Portfolio
lightgbmLGBM 126d fundamental flexible 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
27
gross 63.9%
Short book
17
gross -21.6%
Sectores cubiertos
11
44 posiciones
Sortino del run
0.79
Long book
27 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MA | Mastercard Incorporated | Financial Services | 0.168 | 3.89% | — |
| 2 | MSCI | MSCI Inc. | Financial Services | 0.125 | 3.75% | — |
| 3 | OTIS | Otis Worldwide Corporation | Industrials | 0.155 | 3.63% | — |
| 4 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.094 | 3.39% | — |
| 5 | EW | Edwards Lifesciences Corporation | Healthcare | 0.070 | 3.24% | — |
| 6 | VRSN | VeriSign, Inc. | Technology | 0.119 | 2.61% | — |
| 7 | NOW | ServiceNow, Inc. | Technology | 0.132 | 2.60% | — |
| 8 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.191 | 2.59% | — |
| 9 | NTAP | NetApp, Inc. | Technology | 0.073 | 2.52% | — |
| 10 | SBAC | SBA Communications Corporation | Real Estate | 0.056 | 2.50% | — |
| 11 | INTU | Intuit Inc. | Technology | 0.095 | 2.46% | — |
| 12 | ADBE | Adobe Inc. | Technology | 0.071 | 2.39% | — |
| 13 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.023 | 2.37% | — |
| 14 | FFIV | F5, Inc. | Technology | 0.087 | 2.34% | — |
| 15 | CSCO | Cisco Systems, Inc. | Technology | 0.061 | 2.33% | — |
| 16 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.026 | 2.31% | — |
| 17 | PANW | Palo Alto Networks, Inc. | Technology | 0.107 | 2.28% | — |
| 18 | ACN | Accenture plc | Technology | 0.079 | 2.19% | — |
| 19 | AMD | Advanced Micro Devices, Inc. | Technology | 0.033 | 2.18% | — |
| 20 | CRM | Salesforce, Inc. | Technology | 0.078 | 2.09% | — |
| 21 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.063 | 2.02% | — |
| 22 | INTC | Intel Corporation | Technology | 0.045 | 1.89% | — |
| 23 | GRMN | Garmin Ltd. | Technology | 0.042 | 1.87% | — |
| 24 | MSFT | Microsoft Corporation | Technology | 0.058 | 1.75% | — |
| 25 | FTNT | Fortinet, Inc. | Technology | 0.147 | 1.47% | — |
| 26 | TDG | TransDigm Group Incorporated | Industrials | 0.050 | 0.70% | — |
| 27 | WDC | Western Digital Corporation | Technology | 0.013 | 0.57% | — |
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 | -1.67% | — |
| 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 | DAY | Dayforce Inc | Technology | -0.170 | -1.10% | — |
| 14 | ALB | Albemarle Corporation | Basic Materials | 0.091 | -1.06% | — |
| 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 | 36.1% | 1.1% | 35.00% | 17 | 1 |
| Financial Services | 10.0% | 10.3% | -0.25% | 3 | 7 |
| Healthcare | 8.7% | 1.9% | 6.75% | 3 | 2 |
| Industrials | 4.3% | 0.0% | 4.33% | 2 | 0 |
| Real Estate | 2.5% | 1.6% | 0.95% | 1 | 1 |
| Consumer Defensive | 2.3% | 0.0% | 2.31% | 1 | 0 |
| 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 |
| Basic Materials | 0.0% | 1.1% | -1.06% | 0 | 1 |