Portfolio
lightgbmLGBM 126d fundamental flexible uncapped· rebalanceo 2024-12-31
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
28
gross 75.5%
Short book
23
gross -23.2%
Sectores cubiertos
10
51 posiciones
Sortino del run
0.96
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | OTIS | Otis Worldwide Corporation | Industrials | 0.015 | 3.87% | — |
| 2 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.015 | 3.74% | — |
| 3 | NOW | ServiceNow, Inc. | Technology | 0.015 | 3.73% | — |
| 4 | PANW | Palo Alto Networks, Inc. | Technology | 0.015 | 3.68% | — |
| 5 | INTU | Intuit Inc. | Technology | 0.015 | 3.67% | — |
| 6 | FFIV | F5, Inc. | Technology | 0.015 | 3.65% | — |
| 7 | ADBE | Adobe Inc. | Technology | 0.015 | 3.64% | — |
| 8 | CSCO | Cisco Systems, Inc. | Technology | 0.015 | 3.61% | — |
| 9 | NTAP | NetApp, Inc. | Technology | 0.015 | 3.60% | — |
| 10 | CRM | Salesforce, Inc. | Technology | 0.015 | 3.59% | — |
| 11 | GRMN | Garmin Ltd. | Technology | 0.015 | 3.32% | — |
| 12 | MOS | The Mosaic Company | Basic Materials | 0.024 | 3.19% | — |
| 13 | EW | Edwards Lifesciences Corporation | Healthcare | 0.008 | 3.12% | — |
| 14 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.008 | 3.11% | — |
| 15 | MA | Mastercard Incorporated | Financial Services | 0.005 | 2.90% | — |
| 16 | AMD | Advanced Micro Devices, Inc. | Technology | 0.007 | 2.70% | — |
| 17 | MSCI | MSCI Inc. | Financial Services | 0.006 | 2.67% | — |
| 18 | VRSN | VeriSign, Inc. | Technology | 0.005 | 2.43% | — |
| 19 | FTNT | Fortinet, Inc. | Technology | 0.005 | 2.25% | — |
| 20 | ACN | Accenture plc | Technology | 0.004 | 1.93% | — |
| 21 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.005 | 1.93% | — |
| 22 | CFG | Citizens Financial Group, Inc. | Financial Services | -0.005 | 1.71% | — |
| 23 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.004 | 1.58% | — |
| 24 | TDG | TransDigm Group Incorporated | Industrials | 0.011 | 1.55% | — |
| 25 | MSFT | Microsoft Corporation | Technology | 0.006 | 1.44% | — |
| 26 | INTC | Intel Corporation | Technology | 0.004 | 1.31% | — |
| 27 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.002 | 1.06% | — |
| 28 | SBAC | SBA Communications Corporation | Real Estate | -0.005 | 0.47% | — |
Short book
23 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.008 | -1.60% | — |
| 2 | C | Citigroup Inc. | Financial Services | -0.009 | -1.36% | — |
| 3 | SRE | Sempra | Utilities | -0.008 | -1.32% | — |
| 4 | VZ | Verizon Communications Inc. | Communication Services | -0.009 | -1.28% | — |
| 5 | UNH | UnitedHealth Group Incorporated | Healthcare | -0.009 | -1.28% | — |
| 6 | KIM | Kimco Realty Corporation | Real Estate | -0.008 | -1.28% | — |
| 7 | ES | Eversource Energy | Utilities | -0.007 | -1.25% | — |
| 8 | CCI | Crown Castle Inc. | Real Estate | -0.007 | -1.21% | — |
| 9 | DAY | Dayforce Inc | Technology | -0.004 | -1.18% | — |
| 10 | OKE | ONEOK, Inc. | Energy | -0.007 | -1.14% | — |
| 11 | SJM | The J. M. Smucker Company | Consumer Defensive | -0.007 | -1.14% | — |
| 12 | SLB | SLB N.V. | Energy | -0.007 | -1.05% | — |
| 13 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.010 | -0.92% | — |
| 14 | MRNA | Moderna, Inc. | Healthcare | -0.007 | -0.89% | — |
| 15 | FOX | Fox Corporation | Communication Services | -0.001 | -0.89% | — |
| 16 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.005 | -0.88% | — |
| 17 | STT | State Street Corporation | Financial Services | -0.005 | -0.87% | — |
| 18 | JPM | JPMorgan Chase & Co. | Financial Services | -0.005 | -0.81% | — |
| 19 | BAC | Bank of America Corporation | Financial Services | -0.005 | -0.74% | — |
| 20 | BAX | Baxter International Inc. | Healthcare | -0.007 | -0.69% | — |
| 21 | SCHW | The Charles Schwab Corporation | Financial Services | -0.001 | -0.62% | — |
| 22 | RF | Regions Financial Corporation | Financial Services | 0.003 | -0.46% | — |
| 23 | MS | Morgan Stanley | Financial Services | 0.006 | -0.34% | — |
Sector exposure en el rebalanceo seleccionado
2024-12-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 48.3% | 1.2% | 47.13% | 16 | 1 |
| Financial Services | 9.2% | 6.1% | 3.13% | 4 | 8 |
| Healthcare | 7.8% | 2.9% | 4.94% | 3 | 3 |
| Industrials | 5.4% | 0.0% | 5.42% | 2 | 0 |
| Real Estate | 0.5% | 4.1% | -3.62% | 1 | 3 |
| Basic Materials | 3.2% | 0.0% | 3.19% | 1 | 0 |
| Consumer Defensive | 1.1% | 2.1% | -1.00% | 1 | 2 |
| Utilities | 0.0% | 2.6% | -2.57% | 0 | 2 |
| Energy | 0.0% | 2.2% | -2.19% | 0 | 2 |
| Communication Services | 0.0% | 2.2% | -2.17% | 0 | 2 |