Portfolio
lightgbmLGBM 126d flexible 50 beta60· rebalanceo 2024-08-30
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 110.6%
Short book
18
gross -23.0%
Sectores cubiertos
12
56 posiciones
Sortino del run
0.81
Long book
37 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.015 | 3.95% | — |
| 2 | OTIS | Otis Worldwide Corporation | Industrials | 0.015 | 3.94% | — |
| 3 | MA | Mastercard Incorporated | Financial Services | 0.008 | 3.93% | — |
| 4 | VRSN | VeriSign, Inc. | Technology | 0.005 | 3.92% | — |
| 5 | NOW | ServiceNow, Inc. | Technology | 0.015 | 3.92% | — |
| 6 | FTNT | Fortinet, Inc. | Technology | 0.005 | 3.92% | — |
| 7 | MSCI | MSCI Inc. | Financial Services | 0.006 | 3.79% | — |
| 8 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.008 | 3.72% | — |
| 9 | PANW | Palo Alto Networks, Inc. | Technology | 0.015 | 3.68% | — |
| 10 | AON | Aon plc | Financial Services | 0.006 | 3.66% | — |
| 11 | ADSK | Autodesk, Inc. | Technology | 0.015 | 3.62% | — |
| 12 | CDNS | Cadence Design Systems, Inc. | Technology | 0.015 | 3.62% | — |
| 13 | INTU | Intuit Inc. | Technology | 0.015 | 3.59% | — |
| 14 | SNPS | Synopsys, Inc. | Technology | 0.015 | 3.55% | — |
| 15 | FFIV | F5, Inc. | Technology | 0.015 | 3.52% | — |
| 16 | ANSS | ANSYS, Inc. | Technology | 0.015 | 3.50% | — |
| 17 | ADBE | Adobe Inc. | Technology | 0.015 | 3.46% | — |
| 18 | LRCX | Lam Research Corporation | Technology | 0.005 | 3.37% | — |
| 19 | EW | Edwards Lifesciences Corporation | Healthcare | 0.008 | 3.36% | — |
| 20 | NTAP | NetApp, Inc. | Technology | 0.015 | 3.36% | — |
| 21 | CSCO | Cisco Systems, Inc. | Technology | 0.015 | 3.34% | — |
| 22 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.008 | 3.33% | — |
| 23 | CRM | Salesforce, Inc. | Technology | 0.015 | 3.21% | — |
| 24 | ACN | Accenture plc | Technology | 0.006 | 3.10% | — |
| 25 | AMD | Advanced Micro Devices, Inc. | Technology | 0.008 | 2.55% | — |
| 26 | GRMN | Garmin Ltd. | Technology | 0.011 | 2.50% | — |
| 27 | MSFT | Microsoft Corporation | Technology | 0.002 | 2.41% | — |
| 28 | LIN | Linde plc | Basic Materials | 0.005 | 2.40% | — |
| 29 | SBAC | SBA Communications Corporation | Real Estate | -0.005 | 2.32% | — |
| 30 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.004 | 2.27% | — |
| 31 | INTC | Intel Corporation | Technology | 0.000 | 2.19% | — |
| 32 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.005 | 1.78% | — |
| 33 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.006 | 1.63% | — |
| 34 | TDG | TransDigm Group Incorporated | Industrials | -0.003 | 1.57% | — |
| 35 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.006 | 1.10% | — |
| 36 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.003 | 0.81% | — |
| 37 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.002 | 0.69% | — |
Short book
18 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | -0.002 | -1.79% | — |
| 2 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.002 | -1.71% | — |
| 3 | MS | Morgan Stanley | Financial Services | 0.002 | -1.71% | — |
| 4 | DAY | Dayforce Inc | Technology | -0.001 | -1.65% | — |
| 5 | BAC | Bank of America Corporation | Financial Services | 0.010 | -1.64% | — |
| 6 | STT | State Street Corporation | Financial Services | 0.002 | -1.60% | — |
| 7 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.008 | -1.56% | — |
| 8 | RF | Regions Financial Corporation | Financial Services | 0.002 | -1.50% | — |
| 9 | FOX | Fox Corporation | Communication Services | 0.002 | -1.40% | — |
| 10 | SCHW | The Charles Schwab Corporation | Financial Services | -0.002 | -1.38% | — |
| 11 | BAX | Baxter International Inc. | Healthcare | -0.007 | -1.33% | — |
| 12 | MGM | MGM Resorts International | Consumer Cyclical | 0.000 | -1.27% | — |
| 13 | JPM | JPMorgan Chase & Co. | Financial Services | 0.002 | -1.19% | — |
| 14 | SLB | SLB N.V. | Energy | -0.007 | -1.00% | — |
| 15 | AEP | American Electric Power Company, Inc. | Utilities | -0.007 | -0.83% | — |
| 16 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.012 | -0.68% | — |
| 17 | CTLT | Catalent, Inc. | Healthcare | — | -0.41% | — |
| 18 | ALB | Albemarle Corporation | Basic Materials | 0.000 | -0.32% | — |
Sector exposure en el rebalanceo seleccionado
2024-08-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 71.4% | 1.6% | 69.72% | 22 | 1 |
| Market Hedge | 0.0% | 48.9% | -48.88% | 0 | 1 |
| Financial Services | 14.8% | 12.5% | 2.28% | 5 | 8 |
| Healthcare | 12.7% | 1.7% | 10.94% | 4 | 2 |
| Industrials | 5.5% | 0.0% | 5.50% | 2 | 0 |
| Real Estate | 2.3% | 1.6% | 0.76% | 1 | 1 |
| Basic Materials | 2.4% | 0.3% | 2.08% | 1 | 1 |
| Consumer Cyclical | 0.0% | 1.9% | -1.95% | 0 | 2 |
| Consumer Defensive | 1.5% | 0.0% | 1.50% | 2 | 0 |
| Communication Services | 0.0% | 1.4% | -1.40% | 0 | 1 |
| Energy | 0.0% | 1.0% | -1.00% | 0 | 1 |
| Utilities | 0.0% | 0.8% | -0.83% | 0 | 1 |