Portfolio
lightgbmLGBM 126d flexible 50 beta60· rebalanceo 2020-07-31
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
40
gross 105.1%
Short book
18
gross -20.8%
Sectores cubiertos
12
59 posiciones
Sortino del run
0.81
Long book
40 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NTAP | NetApp, Inc. | Technology | 0.475 | 3.73% | — |
| 2 | INTU | Intuit Inc. | Technology | 0.472 | 3.72% | — |
| 3 | VRSN | VeriSign, Inc. | Technology | 0.497 | 3.72% | — |
| 4 | CRM | Salesforce, Inc. | Technology | 0.341 | 3.62% | — |
| 5 | FTNT | Fortinet, Inc. | Technology | 0.412 | 3.60% | — |
| 6 | BSX | Boston Scientific Corporation | Healthcare | 0.332 | 3.59% | — |
| 7 | HPQ | HP Inc. | Technology | 0.462 | 3.57% | — |
| 8 | CSCO | Cisco Systems, Inc. | Technology | 0.348 | 3.49% | — |
| 9 | AEE | Ameren Corporation | Utilities | 0.335 | 3.46% | — |
| 10 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.299 | 3.46% | — |
| 11 | WAT | Waters Corporation | Healthcare | 0.092 | 3.42% | — |
| 12 | SYK | Stryker Corporation | Healthcare | 0.259 | 3.31% | — |
| 13 | KSS | Kohl's Corporation | Consumer Cyclical | 0.279 | 3.30% | — |
| 14 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.264 | 3.17% | — |
| 15 | XLNX | Xilinx, Inc. | Technology | 0.223 | 3.14% | — |
| 16 | CDNS | Cadence Design Systems, Inc. | Technology | 0.287 | 3.07% | — |
| 17 | CMA | Comerica Incorporated | Financial Services | 0.444 | 3.04% | — |
| 18 | EQR | Equity Residential | Real Estate | 0.358 | 2.84% | — |
| 19 | MA | Mastercard Incorporated | Financial Services | 0.235 | 2.82% | — |
| 20 | GRMN | Garmin Ltd. | Technology | 0.187 | 2.80% | — |
| 21 | PRU | Prudential Financial, Inc. | Financial Services | 0.415 | 2.77% | — |
| 22 | ADBE | Adobe Inc. | Technology | 0.175 | 2.59% | — |
| 23 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.149 | 2.49% | — |
| 24 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.017 | 2.47% | — |
| 25 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.052 | 2.46% | — |
| 26 | EW | Edwards Lifesciences Corporation | Healthcare | 0.126 | 2.39% | — |
| 27 | WDC | Western Digital Corporation | Technology | 0.534 | 2.19% | — |
| 28 | SYF | Synchrony Financial | Financial Services | 0.442 | 2.17% | — |
| 29 | FFIV | F5, Inc. | Technology | 0.155 | 2.15% | — |
| 30 | ECL | Ecolab Inc. | Basic Materials | 0.103 | 2.14% | — |
| 31 | DXC | DXC Technology Company | Technology | 0.136 | 2.03% | — |
| 32 | ISRG | Intuitive Surgical, Inc. | Healthcare | -0.108 | 2.02% | — |
| 33 | NRG | NRG Energy, Inc. | Utilities | 0.163 | 1.95% | — |
| 34 | PGR | The Progressive Corporation | Financial Services | 0.086 | 1.91% | — |
| 35 | ILMN | Illumina, Inc. | Healthcare | 0.106 | 1.89% | — |
| 36 | MET | MetLife, Inc. | Financial Services | 0.491 | 1.29% | — |
| 37 | AMZN | Amazon.com, Inc. | Consumer Cyclical | -0.063 | 0.98% | — |
| 38 | ABMD | Abiomed, Inc. | Healthcare | -0.144 | 0.97% | — |
| 39 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.096 | 0.74% | — |
| 40 | FTV | Fortive Corporation | Industrials | -0.083 | 0.56% | — |
Short book
18 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EFX | Equifax Inc. | Industrials | -0.311 | -1.53% | — |
| 2 | LHX | L3Harris Technologies, Inc. | Industrials | -0.193 | -1.51% | — |
| 3 | TMUS | T-Mobile US, Inc. | Communication Services | -0.177 | -1.49% | — |
| 4 | LH | Labcorp Holdings Inc. | Healthcare | -0.341 | -1.43% | — |
| 5 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.164 | -1.41% | — |
| 6 | DISH | DISH Network Corporation | Communication Services | -0.301 | -1.37% | — |
| 7 | J | Jacobs Solutions Inc. | Industrials | -0.098 | -1.34% | — |
| 8 | FANG | Diamondback Energy, Inc. | Energy | -0.359 | -1.30% | — |
| 9 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.100 | -1.27% | — |
| 10 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.017 | -1.26% | — |
| 11 | K | Kellanova | Consumer Defensive | -0.078 | -1.15% | — |
| 12 | PRGO | Perrigo Company plc | Healthcare | -0.014 | -1.07% | — |
| 13 | GPC | Genuine Parts Company | Consumer Cyclical | -0.076 | -1.06% | — |
| 14 | CNC | Centene Corporation | Healthcare | -0.071 | -1.02% | — |
| 15 | INCY | Incyte Corporation | Healthcare | -0.422 | -0.96% | — |
| 16 | HWM | Howmet Aerospace Inc. | Industrials | -0.059 | -0.72% | — |
| 17 | JPM | JPMorgan Chase & Co. | Financial Services | 0.119 | -0.56% | — |
| 18 | C | Citigroup Inc. | Financial Services | 0.148 | -0.38% | — |
Sector exposure en el rebalanceo seleccionado
2020-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 47.6% | 0.0% | 47.62% | 16 | 0 |
| Market Hedge | 0.0% | 37.9% | -37.87% | 0 | 1 |
| Healthcare | 22.5% | 5.9% | 16.64% | 9 | 5 |
| Financial Services | 17.2% | 2.2% | 14.99% | 7 | 3 |
| Consumer Cyclical | 6.8% | 1.1% | 5.72% | 3 | 1 |
| Industrials | 0.6% | 5.1% | -4.54% | 1 | 4 |
| Utilities | 5.4% | 0.0% | 5.41% | 2 | 0 |
| Communication Services | 0.0% | 2.9% | -2.86% | 0 | 2 |
| Real Estate | 2.8% | 0.0% | 2.84% | 1 | 0 |
| Consumer Defensive | 0.0% | 2.4% | -2.42% | 0 | 2 |
| Basic Materials | 2.1% | 0.0% | 2.14% | 1 | 0 |
| Energy | 0.0% | 1.3% | -1.30% | 0 | 1 |