% | — |
Short book
17 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | -0.155 | -1.76% | — |
| 2 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.128 | -1.70% | — |
| 3 | MS | Morgan Stanley | Financial Services | -0.130 | -1.63% | — |
| 4 | BAC | Bank of America Corporation | Financial Services | -0.134 | -1.63% | — |
| 5 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.065 | -1.56% | — |
| 6 | STT | State Street Corporation | Financial Services | -0.120 | -1.40% | — |
| 7 | CTLT | Catalent, Inc. | Healthcare | -0.070 | -1.37% | — |
| 8 | RF | Regions Financial Corporation | Financial Services | -0.094 | -1.32% | — |
| 9 | AEP | American Electric Power Company, Inc. | Utilities | -0.030 | -1.32% | — |
| 10 | MGM | MGM Resorts International | Consumer Cyclical | -0.038 | -1.25% | — |
| 11 | FOX | Fox Corporation | Communication Services | -0.061 | -1.17% | — |
| 12 | SLB | SLB N.V. | Energy | -0.011 | -1.16% | — |
| 13 | ALB | Albemarle Corporation | Basic Materials | 0.091 | -1.06% | — |
| 14 | DAY | Dayforce Inc | Technology | -0.170 | -0.81% | — |
| 15 | SCHW | The Charles Schwab Corporation | Financial Services | -0.098 | -0.78% | — |
| 16 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.053 | -0.76% | — |
| 17 | BAX | Baxter International Inc. | Healthcare | -0.057 | -0.55% | — |
Sector exposure en el rebalanceo seleccionado
2024-05-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 35.6% | 0.8% | 34.75% | 22 | 1 |
| Financial Services | 15.4% | 10.2% | 5.16% | 5 | 7 |
| Healthcare | 12.4% | 1.9% | 10.48% | 4 | 2 |
| Consumer Defensive | 5.0% | 0.0% | 4.99% | 2 | 0 |
| Industrials | 4.5% | 0.0% | 4.53% | 2 | 0 |
| Real Estate | 2.5% | 1.6% | 0.95% | 1 | 1 |
| Basic Materials | 2.4% | 1.1% | 1.31% | 1 | 1 |
| Consumer Cyclical | 0.0% | 2.0% | -2.02% | 0 | 2 |
| Utilities | 0.0% | 1.3% | -1.32% | 0 | 1 |
| Communication Services | 0.0% | 1.2% | -1.17% | 0 | 1 |
| Energy | 0.0% | 1.2% | -1.16% | 0 | 1 |