Portfolio
lightgbmLGBM 126d flexible 50 beta60· rebalanceo 2020-09-30
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
39
gross 103.4%
Short book
17
gross -20.5%
Sectores cubiertos
12
57 posiciones
Sortino del run
0.81
Long book
39 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VRSN | VeriSign, Inc. | Technology | 0.504 | 3.87% | — |
| 2 | NTAP | NetApp, Inc. | Technology | 0.312 | 3.78% | — |
| 3 | FTNT | Fortinet, Inc. | Technology | 0.409 | 3.77% | — |
| 4 | INTU | Intuit Inc. | Technology | 0.289 | 3.76% | — |
| 5 | HPQ | HP Inc. | Technology | 0.202 | 3.61% | — |
| 6 | CSCO | Cisco Systems, Inc. | Technology | 0.298 | 3.56% | — |
| 7 | CMA | Comerica Incorporated | Financial Services | 0.351 | 3.53% | — |
| 8 | AEE | Ameren Corporation | Utilities | 0.301 | 3.49% | — |
| 9 | BSX | Boston Scientific Corporation | Healthcare | 0.233 | 3.39% | — |
| 10 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.209 | 3.26% | — |
| 11 | WAT | Waters Corporation | Healthcare | 0.262 | 3.24% | — |
| 12 | SYK | Stryker Corporation | Healthcare | 0.195 | 3.23% | — |
| 13 | PRU | Prudential Financial, Inc. | Financial Services | 0.252 | 3.22% | — |
| 14 | CDNS | Cadence Design Systems, Inc. | Technology | 0.300 | 3.19% | — |
| 15 | WDC | Western Digital Corporation | Technology | 0.351 | 3.18% | — |
| 16 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.281 | 3.14% | — |
| 17 | CRM | Salesforce, Inc. | Technology | 0.195 | 3.13% | — |
| 18 | XLNX | Xilinx, Inc. | Technology | 0.209 | 3.04% | — |
| 19 | EQR | Equity Residential | Real Estate | 0.251 | 3.03% | — |
| 20 | SYF | Synchrony Financial | Financial Services | 0.098 | 2.87% | — |
| 21 | MET | MetLife, Inc. | Financial Services | 0.330 | 2.74% | — |
| 22 | GRMN | Garmin Ltd. | Technology | 0.186 | 2.69% | — |
| 23 | ADBE | Adobe Inc. | Technology | 0.294 | 2.62% | — |
| 24 | ECL | Ecolab Inc. | Basic Materials | 0.238 | 2.49% | — |
| 25 | EW | Edwards Lifesciences Corporation | Healthcare | 0.173 | 2.34% | — |
| 26 | MA | Mastercard Incorporated | Financial Services | 0.135 | 2.30% | — |
| 27 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.192 | 2.23% | — |
| 28 | KSS | — | — | — | 2.22% | — |
| 29 | NRG | NRG Energy, Inc. | Utilities | 0.201 | 2.11% | — |
| 30 | FFIV | F5, Inc. | Technology | 0.177 | 2.08% | — |
| 31 | ILMN | Illumina, Inc. | Healthcare | 0.200 | 2.03% | — |
| 32 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.000 | 1.81% | — |
| 33 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.077 | 1.71% | — |
| 34 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.188 | 1.53% | — |
| 35 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.096 | 1.52% | — |
| 36 | DXC | DXC Technology Company | Technology | 0.148 | 1.52% | — |
| 37 | PGR | The Progressive Corporation | Financial Services | -0.040 | 1.28% | — |
| 38 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.070 | 0.44% | — |
| 39 | ABMD | Abiomed, Inc. | Healthcare | -0.079 | 0.43% | — |
Short book
17 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EFX | Equifax Inc. | Industrials | -0.324 | -1.61% | — |
| 2 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.344 | -1.51% | — |
| 3 | TMUS | T-Mobile US, Inc. | Communication Services | -0.148 | -1.48% | — |
| 4 | FANG | Diamondback Energy, Inc. | Energy | -0.099 | -1.42% | — |
| 5 | DISH | DISH Network Corporation | Communication Services | -0.161 | -1.42% | — |
| 6 | LH | Labcorp Holdings Inc. | Healthcare | -0.163 | -1.41% | — |
| 7 | INCY | Incyte Corporation | Healthcare | -0.277 | -1.38% | — |
| 8 | LHX | L3Harris Technologies, Inc. | Industrials | -0.108 | -1.34% | — |
| 9 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.159 | -1.25% | — |
| 10 | K | Kellanova | Consumer Defensive | -0.170 | -1.24% | — |
| 11 | J | Jacobs Solutions Inc. | Industrials | -0.130 | -1.20% | — |
| 12 | HWM | Howmet Aerospace Inc. | Industrials | -0.286 | -1.17% | — |
| 13 | PRGO | Perrigo Company plc | Healthcare | -0.062 | -1.04% | — |
| 14 | CNC | Centene Corporation | Healthcare | -0.035 | -1.03% | — |
| 15 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.360 | -0.94% | — |
| 16 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.172 | -0.57% | — |
| 17 | GPC | Genuine Parts Company | Consumer Cyclical | 0.037 | -0.48% | — |
Sector exposure en el rebalanceo seleccionado
2020-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 48.6% | 0.0% | 48.60% | 16 | 0 |
| Market Hedge | 0.0% | 36.1% | -36.06% | 0 | 1 |
| Healthcare | 20.1% | 6.4% | 13.76% | 9 | 5 |
| Financial Services | 19.1% | 0.6% | 18.51% | 7 | 1 |
| Utilities | 5.6% | 0.0% | 5.60% | 2 | 0 |
| Industrials | 0.0% | 5.3% | -5.32% | 0 | 4 |
| Communication Services | 0.0% | 3.8% | -3.83% | 0 | 3 |
| Real Estate | 3.0% | 0.0% | 3.03% | 1 | 0 |
| Consumer Cyclical | 2.2% | 0.5% | 1.77% | 2 | 1 |
| Basic Materials | 2.5% | 0.0% | 2.49% | 1 | 0 |
| Consumer Defensive | 0.0% | 2.5% | -2.48% | 0 | 2 |
| Unknown | 2.2% | 0.0% | 2.22% | 1 | 0 |
| Energy | 0.0% | 1.4% | -1.42% | 0 | 1 |