Portfolio
lightgbmLGBM 126d fundamental flexible sector45· 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
28
gross 63.3%
Short book
24
gross -20.9%
Sectores cubiertos
11
52 posiciones
Sortino del run
0.79
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | OTIS | Otis Worldwide Corporation | Industrials | 0.015 | 3.89% | — |
| 2 | MA | Mastercard Incorporated | Financial Services | 0.008 | 3.55% | — |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.006 | 3.49% | — |
| 4 | EW | Edwards Lifesciences Corporation | Healthcare | 0.008 | 3.28% | — |
| 5 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.008 | 3.26% | — |
| 6 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.015 | 2.75% | — |
| 7 | NOW | ServiceNow, Inc. | Technology | 0.015 | 2.74% | — |
| 8 | PANW | Palo Alto Networks, Inc. | Technology | 0.015 | 2.63% | — |
| 9 | INTU | Intuit Inc. | Technology | 0.015 | 2.58% | — |
| 10 | FFIV | F5, Inc. | Technology | 0.015 | 2.56% | — |
| 11 | ADBE | Adobe Inc. | Technology | 0.015 | 2.53% | — |
| 12 | VRSN | VeriSign, Inc. | Technology | 0.005 | 2.48% | — |
| 13 | CSCO | Cisco Systems, Inc. | Technology | 0.015 | 2.47% | — |
| 14 | NTAP | NetApp, Inc. | Technology | 0.015 | 2.43% | — |
| 15 | CRM | Salesforce, Inc. | Technology | 0.015 | 2.41% | — |
| 16 | FTNT | Fortinet, Inc. | Technology | 0.005 | 2.07% | — |
| 17 | ACN | Accenture plc | Technology | 0.006 | 2.00% | — |
| 18 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.004 | 1.99% | — |
| 19 | GRMN | Garmin Ltd. | Technology | 0.011 | 1.98% | — |
| 20 | AMD | Advanced Micro Devices, Inc. | Technology | 0.008 | 1.89% | — |
| 21 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.005 | 1.84% | — |
| 22 | SBAC | SBA Communications Corporation | Real Estate | -0.005 | 1.55% | — |
| 23 | MSFT | Microsoft Corporation | Technology | 0.002 | 1.40% | — |
| 24 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.023 | 1.32% | — |
| 25 | MOS | The Mosaic Company | Basic Materials | 0.024 | 1.32% | — |
| 26 | TDG | TransDigm Group Incorporated | Industrials | -0.003 | 1.05% | — |
| 27 | INTC | Intel Corporation | Technology | 0.000 | 1.01% | — |
| 28 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.002 | 0.87% | — |
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 | BAX | Baxter International Inc. | Healthcare | -0.007 | -1.46% | — |
| 3 | SCHW | The Charles Schwab Corporation | Financial Services | -0.002 | -1.36% | — |
| 4 | C | Citigroup Inc. | Financial Services | 0.002 | -1.20% | — |
| 5 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.002 | -1.15% | — |
| 6 | MS | Morgan Stanley | Financial Services | 0.006 | -1.14% | — |
| 7 | SLB | SLB N.V. | Energy | -0.007 | -1.12% | — |
| 8 | BAC | Bank of America Corporation | Financial Services | 0.010 | -1.10% | — |
| 9 | STT | State Street Corporation | Financial Services | 0.002 | -1.07% | — |
| 10 | DAY | Dayforce Inc | Technology | -0.001 | -1.04% | — |
| 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 | 35.9% | 1.0% | 34.89% | 16 | 1 |
| Financial Services | 10.2% | 8.8% | 1.37% | 4 | 8 |
| Healthcare | 8.5% | 2.0% | 6.57% | 3 | 2 |
| Industrials | 4.9% | 0.0% | 4.94% | 2 | 0 |
| Real Estate | 1.6% | 2.6% | -1.02% | 1 | 3 |
| 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 Defensive | 0.9% | 0.5% | 0.37% | 1 | 1 |
| Basic Materials | 1.3% | 0.0% | 1.32% | 1 | 0 |
| Consumer Cyclical | 0.0% | 1.3% | -1.30% | 0 | 2 |