Portfolio
lightgbmLGBM 126d fundamental flexible sector45· rebalanceo 2020-03-31
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
25
gross 60.7%
Short book
15
gross -16.6%
Sectores cubiertos
10
40 posiciones
Sortino del run
0.79
Long book
25 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.450 | 2.76% | — |
| 2 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.383 | 2.75% | — |
| 3 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.374 | 2.74% | — |
| 4 | WAT | Waters Corporation | Healthcare | 0.426 | 2.72% | — |
| 5 | NRG | NRG Energy, Inc. | Utilities | 0.292 | 2.68% | — |
| 6 | KSS | Kohl's Corporation | Consumer Cyclical | 0.334 | 2.67% | — |
| 7 | EW | Edwards Lifesciences Corporation | Healthcare | 0.260 | 2.59% | — |
| 8 | ECL | Ecolab Inc. | Basic Materials | 0.309 | 2.59% | — |
| 9 | ABMD | Abiomed, Inc. | Healthcare | 0.122 | 2.58% | — |
| 10 | AEE | Ameren Corporation | Utilities | 0.259 | 2.55% | — |
| 11 | ILMN | Illumina, Inc. | Healthcare | 0.138 | 2.48% | — |
| 12 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.187 | 2.45% | — |
| 13 | NTAP | NetApp, Inc. | Technology | 0.464 | 2.34% | — |
| 14 | INTU | Intuit Inc. | Technology | 0.455 | 2.34% | — |
| 15 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.168 | 2.34% | — |
| 16 | MA | Mastercard Incorporated | Financial Services | 0.161 | 2.33% | — |
| 17 | VRSN | VeriSign, Inc. | Technology | 0.404 | 2.32% | — |
| 18 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.348 | 2.28% | — |
| 19 | CSCO | Cisco Systems, Inc. | Technology | 0.363 | 2.27% | — |
| 20 | CRM | Salesforce, Inc. | Technology | 0.391 | 2.25% | — |
| 21 | XLNX | Xilinx, Inc. | Technology | 0.258 | 2.22% | — |
| 22 | FFIV | F5, Inc. | Technology | 0.286 | 2.19% | — |
| 23 | ADBE | Adobe Inc. | Technology | 0.228 | 2.13% | — |
| 24 | HPQ | HP Inc. | Technology | 0.218 | 2.11% | — |
| 25 | GRMN | Garmin Ltd. | Technology | 0.190 | 2.02% | — |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | -0.167 | -1.23% | — |
| 2 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.467 | -1.19% | — |
| 3 | LHX | L3Harris Technologies, Inc. | Industrials | -0.386 | -1.16% | — |
| 4 | JPM | JPMorgan Chase & Co. | Financial Services | -0.243 | -1.14% | — |
| 5 | EFX | Equifax Inc. | Industrials | -0.191 | -1.13% | — |
| 6 | LH | Labcorp Holdings Inc. | Healthcare | -0.225 | -1.13% | — |
| 7 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.168 | -1.11% | — |
| 8 | PRGO | Perrigo Company plc | Healthcare | 0.012 | -1.11% | — |
| 9 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.135 | -1.11% | — |
| 10 | TMUS | T-Mobile US, Inc. | Communication Services | -0.403 | -1.11% | — |
| 11 | J | Jacobs Solutions Inc. | Industrials | -0.171 | -1.10% | — |
| 12 | FANG | Diamondback Energy, Inc. | Energy | -0.168 | -1.08% | — |
| 13 | DISH | DISH Network Corporation | Communication Services | -0.119 | -1.04% | — |
| 14 | HWM | Howmet Aerospace Inc. | Industrials | -0.027 | -1.03% | — |
| 15 | GPC | Genuine Parts Company | Consumer Cyclical | -0.077 | -0.97% | — |
Sector exposure en el rebalanceo seleccionado
2020-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 24.5% | 0.0% | 24.47% | 11 | 0 |
| Healthcare | 15.9% | 3.4% | 12.44% | 6 | 3 |
| Financial Services | 5.1% | 3.5% | 1.60% | 2 | 3 |
| Consumer Cyclical | 7.5% | 1.0% | 6.49% | 3 | 1 |
| Utilities | 5.2% | 0.0% | 5.22% | 2 | 0 |
| Industrials | 0.0% | 4.4% | -4.43% | 0 | 4 |
| Basic Materials | 2.6% | 0.0% | 2.59% | 1 | 0 |
| Communication Services | 0.0% | 2.1% | -2.15% | 0 | 2 |
| Consumer Defensive | 0.0% | 1.1% | -1.11% | 0 | 1 |
| Energy | 0.0% | 1.1% | -1.08% | 0 | 1 |