Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2020-01-31
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
35
gross 36.4%
Short book
15
gross -7.8%
Sectores cubiertos
11
50 posiciones
Sortino del run
0.96
Long book
35 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ABMD | Abiomed, Inc. | Healthcare | 0.518 | 1.25% | — |
| 2 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.470 | 1.24% | — |
| 3 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.465 | 1.23% | — |
| 4 | NRG | NRG Energy, Inc. | Utilities | 0.460 | 1.23% | — |
| 5 | KSS | Kohl's Corporation | Consumer Cyclical | 0.457 | 1.22% | — |
| 6 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.425 | 1.21% | — |
| 7 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.405 | 1.21% | — |
| 8 | AEE | Ameren Corporation | Utilities | 0.383 | 1.20% | — |
| 9 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.360 | 1.19% | — |
| 10 | ILMN | Illumina, Inc. | Healthcare | 0.358 | 1.18% | — |
| 11 | MA | Mastercard Incorporated | Financial Services | 0.347 | 1.18% | — |
| 12 | ECL | Ecolab Inc. | Basic Materials | 0.339 | 1.17% | — |
| 13 | WAT | Waters Corporation | Healthcare | 0.337 | 1.17% | — |
| 14 | EW | Edwards Lifesciences Corporation | Healthcare | 0.335 | 1.16% | — |
| 15 | BSX | Boston Scientific Corporation | Healthcare | 0.334 | 1.16% | — |
| 16 | FTV | Fortive Corporation | Industrials | 0.329 | 1.16% | — |
| 17 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.322 | 1.15% | — |
| 18 | EQR | Equity Residential | Real Estate | 0.314 | 1.15% | — |
| 19 | PGR | The Progressive Corporation | Financial Services | 0.313 | 1.14% | — |
| 20 | CMA | Comerica Incorporated | Financial Services | 0.300 | 1.13% | — |
| 21 | SYK | Stryker Corporation | Healthcare | 0.298 | 1.13% | — |
| 22 | NTAP | NetApp, Inc. | Technology | 0.641 | 0.86% | — |
| 23 | INTU | Intuit Inc. | Technology | 0.540 | 0.86% | — |
| 24 | VRSN | VeriSign, Inc. | Technology | 0.517 | 0.85% | — |
| 25 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.496 | 0.85% | — |
| 26 | XLNX | Xilinx, Inc. | Technology | 0.462 | 0.84% | — |
| 27 | CSCO | Cisco Systems, Inc. | Technology | 0.446 | 0.84% | — |
| 28 | FFIV | F5, Inc. | Technology | 0.407 | 0.83% | — |
| 29 | HPQ | HP Inc. | Technology | 0.396 | 0.82% | — |
| 30 | ADBE | Adobe Inc. | Technology | 0.392 | 0.82% | — |
| 31 | GRMN | Garmin Ltd. | Technology | 0.382 | 0.82% | — |
| 32 | CRM | Salesforce, Inc. | Technology | 0.347 | 0.81% | — |
| 33 | CDNS | Cadence Design Systems, Inc. | Technology | 0.317 | 0.79% | — |
| 34 | FTNT | Fortinet, Inc. | Technology | 0.312 | 0.78% | — |
| 35 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.300 | 0.78% | — |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | -0.346 | -0.57% | — |
| 2 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.290 | -0.55% | — |
| 3 | FANG | Diamondback Energy, Inc. | Energy | -0.431 | -0.55% | — |
| 4 | PRGO | Perrigo Company plc | Healthcare | -0.420 | -0.54% | — |
| 5 | EFX | Equifax Inc. | Industrials | -0.302 | -0.53% | — |
| 6 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.352 | -0.53% | — |
| 7 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.298 | -0.53% | — |
| 8 | LHX | L3Harris Technologies, Inc. | Industrials | -0.337 | -0.51% | — |
| 9 | HWM | Howmet Aerospace Inc. | Industrials | -0.278 | -0.51% | — |
| 10 | J | Jacobs Solutions Inc. | Industrials | -0.241 | -0.51% | — |
| 11 | LH | Labcorp Holdings Inc. | Healthcare | -0.289 | -0.50% | — |
| 12 | JPM | JPMorgan Chase & Co. | Financial Services | -0.236 | -0.50% | — |
| 13 | GPC | Genuine Parts Company | Consumer Cyclical | -0.260 | -0.49% | — |
| 14 | TMUS | T-Mobile US, Inc. | Communication Services | -0.269 | -0.49% | — |
| 15 | DISH | DISH Network Corporation | Communication Services | -0.254 | -0.49% | — |
Sector exposure en el rebalanceo seleccionado
2020-01-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 10.7% | 1.6% | 9.08% | 9 | 3 |
| Technology | 11.5% | 0.0% | 11.55% | 14 | 0 |
| Financial Services | 4.7% | 1.6% | 3.06% | 4 | 3 |
| Consumer Cyclical | 3.6% | 0.5% | 3.13% | 3 | 1 |
| Industrials | 1.2% | 2.1% | -0.90% | 1 | 4 |
| Utilities | 2.4% | 0.0% | 2.42% | 2 | 0 |
| Basic Materials | 1.2% | 0.0% | 1.17% | 1 | 0 |
| Real Estate | 1.1% | 0.0% | 1.15% | 1 | 0 |
| Communication Services | 0.0% | 1.0% | -0.97% | 0 | 2 |
| Energy | 0.0% | 0.5% | -0.55% | 0 | 1 |
| Consumer Defensive | 0.0% | 0.5% | -0.53% | 0 | 1 |