Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2020-04-30
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 83.7%
Short book
16
gross -18.1%
Sectores cubiertos
11
51 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 | 0.365 | 3.11% | — |
| 2 | WAT | Waters Corporation | Healthcare | 0.315 | 3.06% | — |
| 3 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.251 | 3.04% | — |
| 4 | BSX | Boston Scientific Corporation | Healthcare | 0.362 | 3.04% | — |
| 5 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.269 | 3.04% | — |
| 6 | AEE | Ameren Corporation | Utilities | 0.364 | 2.89% | — |
| 7 | ECL | Ecolab Inc. | Basic Materials | 0.258 | 2.89% | — |
| 8 | KSS | Kohl's Corporation | Consumer Cyclical | 0.148 | 2.84% | — |
| 9 | SYK | Stryker Corporation | Healthcare | 0.216 | 2.82% | — |
| 10 | NRG | NRG Energy, Inc. | Utilities | 0.114 | 2.78% | — |
| 11 | EW | Edwards Lifesciences Corporation | Healthcare | 0.136 | 2.74% | — |
| 12 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.238 | 2.69% | — |
| 13 | ILMN | Illumina, Inc. | Healthcare | 0.172 | 2.58% | — |
| 14 | MA | Mastercard Incorporated | Financial Services | 0.277 | 2.58% | — |
| 15 | ABMD | Abiomed, Inc. | Healthcare | 0.109 | 2.54% | — |
| 16 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.116 | 2.44% | — |
| 17 | CMA | Comerica Incorporated | Financial Services | 0.144 | 2.40% | — |
| 18 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.135 | 2.38% | — |
| 19 | NTAP | NetApp, Inc. | Technology | 0.516 | 2.17% | — |
| 20 | INTU | Intuit Inc. | Technology | 0.423 | 2.16% | — |
| 21 | VRSN | VeriSign, Inc. | Technology | 0.421 | 2.15% | — |
| 22 | CRM | Salesforce, Inc. | Technology | 0.416 | 2.10% | — |
| 23 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.394 | 2.09% | — |
| 24 | CSCO | Cisco Systems, Inc. | Technology | 0.292 | 2.06% | — |
| 25 | FTNT | Fortinet, Inc. | Technology | 0.415 | 2.05% | — |
| 26 | EQR | Equity Residential | Real Estate | 0.152 | 2.04% | — |
| 27 | CDNS | Cadence Design Systems, Inc. | Technology | 0.252 | 2.00% | — |
| 28 | XLNX | Xilinx, Inc. | Technology | 0.264 | 2.00% | — |
| 29 | PGR | The Progressive Corporation | Financial Services | 0.052 | 1.97% | — |
| 30 | HPQ | HP Inc. | Technology | 0.380 | 1.95% | — |
| 31 | ADBE | Adobe Inc. | Technology | 0.240 | 1.90% | — |
| 32 | FFIV | F5, Inc. | Technology | 0.131 | 1.87% | — |
| 33 | FTV | Fortive Corporation | Industrials | 0.020 | 1.86% | — |
| 34 | GRMN | Garmin Ltd. | Technology | 0.197 | 1.75% | — |
| 35 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.144 | 1.68% | — |
Short book
16 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.255 | -1.32% | — |
| 2 | LHX | L3Harris Technologies, Inc. | Industrials | -0.344 | -1.32% | — |
| 3 | C | Citigroup Inc. | Financial Services | 0.045 | -1.27% | — |
| 4 | LH | Labcorp Holdings Inc. | Healthcare | -0.268 | -1.27% | — |
| 5 | EFX | Equifax Inc. | Industrials | -0.238 | -1.27% | — |
| 6 | JPM | JPMorgan Chase & Co. | Financial Services | -0.081 | -1.25% | — |
| 7 | TMUS | T-Mobile US, Inc. | Communication Services | -0.353 | -1.25% | — |
| 8 | J | Jacobs Solutions Inc. | Industrials | -0.095 | -1.21% | — |
| 9 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.094 | -1.19% | — |
| 10 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.061 | -1.19% | — |
| 11 | DISH | DISH Network Corporation | Communication Services | -0.091 | -1.13% | — |
| 12 | PRGO | Perrigo Company plc | Healthcare | 0.009 | -1.11% | — |
| 13 | GPC | Genuine Parts Company | Consumer Cyclical | -0.041 | -1.02% | — |
| 14 | HWM | Howmet Aerospace Inc. | Industrials | 0.096 | -1.02% | — |
| 15 | FANG | Diamondback Energy, Inc. | Energy | -0.403 | -0.71% | — |
| 16 | K | Kellanova | Consumer Defensive | -0.227 | -0.55% | — |
Sector exposure en el rebalanceo seleccionado
2020-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 25.6% | 3.7% | 21.86% | 9 | 3 |
| Technology | 27.9% | 0.0% | 27.95% | 14 | 0 |
| Financial Services | 10.1% | 3.7% | 6.35% | 4 | 3 |
| Consumer Cyclical | 7.7% | 1.0% | 6.64% | 3 | 1 |
| Industrials | 1.9% | 4.8% | -2.96% | 1 | 4 |
| Utilities | 5.7% | 0.0% | 5.67% | 2 | 0 |
| Basic Materials | 2.9% | 0.0% | 2.89% | 1 | 0 |
| Communication Services | 0.0% | 2.4% | -2.38% | 0 | 2 |
| Real Estate | 2.0% | 0.0% | 2.04% | 1 | 0 |
| Consumer Defensive | 0.0% | 1.7% | -1.74% | 0 | 2 |
| Energy | 0.0% | 0.7% | -0.71% | 0 | 1 |