Portfolio
lightgbmLGBM 126d fundamental flexible· rebalanceo 2020-05-29
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 60.5%
Short book
17
gross -19.3%
Sectores cubiertos
10
42 posiciones
Sortino del run
0.64
Long book
25 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WAT | Waters Corporation | Healthcare | 0.317 | 3.32% | — |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.212 | 3.29% | — |
| 3 | AEE | Ameren Corporation | Utilities | 0.311 | 3.16% | — |
| 4 | KSS | Kohl's Corporation | Consumer Cyclical | 0.403 | 3.12% | — |
| 5 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.153 | 3.09% | — |
| 6 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.125 | 3.07% | — |
| 7 | MA | Mastercard Incorporated | Financial Services | 0.200 | 2.75% | — |
| 8 | ECL | Ecolab Inc. | Basic Materials | 0.039 | 2.74% | — |
| 9 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.268 | 2.63% | — |
| 10 | EW | Edwards Lifesciences Corporation | Healthcare | 0.110 | 2.60% | — |
| 11 | NRG | NRG Energy, Inc. | Utilities | 0.020 | 2.43% | — |
| 12 | ILMN | Illumina, Inc. | Healthcare | 0.017 | 2.26% | — |
| 13 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.078 | 2.21% | — |
| 14 | ABMD | Abiomed, Inc. | Healthcare | 0.045 | 2.17% | — |
| 15 | NTAP | NetApp, Inc. | Technology | 0.468 | 2.17% | — |
| 16 | INTU | Intuit Inc. | Technology | 0.480 | 2.16% | — |
| 17 | VRSN | VeriSign, Inc. | Technology | 0.356 | 2.14% | — |
| 18 | CRM | Salesforce, Inc. | Technology | 0.364 | 2.11% | — |
| 19 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.286 | 2.06% | — |
| 20 | CSCO | Cisco Systems, Inc. | Technology | 0.336 | 2.04% | — |
| 21 | HPQ | HP Inc. | Technology | 0.357 | 1.98% | — |
| 22 | XLNX | Xilinx, Inc. | Technology | 0.214 | 1.92% | — |
| 23 | ADBE | Adobe Inc. | Technology | 0.171 | 1.77% | — |
| 24 | GRMN | Garmin Ltd. | Technology | 0.253 | 1.72% | — |
| 25 | FFIV | F5, Inc. | Technology | 0.066 | 1.56% | — |
Short book
17 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LHX | L3Harris Technologies, Inc. | Industrials | -0.304 | -1.42% | — |
| 2 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.187 | -1.42% | — |
| 3 | TMUS | T-Mobile US, Inc. | Communication Services | -0.404 | -1.38% | — |
| 4 | EFX | Equifax Inc. | Industrials | -0.297 | -1.38% | — |
| 5 | LH | Labcorp Holdings Inc. | Healthcare | -0.198 | -1.34% | — |
| 6 | J | Jacobs Solutions Inc. | Industrials | -0.185 | -1.29% | — |
| 7 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.141 | -1.29% | — |
| 8 | JPM | JPMorgan Chase & Co. | Financial Services | 0.107 | -1.25% | — |
| 9 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.065 | -1.23% | — |
| 10 | DISH | DISH Network Corporation | Communication Services | -0.172 | -1.22% | — |
| 11 | PRGO | Perrigo Company plc | Healthcare | -0.057 | -1.10% | — |
| 12 | GPC | Genuine Parts Company | Consumer Cyclical | -0.033 | -1.05% | — |
| 13 | FANG | Diamondback Energy, Inc. | Energy | -0.282 | -0.99% | — |
| 14 | K | Kellanova | Consumer Defensive | -0.226 | -0.88% | — |
| 15 | C | Citigroup Inc. | Financial Services | 0.112 | -0.86% | — |
| 16 | HWM | Howmet Aerospace Inc. | Industrials | -0.014 | -0.69% | — |
| 17 | CNC | Centene Corporation | Healthcare | -0.225 | -0.55% | — |
Sector exposure en el rebalanceo seleccionado
2020-05-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 21.6% | 0.0% | 21.62% | 11 | 0 |
| Healthcare | 16.5% | 4.4% | 12.11% | 6 | 4 |
| Financial Services | 6.0% | 3.4% | 2.64% | 2 | 3 |
| Consumer Cyclical | 8.0% | 1.1% | 6.91% | 3 | 1 |
| Utilities | 5.6% | 0.0% | 5.59% | 2 | 0 |
| Industrials | 0.0% | 4.8% | -4.79% | 0 | 4 |
| Basic Materials | 2.7% | 0.0% | 2.74% | 1 | 0 |
| Communication Services | 0.0% | 2.6% | -2.59% | 0 | 2 |
| Consumer Defensive | 0.0% | 2.1% | -2.11% | 0 | 2 |
| Energy | 0.0% | 1.0% | -0.99% | 0 | 1 |