Portfolio
lightgbmLGBM 126d fundamental flexible sector45· rebalanceo 2020-06-30
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
27
gross 69.8%
Short book
18
gross -20.2%
Sectores cubiertos
10
45 posiciones
Sortino del run
0.79
Long book
27 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WAT | Waters Corporation | Healthcare | 0.477 | 3.52% | — |
| 2 | AEE | Ameren Corporation | Utilities | 0.334 | 3.35% | — |
| 3 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.171 | 3.24% | — |
| 4 | KSS | Kohl's Corporation | Consumer Cyclical | 0.224 | 3.24% | — |
| 5 | NTAP | NetApp, Inc. | Technology | 0.432 | 3.14% | — |
| 6 | INTU | Intuit Inc. | Technology | 0.451 | 3.12% | — |
| 7 | VRSN | VeriSign, Inc. | Technology | 0.552 | 3.12% | — |
| 8 | CRM | Salesforce, Inc. | Technology | 0.357 | 3.06% | — |
| 9 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.234 | 3.03% | — |
| 10 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.302 | 2.96% | — |
| 11 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.177 | 2.95% | — |
| 12 | HPQ | HP Inc. | Technology | 0.369 | 2.94% | — |
| 13 | CSCO | Cisco Systems, Inc. | Technology | 0.297 | 2.93% | — |
| 14 | MA | Mastercard Incorporated | Financial Services | 0.175 | 2.79% | — |
| 15 | XLNX | Xilinx, Inc. | Technology | 0.259 | 2.74% | — |
| 16 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.114 | 2.53% | — |
| 17 | EW | Edwards Lifesciences Corporation | Healthcare | 0.200 | 2.51% | — |
| 18 | ECL | Ecolab Inc. | Basic Materials | 0.111 | 2.45% | — |
| 19 | GRMN | Garmin Ltd. | Technology | 0.181 | 2.43% | — |
| 20 | ADBE | Adobe Inc. | Technology | 0.128 | 2.33% | — |
| 21 | NRG | NRG Energy, Inc. | Utilities | 0.089 | 2.08% | — |
| 22 | ILMN | Illumina, Inc. | Healthcare | 0.128 | 2.07% | — |
| 23 | FFIV | F5, Inc. | Technology | 0.135 | 1.96% | — |
| 24 | AMZN | Amazon.com, Inc. | Consumer Cyclical | -0.091 | 1.48% | — |
| 25 | ABMD | Abiomed, Inc. | Healthcare | -0.051 | 1.46% | — |
| 26 | PRU | Prudential Financial, Inc. | Financial Services | 0.458 | 1.32% | — |
| 27 | WDC | Western Digital Corporation | Technology | 0.480 | 1.10% | — |
Short book
18 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LHX | L3Harris Technologies, Inc. | Industrials | -0.360 | -1.49% | — |
| 2 | EFX | Equifax Inc. | Industrials | -0.468 | -1.47% | — |
| 3 | TMUS | T-Mobile US, Inc. | Communication Services | -0.371 | -1.46% | — |
| 4 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.157 | -1.43% | — |
| 5 | LH | Labcorp Holdings Inc. | Healthcare | -0.256 | -1.38% | — |
| 6 | J | Jacobs Solutions Inc. | Industrials | -0.207 | -1.35% | — |
| 7 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.032 | -1.30% | — |
| 8 | DISH | DISH Network Corporation | Communication Services | -0.225 | -1.28% | — |
| 9 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.102 | -1.26% | — |
| 10 | FANG | Diamondback Energy, Inc. | Energy | -0.421 | -1.18% | — |
| 11 | PRGO | Perrigo Company plc | Healthcare | -0.016 | -1.08% | — |
| 12 | K | Kellanova | Consumer Defensive | -0.170 | -1.08% | — |
| 13 | GPC | Genuine Parts Company | Consumer Cyclical | -0.055 | -1.06% | — |
| 14 | CNC | Centene Corporation | Healthcare | -0.141 | -0.89% | — |
| 15 | JPM | JPMorgan Chase & Co. | Financial Services | 0.109 | -0.84% | — |
| 16 | C | Citigroup Inc. | Financial Services | 0.148 | -0.58% | — |
| 17 | INCY | Incyte Corporation | Healthcare | -0.516 | -0.57% | — |
| 18 | HWM | Howmet Aerospace Inc. | Industrials | -0.039 | -0.47% | — |
Sector exposure en el rebalanceo seleccionado
2020-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 31.8% | 0.0% | 31.83% | 12 | 0 |
| Healthcare | 15.5% | 5.4% | 10.18% | 6 | 5 |
| Financial Services | 7.3% | 2.7% | 4.64% | 3 | 3 |
| Consumer Cyclical | 7.3% | 1.1% | 6.19% | 3 | 1 |
| Utilities | 5.4% | 0.0% | 5.43% | 2 | 0 |
| Industrials | 0.0% | 4.8% | -4.77% | 0 | 4 |
| Communication Services | 0.0% | 2.7% | -2.74% | 0 | 2 |
| Basic Materials | 2.4% | 0.0% | 2.45% | 1 | 0 |
| Consumer Defensive | 0.0% | 2.3% | -2.34% | 0 | 2 |
| Energy | 0.0% | 1.2% | -1.18% | 0 | 1 |