Portfolio
lightgbmLGBM 126d fundamental flexible sector45· rebalanceo 2024-07-31
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
26
gross 63.5%
Short book
18
gross -22.3%
Sectores cubiertos
11
44 posiciones
Sortino del run
0.79
Long book
26 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MA | Mastercard Incorporated | Financial Services | 0.005 | 3.94% | — |
| 2 | OTIS | Otis Worldwide Corporation | Industrials | 0.015 | 3.82% | — |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.016 | 3.81% | — |
| 4 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.008 | 3.41% | — |
| 5 | EW | Edwards Lifesciences Corporation | Healthcare | 0.008 | 3.34% | — |
| 6 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.015 | 2.71% | — |
| 7 | VRSN | VeriSign, Inc. | Technology | 0.015 | 2.70% | — |
| 8 | NOW | ServiceNow, Inc. | Technology | 0.015 | 2.69% | — |
| 9 | SBAC | SBA Communications Corporation | Real Estate | -0.001 | 2.57% | — |
| 10 | INTU | Intuit Inc. | Technology | 0.015 | 2.47% | — |
| 11 | PANW | Palo Alto Networks, Inc. | Technology | 0.015 | 2.47% | — |
| 12 | FFIV | F5, Inc. | Technology | 0.015 | 2.40% | — |
| 13 | ADBE | Adobe Inc. | Technology | 0.015 | 2.37% | — |
| 14 | NTAP | NetApp, Inc. | Technology | 0.011 | 2.35% | — |
| 15 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.004 | 2.27% | — |
| 16 | CSCO | Cisco Systems, Inc. | Technology | 0.015 | 2.26% | — |
| 17 | ACN | Accenture plc | Technology | 0.006 | 2.21% | — |
| 18 | FTNT | Fortinet, Inc. | Technology | 0.005 | 2.19% | — |
| 19 | CRM | Salesforce, Inc. | Technology | 0.015 | 2.16% | — |
| 20 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.005 | 1.89% | — |
| 21 | AMD | Advanced Micro Devices, Inc. | Technology | 0.008 | 1.80% | — |
| 22 | MSFT | Microsoft Corporation | Technology | 0.006 | 1.75% | — |
| 23 | INTC | Intel Corporation | Technology | 0.000 | 1.68% | — |
| 24 | GRMN | Garmin Ltd. | Technology | 0.011 | 1.67% | — |
| 25 | TDG | TransDigm Group Incorporated | Industrials | 0.001 | 1.55% | — |
| 26 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.004 | 1.04% | — |
Short book
18 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | -0.005 | -1.79% | — |
| 2 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.005 | -1.73% | — |
| 3 | MS | Morgan Stanley | Financial Services | -0.005 | -1.70% | — |
| 4 | BAC | Bank of America Corporation | Financial Services | 0.003 | -1.65% | — |
| 5 | STT | State Street Corporation | Financial Services | -0.002 | -1.56% | — |
| 6 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.008 | -1.53% | — |
| 7 | RF | Regions Financial Corporation | Financial Services | 0.006 | -1.48% | — |
| 8 | FOX | Fox Corporation | Communication Services | 0.002 | -1.38% | — |
| 9 | MGM | MGM Resorts International | Consumer Cyclical | 0.000 | -1.31% | — |
| 10 | SCHW | The Charles Schwab Corporation | Financial Services | -0.009 | -1.25% | — |
| 11 | AEP | American Electric Power Company, Inc. | Utilities | -0.007 | -1.23% | — |
| 12 | BAX | Baxter International Inc. | Healthcare | -0.007 | -1.15% | — |
| 13 | DAY | Dayforce Inc | Technology | -0.008 | -1.13% | — |
| 14 | SLB | SLB N.V. | Energy | -0.003 | -1.01% | — |
| 15 | JPM | JPMorgan Chase & Co. | Financial Services | -0.005 | -0.95% | — |
| 16 | CTLT | Catalent, Inc. | Healthcare | — | -0.61% | — |
| 17 | ALB | Albemarle Corporation | Basic Materials | 0.000 | -0.48% | — |
| 18 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.012 | -0.34% | — |
Sector exposure en el rebalanceo seleccionado
2024-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 35.9% | 1.1% | 34.75% | 16 | 1 |
| Financial Services | 9.6% | 12.1% | -2.45% | 3 | 8 |
| Healthcare | 9.0% | 1.8% | 7.25% | 3 | 2 |
| Industrials | 5.4% | 0.0% | 5.37% | 2 | 0 |
| Real Estate | 2.6% | 1.5% | 1.03% | 1 | 1 |
| Consumer Cyclical | 0.0% | 1.7% | -1.65% | 0 | 2 |
| Communication Services | 0.0% | 1.4% | -1.38% | 0 | 1 |
| Utilities | 0.0% | 1.2% | -1.23% | 0 | 1 |
| Consumer Defensive | 1.0% | 0.0% | 1.04% | 1 | 0 |
| Energy | 0.0% | 1.0% | -1.01% | 0 | 1 |
| Basic Materials | 0.0% | 0.5% | -0.48% | 0 | 1 |