Portfolio
lightgbmLGBM 126d flexible 50 beta40· rebalanceo 2024-06-28
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
38
gross 112.7%
Short book
18
gross -22.5%
Sectores cubiertos
12
57 posiciones
Sortino del run
0.51
Long book
38 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MA | Mastercard Incorporated | Financial Services | 0.135 | 3.92% | — |
| 2 | FTNT | Fortinet, Inc. | Technology | 0.140 | 3.90% | — |
| 3 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.188 | 3.90% | — |
| 4 | VRSN | VeriSign, Inc. | Technology | 0.137 | 3.89% | — |
| 5 | OTIS | Otis Worldwide Corporation | Industrials | 0.149 | 3.87% | — |
| 6 | NOW | ServiceNow, Inc. | Technology | 0.125 | 3.87% | — |
| 7 | MSCI | MSCI Inc. | Financial Services | 0.107 | 3.78% | — |
| 8 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.105 | 3.73% | — |
| 9 | CDNS | Cadence Design Systems, Inc. | Technology | 0.071 | 3.67% | — |
| 10 | INTU | Intuit Inc. | Technology | 0.071 | 3.61% | — |
| 11 | ADSK | Autodesk, Inc. | Technology | 0.073 | 3.58% | — |
| 12 | NTAP | NetApp, Inc. | Technology | 0.053 | 3.58% | — |
| 13 | ANSS | ANSYS, Inc. | Technology | 0.062 | 3.57% | — |
| 14 | PANW | Palo Alto Networks, Inc. | Technology | 0.101 | 3.49% | — |
| 15 | FFIV | F5, Inc. | Technology | 0.072 | 3.46% | — |
| 16 | ADBE | Adobe Inc. | Technology | 0.069 | 3.46% | — |
| 17 | AON | Aon plc | Financial Services | 0.128 | 3.41% | — |
| 18 | SNPS | Synopsys, Inc. | Technology | 0.082 | 3.40% | — |
| 19 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.071 | 3.39% | — |
| 20 | CSCO | Cisco Systems, Inc. | Technology | 0.057 | 3.36% | — |
| 21 | EW | Edwards Lifesciences Corporation | Healthcare | 0.080 | 3.31% | — |
| 22 | ACN | Accenture plc | Technology | 0.059 | 3.24% | — |
| 23 | CRM | Salesforce, Inc. | Technology | 0.052 | 3.08% | — |
| 24 | AMD | Advanced Micro Devices, Inc. | Technology | 0.031 | 2.88% | — |
| 25 | LRCX | Lam Research Corporation | Technology | 0.131 | 2.76% | — |
| 26 | INTC | Intel Corporation | Technology | 0.035 | 2.64% | — |
| 27 | SBAC | SBA Communications Corporation | Real Estate | 0.052 | 2.57% | — |
| 28 | MSFT | Microsoft Corporation | Technology | 0.040 | 2.53% | — |
| 29 | GRMN | Garmin Ltd. | Technology | 0.028 | 2.50% | — |
| 30 | LIN | Linde plc | Basic Materials | 0.042 | 2.38% | — |
| 31 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.011 | 2.13% | — |
| 32 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.042 | 2.13% | — |
| 33 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.009 | 1.89% | — |
| 34 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.040 | 1.80% | — |
| 35 | COST | Costco Wholesale Corporation | Consumer Defensive | -0.058 | 1.55% | — |
| 36 | TDG | TransDigm Group Incorporated | Industrials | 0.042 | 1.16% | — |
| 37 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.008 | 0.74% | — |
| 38 | WDC | Western Digital Corporation | Technology | -0.004 | 0.56% | — |
Short book
18 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | -0.155 | -1.77% | — |
| 2 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.127 | -1.72% | — |
| 3 | MS | Morgan Stanley | Financial Services | -0.128 | -1.69% | — |
| 4 | DAY | Dayforce Inc | Technology | -0.170 | -1.64% | — |
| 5 | BAC | Bank of America Corporation | Financial Services | -0.140 | -1.64% | — |
| 6 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.069 | -1.54% | — |
| 7 | STT | State Street Corporation | Financial Services | -0.119 | -1.50% | — |
| 8 | RF | Regions Financial Corporation | Financial Services | -0.109 | -1.42% | — |
| 9 | FOX | Fox Corporation | Communication Services | -0.061 | -1.30% | — |
| 10 | MGM | MGM Resorts International | Consumer Cyclical | -0.038 | -1.29% | — |
| 11 | AEP | American Electric Power Company, Inc. | Utilities | -0.027 | -1.27% | — |
| 12 | SLB | SLB N.V. | Energy | 0.001 | -1.07% | — |
| 13 | SCHW | The Charles Schwab Corporation | Financial Services | -0.106 | -1.05% | — |
| 14 | CTLT | Catalent, Inc. | Healthcare | — | -0.92% | — |
| 15 | BAX | Baxter International Inc. | Healthcare | -0.057 | -0.90% | — |
| 16 | ALB | Albemarle Corporation | Basic Materials | 0.088 | -0.71% | — |
| 17 | JPM | JPMorgan Chase & Co. | Financial Services | -0.134 | -0.57% | — |
| 18 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.037 | -0.51% | — |
Sector exposure en el rebalanceo seleccionado
2024-06-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Market Hedge | 0.0% | 73.5% | -73.55% | 0 | 1 |
| Technology | 71.7% | 1.6% | 70.05% | 23 | 1 |
| Financial Services | 15.1% | 11.4% | 3.77% | 5 | 8 |
| Healthcare | 12.6% | 1.8% | 10.74% | 4 | 2 |
| Industrials | 5.0% | 0.0% | 5.04% | 2 | 0 |
| Real Estate | 2.6% | 1.5% | 1.03% | 1 | 1 |
| Consumer Defensive | 3.3% | 0.0% | 3.34% | 2 | 0 |
| Basic Materials | 2.4% | 0.7% | 1.67% | 1 | 1 |
| Consumer Cyclical | 0.0% | 1.8% | -1.80% | 0 | 2 |
| Communication Services | 0.0% | 1.3% | -1.30% | 0 | 1 |
| Utilities | 0.0% | 1.3% | -1.27% | 0 | 1 |
| Energy | 0.0% | 1.1% | -1.07% | 0 | 1 |