Portfolio
lightgbmLGBM 126d fundamental flexible sector45· rebalanceo 2020-08-31
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
28
gross 70.1%
Short book
18
gross -20.8%
Sectores cubiertos
10
46 posiciones
Sortino del run
0.79
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AEE | Ameren Corporation | Utilities | 0.278 | 3.49% | — |
| 2 | WAT | Waters Corporation | Healthcare | 0.265 | 3.35% | — |
| 3 | VRSN | VeriSign, Inc. | Technology | 0.526 | 3.34% | — |
| 4 | KSS | Kohl's Corporation | Consumer Cyclical | 0.304 | 3.32% | — |
| 5 | INTU | Intuit Inc. | Technology | 0.351 | 3.32% | — |
| 6 | NTAP | NetApp, Inc. | Technology | 0.352 | 3.31% | — |
| 7 | HPQ | HP Inc. | Technology | 0.355 | 3.20% | — |
| 8 | CSCO | Cisco Systems, Inc. | Technology | 0.321 | 3.10% | — |
| 9 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.218 | 3.09% | — |
| 10 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.213 | 2.95% | — |
| 11 | CRM | Salesforce, Inc. | Technology | 0.081 | 2.91% | — |
| 12 | PRU | Prudential Financial, Inc. | Financial Services | 0.285 | 2.71% | — |
| 13 | XLNX | Xilinx, Inc. | Technology | 0.218 | 2.69% | — |
| 14 | MA | Mastercard Incorporated | Financial Services | 0.008 | 2.49% | — |
| 15 | WDC | Western Digital Corporation | Technology | 0.531 | 2.43% | — |
| 16 | GRMN | Garmin Ltd. | Technology | 0.167 | 2.39% | — |
| 17 | EW | Edwards Lifesciences Corporation | Healthcare | 0.147 | 2.36% | — |
| 18 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.142 | 2.28% | — |
| 19 | ECL | Ecolab Inc. | Basic Materials | 0.243 | 2.28% | — |
| 20 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.042 | 2.17% | — |
| 21 | ADBE | Adobe Inc. | Technology | 0.120 | 2.14% | — |
| 22 | SYF | Synchrony Financial | Financial Services | 0.342 | 2.14% | — |
| 23 | NRG | NRG Energy, Inc. | Utilities | 0.103 | 1.96% | — |
| 24 | ILMN | Illumina, Inc. | Healthcare | 0.115 | 1.90% | — |
| 25 | FFIV | F5, Inc. | Technology | 0.075 | 1.79% | — |
| 26 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.068 | 1.71% | — |
| 27 | AMZN | Amazon.com, Inc. | Consumer Cyclical | -0.097 | 0.66% | — |
| 28 | ABMD | Abiomed, Inc. | Healthcare | -0.214 | 0.65% | — |
Short book
18 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EFX | Equifax Inc. | Industrials | -0.292 | -1.58% | — |
| 2 | TMUS | T-Mobile US, Inc. | Communication Services | -0.172 | -1.52% | — |
| 3 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.318 | -1.46% | — |
| 4 | LHX | L3Harris Technologies, Inc. | Industrials | -0.115 | -1.45% | — |
| 5 | LH | Labcorp Holdings Inc. | Healthcare | -0.072 | -1.45% | — |
| 6 | DISH | DISH Network Corporation | Communication Services | -0.261 | -1.42% | — |
| 7 | FANG | Diamondback Energy, Inc. | Energy | -0.279 | -1.42% | — |
| 8 | J | Jacobs Solutions Inc. | Industrials | -0.023 | -1.26% | — |
| 9 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.148 | -1.25% | — |
| 10 | INCY | Incyte Corporation | Healthcare | -0.264 | -1.22% | — |
| 11 | K | Kellanova | Consumer Defensive | -0.139 | -1.20% | — |
| 12 | PRGO | Perrigo Company plc | Healthcare | -0.089 | -1.05% | — |
| 13 | CNC | Centene Corporation | Healthcare | -0.018 | -1.03% | — |
| 14 | HWM | Howmet Aerospace Inc. | Industrials | -0.291 | -0.97% | — |
| 15 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.311 | -0.85% | — |
| 16 | GPC | Genuine Parts Company | Consumer Cyclical | -0.005 | -0.71% | — |
| 17 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.415 | -0.54% | — |
| 18 | JPM | JPMorgan Chase & Co. | Financial Services | 0.320 | -0.38% | — |
Sector exposure en el rebalanceo seleccionado
2020-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 33.6% | 0.0% | 33.58% | 12 | 0 |
| Healthcare | 12.3% | 6.2% | 6.04% | 6 | 5 |
| Financial Services | 10.4% | 1.2% | 9.21% | 4 | 2 |
| Consumer Cyclical | 6.2% | 0.7% | 5.44% | 3 | 1 |
| Utilities | 5.4% | 0.0% | 5.45% | 2 | 0 |
| Industrials | 0.0% | 5.3% | -5.26% | 0 | 4 |
| Communication Services | 0.0% | 3.5% | -3.49% | 0 | 3 |
| Consumer Defensive | 0.0% | 2.5% | -2.45% | 0 | 2 |
| Basic Materials | 2.3% | 0.0% | 2.28% | 1 | 0 |
| Energy | 0.0% | 1.4% | -1.42% | 0 | 1 |