Portfolio
lightgbmLGBM 126d fundamental flexible· 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
28
gross 59.6%
Short book
17
gross -20.5%
Sectores cubiertos
10
45 posiciones
Sortino del run
0.64
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AEE | Ameren Corporation | Utilities | 0.301 | 3.50% | — |
| 2 | WAT | Waters Corporation | Healthcare | 0.262 | 3.25% | — |
| 3 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.281 | 3.15% | — |
| 4 | PRU | Prudential Financial, Inc. | Financial Services | 0.252 | 2.96% | — |
| 5 | ECL | Ecolab Inc. | Basic Materials | 0.238 | 2.49% | — |
| 6 | SYF | Synchrony Financial | Financial Services | 0.098 | 2.48% | — |
| 7 | VRSN | VeriSign, Inc. | Technology | 0.504 | 2.44% | — |
| 8 | NTAP | NetApp, Inc. | Technology | 0.312 | 2.38% | — |
| 9 | INTU | Intuit Inc. | Technology | 0.289 | 2.37% | — |
| 10 | EW | Edwards Lifesciences Corporation | Healthcare | 0.173 | 2.34% | — |
| 11 | MA | Mastercard Incorporated | Financial Services | 0.135 | 2.30% | — |
| 12 | HPQ | HP Inc. | Technology | 0.202 | 2.27% | — |
| 13 | CSCO | Cisco Systems, Inc. | Technology | 0.298 | 2.25% | — |
| 14 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.192 | 2.23% | — |
| 15 | KSS | — | — | — | 2.23% | — |
| 16 | NRG | NRG Energy, Inc. | Utilities | 0.201 | 2.11% | — |
| 17 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.209 | 2.05% | — |
| 18 | ILMN | Illumina, Inc. | Healthcare | 0.200 | 2.04% | — |
| 19 | WDC | Western Digital Corporation | Technology | 0.351 | 2.01% | — |
| 20 | CRM | Salesforce, Inc. | Technology | 0.195 | 1.97% | — |
| 21 | XLNX | Xilinx, Inc. | Technology | 0.209 | 1.91% | — |
| 22 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.000 | 1.81% | — |
| 23 | GRMN | Garmin Ltd. | Technology | 0.186 | 1.70% | — |
| 24 | ADBE | Adobe Inc. | Technology | 0.294 | 1.66% | — |
| 25 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.096 | 1.53% | — |
| 26 | FFIV | F5, Inc. | Technology | 0.177 | 1.31% | — |
| 27 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.070 | 0.45% | — |
| 28 | ABMD | Abiomed, Inc. | Healthcare | -0.079 | 0.44% | — |
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 | -1.42% | — |
| 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 | 24.3% | 0.0% | 24.32% | 12 | 0 |
| Healthcare | 11.8% | 6.4% | 5.45% | 6 | 5 |
| Financial Services | 10.9% | 0.6% | 10.32% | 4 | 1 |
| Utilities | 5.6% | 0.0% | 5.61% | 2 | 0 |
| Industrials | 0.0% | 5.3% | -5.32% | 0 | 4 |
| Communication Services | 0.0% | 3.8% | -3.84% | 0 | 3 |
| Consumer Cyclical | 2.3% | 0.5% | 1.78% | 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% | 2.23% | 1 | 0 |
| Energy | 0.0% | 1.4% | -1.42% | 0 | 1 |