Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2020-02-28
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 60.6%
Short book
15
gross -13.0%
Sectores cubiertos
11
50 posiciones
Sortino del run
0.96
Long book
35 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.460 | 2.10% | — |
| 2 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.396 | 2.10% | — |
| 3 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.506 | 2.09% | — |
| 4 | ABMD | Abiomed, Inc. | Healthcare | 0.298 | 2.08% | — |
| 5 | NRG | NRG Energy, Inc. | Utilities | 0.341 | 2.07% | — |
| 6 | WAT | Waters Corporation | Healthcare | 0.473 | 2.05% | — |
| 7 | KSS | Kohl's Corporation | Consumer Cyclical | 0.309 | 2.05% | — |
| 8 | BSX | Boston Scientific Corporation | Healthcare | 0.417 | 2.03% | — |
| 9 | EW | Edwards Lifesciences Corporation | Healthcare | 0.366 | 2.00% | — |
| 10 | ECL | Ecolab Inc. | Basic Materials | 0.318 | 1.98% | — |
| 11 | ILMN | Illumina, Inc. | Healthcare | 0.304 | 1.98% | — |
| 12 | AEE | Ameren Corporation | Utilities | 0.266 | 1.97% | — |
| 13 | SYK | Stryker Corporation | Healthcare | 0.361 | 1.96% | — |
| 14 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.168 | 1.96% | — |
| 15 | PGR | The Progressive Corporation | Financial Services | 0.234 | 1.90% | — |
| 16 | FTV | Fortive Corporation | Industrials | 0.209 | 1.88% | — |
| 17 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.210 | 1.87% | — |
| 18 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.161 | 1.87% | — |
| 19 | MA | Mastercard Incorporated | Financial Services | 0.173 | 1.86% | — |
| 20 | EQR | Equity Residential | Real Estate | 0.164 | 1.81% | — |
| 21 | CMA | Comerica Incorporated | Financial Services | 0.121 | 1.71% | — |
| 22 | NTAP | NetApp, Inc. | Technology | 0.537 | 1.45% | — |
| 23 | INTU | Intuit Inc. | Technology | 0.585 | 1.45% | — |
| 24 | VRSN | VeriSign, Inc. | Technology | 0.509 | 1.44% | — |
| 25 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.345 | 1.42% | — |
| 26 | CSCO | Cisco Systems, Inc. | Technology | 0.355 | 1.41% | — |
| 27 | XLNX | Xilinx, Inc. | Technology | 0.330 | 1.40% | — |
| 28 | CRM | Salesforce, Inc. | Technology | 0.394 | 1.38% | — |
| 29 | FFIV | F5, Inc. | Technology | 0.297 | 1.37% | — |
| 30 | ADBE | Adobe Inc. | Technology | 0.275 | 1.35% | — |
| 31 | HPQ | HP Inc. | Technology | 0.236 | 1.34% | — |
| 32 | FTNT | Fortinet, Inc. | Technology | 0.332 | 1.33% | — |
| 33 | CDNS | Cadence Design Systems, Inc. | Technology | 0.328 | 1.33% | — |
| 34 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.322 | 1.32% | — |
| 35 | GRMN | Garmin Ltd. | Technology | 0.181 | 1.30% | — |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | -0.300 | -0.96% | — |
| 2 | PRGO | Perrigo Company plc | Healthcare | -0.283 | -0.91% | — |
| 3 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.368 | -0.90% | — |
| 4 | EFX | Equifax Inc. | Industrials | -0.276 | -0.88% | — |
| 5 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.270 | -0.88% | — |
| 6 | LHX | L3Harris Technologies, Inc. | Industrials | -0.333 | -0.88% | — |
| 7 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.213 | -0.87% | — |
| 8 | LH | Labcorp Holdings Inc. | Healthcare | -0.349 | -0.86% | — |
| 9 | FANG | Diamondback Energy, Inc. | Energy | -0.333 | -0.86% | — |
| 10 | JPM | JPMorgan Chase & Co. | Financial Services | -0.290 | -0.86% | — |
| 11 | J | Jacobs Solutions Inc. | Industrials | -0.310 | -0.85% | — |
| 12 | TMUS | T-Mobile US, Inc. | Communication Services | -0.347 | -0.84% | — |
| 13 | HWM | Howmet Aerospace Inc. | Industrials | -0.217 | -0.83% | — |
| 14 | DISH | DISH Network Corporation | Communication Services | -0.196 | -0.82% | — |
| 15 | GPC | Genuine Parts Company | Consumer Cyclical | -0.138 | -0.78% | — |
Sector exposure en el rebalanceo seleccionado
2020-02-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 18.2% | 2.7% | 15.49% | 9 | 3 |
| Technology | 19.3% | 0.0% | 19.29% | 14 | 0 |
| Financial Services | 7.6% | 2.7% | 4.89% | 4 | 3 |
| Consumer Cyclical | 5.9% | 0.8% | 5.09% | 3 | 1 |
| Industrials | 1.9% | 3.4% | -1.56% | 1 | 4 |
| Utilities | 4.0% | 0.0% | 4.04% | 2 | 0 |
| Basic Materials | 2.0% | 0.0% | 1.98% | 1 | 0 |
| Real Estate | 1.8% | 0.0% | 1.81% | 1 | 0 |
| Communication Services | 0.0% | 1.7% | -1.66% | 0 | 2 |
| Consumer Defensive | 0.0% | 0.9% | -0.87% | 0 | 1 |
| Energy | 0.0% | 0.9% | -0.86% | 0 | 1 |