Portfolio
lightgbmLGBM 126d flexible 50 beta40· rebalanceo 2024-09-30
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
39
gross 108.8%
Short book
24
gross -21.3%
Sectores cubiertos
12
64 posiciones
Sortino del run
0.51
Long book
39 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | OTIS | Otis Worldwide Corporation | Industrials | 0.015 | 3.93% | — |
| 2 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.015 | 3.88% | — |
| 3 | NOW | ServiceNow, Inc. | Technology | 0.015 | 3.86% | — |
| 4 | PANW | Palo Alto Networks, Inc. | Technology | 0.015 | 3.70% | — |
| 5 | ADSK | Autodesk, Inc. | Technology | 0.015 | 3.66% | — |
| 6 | CDNS | Cadence Design Systems, Inc. | Technology | 0.015 | 3.66% | — |
| 7 | INTU | Intuit Inc. | Technology | 0.015 | 3.64% | — |
| 8 | SNPS | Synopsys, Inc. | Technology | 0.015 | 3.61% | — |
| 9 | FFIV | F5, Inc. | Technology | 0.015 | 3.60% | — |
| 10 | ANSS | ANSYS, Inc. | Technology | 0.015 | 3.58% | — |
| 11 | ADBE | Adobe Inc. | Technology | 0.015 | 3.55% | — |
| 12 | MA | Mastercard Incorporated | Financial Services | 0.008 | 3.55% | — |
| 13 | VRSN | VeriSign, Inc. | Technology | 0.005 | 3.52% | — |
| 14 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.008 | 3.50% | — |
| 15 | MSCI | MSCI Inc. | Financial Services | 0.006 | 3.49% | — |
| 16 | CSCO | Cisco Systems, Inc. | Technology | 0.015 | 3.47% | — |
| 17 | NTAP | NetApp, Inc. | Technology | 0.015 | 3.43% | — |
| 18 | CRM | Salesforce, Inc. | Technology | 0.015 | 3.38% | — |
| 19 | EW | Edwards Lifesciences Corporation | Healthcare | 0.008 | 3.28% | — |
| 20 | FTNT | Fortinet, Inc. | Technology | 0.005 | 3.28% | — |
| 21 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.008 | 3.26% | — |
| 22 | AON | Aon plc | Financial Services | 0.006 | 3.22% | — |
| 23 | LRCX | Lam Research Corporation | Technology | 0.005 | 2.91% | — |
| 24 | ACN | Accenture plc | Technology | 0.006 | 2.84% | — |
| 25 | GRMN | Garmin Ltd. | Technology | 0.011 | 2.77% | — |
| 26 | AMD | Advanced Micro Devices, Inc. | Technology | 0.008 | 2.66% | — |
| 27 | LIN | Linde plc | Basic Materials | 0.005 | 2.26% | — |
| 28 | MSFT | Microsoft Corporation | Technology | 0.002 | 2.00% | — |
| 29 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.004 | 1.99% | — |
| 30 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.006 | 1.86% | — |
| 31 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.005 | 1.84% | — |
| 32 | SBAC | SBA Communications Corporation | Real Estate | -0.005 | 1.55% | — |
| 33 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.006 | 1.50% | — |
| 34 | INTC | Intel Corporation | Technology | 0.000 | 1.47% | — |
| 35 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.023 | 1.32% | — |
| 36 | MOS | The Mosaic Company | Basic Materials | 0.024 | 1.32% | — |
| 37 | TDG | TransDigm Group Incorporated | Industrials | -0.003 | 1.05% | — |
| 38 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.002 | 0.87% | — |
| 39 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.003 | 0.54% | — |
Short book
24 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.008 | -1.58% | — |
| 2 | DAY | Dayforce Inc | Technology | -0.001 | -1.47% | — |
| 3 | BAX | Baxter International Inc. | Healthcare | -0.007 | -1.46% | — |
| 4 | SCHW | The Charles Schwab Corporation | Financial Services | -0.002 | -1.36% | — |
| 5 | C | Citigroup Inc. | Financial Services | 0.002 | -1.20% | — |
| 6 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.002 | -1.15% | — |
| 7 | MS | Morgan Stanley | Financial Services | 0.006 | -1.14% | — |
| 8 | SLB | SLB N.V. | Energy | -0.007 | -1.12% | — |
| 9 | BAC | Bank of America Corporation | Financial Services | 0.010 | -1.10% | — |
| 10 | STT | State Street Corporation | Financial Services | 0.002 | -1.07% | — |
| 11 | RF | Regions Financial Corporation | Financial Services | 0.002 | -1.00% | — |
| 12 | FOX | Fox Corporation | Communication Services | -0.001 | -0.94% | — |
| 13 | MGM | MGM Resorts International | Consumer Cyclical | 0.010 | -0.85% | — |
| 14 | JPM | JPMorgan Chase & Co. | Financial Services | 0.002 | -0.80% | — |
| 15 | AEP | American Electric Power Company, Inc. | Utilities | -0.007 | -0.55% | — |
| 16 | VZ | Verizon Communications Inc. | Communication Services | -0.009 | -0.53% | — |
| 17 | SRE | Sempra | Utilities | -0.008 | -0.53% | — |
| 18 | ES | Eversource Energy | Utilities | -0.007 | -0.53% | — |
| 19 | KIM | Kimco Realty Corporation | Real Estate | -0.008 | -0.52% | — |
| 20 | OKE | ONEOK, Inc. | Energy | -0.007 | -0.51% | — |
| 21 | SJM | The J. M. Smucker Company | Consumer Defensive | -0.007 | -0.50% | — |
| 22 | UNH | UnitedHealth Group Incorporated | Healthcare | -0.006 | -0.50% | — |
| 23 | CCI | Crown Castle Inc. | Real Estate | -0.007 | -0.48% | — |
| 24 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | 0.010 | -0.45% | — |
Sector exposure en el rebalanceo seleccionado
2024-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 70.0% | 1.5% | 68.48% | 22 | 1 |
| Market Hedge | 0.0% | 70.9% | -70.94% | 0 | 1 |
| Financial Services | 15.3% | 8.8% | 6.45% | 6 | 8 |
| Healthcare | 12.0% | 2.0% | 10.07% | 4 | 2 |
| Industrials | 5.0% | 0.0% | 4.98% | 2 | 0 |
| Real Estate | 1.6% | 2.6% | -1.02% | 1 | 3 |
| Basic Materials | 3.6% | 0.0% | 3.58% | 2 | 0 |
| Consumer Defensive | 1.4% | 0.5% | 0.92% | 2 | 1 |
| Energy | 0.0% | 1.6% | -1.63% | 0 | 2 |
| Utilities | 0.0% | 1.6% | -1.61% | 0 | 3 |
| Communication Services | 0.0% | 1.5% | -1.47% | 0 | 2 |
| Consumer Cyclical | 0.0% | 1.3% | -1.30% | 0 | 2 |