Portfolio
lightgbmLGBM 126d fundamental flexible· rebalanceo 2025-01-31
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 52.2%
Short book
22
gross -23.8%
Sectores cubiertos
10
50 posiciones
Sortino del run
0.64
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | OTIS | Otis Worldwide Corporation | Industrials | 0.015 | 3.86% | — |
| 2 | MOS | The Mosaic Company | Basic Materials | 0.024 | 3.45% | — |
| 3 | EW | Edwards Lifesciences Corporation | Healthcare | 0.008 | 3.12% | — |
| 4 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.004 | 2.94% | — |
| 5 | MSCI | MSCI Inc. | Financial Services | 0.006 | 2.55% | — |
| 6 | MA | Mastercard Incorporated | Financial Services | 0.005 | 2.52% | — |
| 7 | TDG | TransDigm Group Incorporated | Industrials | 0.011 | 2.14% | — |
| 8 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.015 | 1.97% | — |
| 9 | NOW | ServiceNow, Inc. | Technology | 0.015 | 1.97% | — |
| 10 | PANW | Palo Alto Networks, Inc. | Technology | 0.015 | 1.95% | — |
| 11 | INTU | Intuit Inc. | Technology | 0.015 | 1.94% | — |
| 12 | FFIV | F5, Inc. | Technology | 0.015 | 1.94% | — |
| 13 | ADBE | Adobe Inc. | Technology | 0.015 | 1.94% | — |
| 14 | CSCO | Cisco Systems, Inc. | Technology | 0.015 | 1.93% | — |
| 15 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.005 | 1.93% | — |
| 16 | NTAP | NetApp, Inc. | Technology | 0.015 | 1.92% | — |
| 17 | CRM | Salesforce, Inc. | Technology | 0.015 | 1.92% | — |
| 18 | GRMN | Garmin Ltd. | Technology | 0.015 | 1.83% | — |
| 19 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.004 | 1.52% | — |
| 20 | AMD | Advanced Micro Devices, Inc. | Technology | 0.007 | 1.43% | — |
| 21 | VRSN | VeriSign, Inc. | Technology | 0.005 | 1.19% | — |
| 22 | CFG | Citizens Financial Group, Inc. | Financial Services | -0.005 | 1.15% | — |
| 23 | FTNT | Fortinet, Inc. | Technology | 0.005 | 1.13% | — |
| 24 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.002 | 1.10% | — |
| 25 | ACN | Accenture plc | Technology | 0.004 | 0.94% | — |
| 26 | MSFT | Microsoft Corporation | Technology | 0.006 | 0.91% | — |
| 27 | INTC | Intel Corporation | Technology | 0.004 | 0.66% | — |
| 28 | SBAC | SBA Communications Corporation | Real Estate | -0.005 | 0.31% | — |
Short book
22 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.008 | -1.61% | — |
| 2 | C | Citigroup Inc. | Financial Services | -0.009 | -1.45% | — |
| 3 | SRE | Sempra | Utilities | -0.008 | -1.45% | — |
| 4 | UNH | UnitedHealth Group Incorporated | Healthcare | -0.009 | -1.41% | — |
| 5 | VZ | Verizon Communications Inc. | Communication Services | -0.009 | -1.39% | — |
| 6 | KIM | Kimco Realty Corporation | Real Estate | -0.008 | -1.39% | — |
| 7 | ES | Eversource Energy | Utilities | -0.007 | -1.34% | — |
| 8 | CCI | Crown Castle Inc. | Real Estate | -0.007 | -1.29% | — |
| 9 | OKE | ONEOK, Inc. | Energy | -0.007 | -1.22% | — |
| 10 | SJM | The J. M. Smucker Company | Consumer Defensive | -0.007 | -1.22% | — |
| 11 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.010 | -1.16% | — |
| 12 | SLB | SLB N.V. | Energy | -0.005 | -1.13% | — |
| 13 | MRNA | Moderna, Inc. | Healthcare | -0.007 | -1.12% | — |
| 14 | STT | State Street Corporation | Financial Services | -0.005 | -1.01% | — |
| 15 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.005 | -1.00% | — |
| 16 | JPM | JPMorgan Chase & Co. | Financial Services | -0.005 | -0.99% | — |
| 17 | FOX | Fox Corporation | Communication Services | -0.001 | -0.96% | — |
| 18 | BAC | Bank of America Corporation | Financial Services | -0.005 | -0.94% | — |
| 19 | DAY | Dayforce Inc | Technology | -0.004 | -0.59% | — |
| 20 | BAX | Baxter International Inc. | Healthcare | -0.007 | -0.47% | — |
| 21 | SCHW | The Charles Schwab Corporation | Financial Services | -0.001 | -0.41% | — |
| 22 | RF | Regions Financial Corporation | Financial Services | 0.003 | -0.31% | — |
Sector exposure en el rebalanceo seleccionado
2025-01-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 25.6% | 0.6% | 24.98% | 16 | 1 |
| Financial Services | 8.1% | 6.1% | 2.03% | 4 | 7 |
| Healthcare | 7.6% | 3.0% | 4.59% | 3 | 3 |
| Industrials | 6.0% | 0.0% | 6.00% | 2 | 0 |
| Real Estate | 0.3% | 4.3% | -3.98% | 1 | 3 |
| Consumer Defensive | 1.1% | 2.4% | -1.28% | 1 | 2 |
| Basic Materials | 3.4% | 0.0% | 3.45% | 1 | 0 |
| Utilities | 0.0% | 2.8% | -2.79% | 0 | 2 |
| Energy | 0.0% | 2.3% | -2.35% | 0 | 2 |
| Communication Services | 0.0% | 2.3% | -2.35% | 0 | 2 |