Portfolio
lightgbmLGBM 126d fundamental flexible sector45· rebalanceo 2020-10-30
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 68.7%
Short book
18
gross -20.5%
Sectores cubiertos
10
45 posiciones
Sortino del run
0.79
Long book
27 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VRSN | VeriSign, Inc. | Technology | 0.387 | 3.44% | — |
| 2 | AEE | Ameren Corporation | Utilities | 0.191 | 3.43% | — |
| 3 | NTAP | NetApp, Inc. | Technology | 0.250 | 3.28% | — |
| 4 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.284 | 3.27% | — |
| 5 | INTU | Intuit Inc. | Technology | 0.235 | 3.24% | — |
| 6 | CSCO | Cisco Systems, Inc. | Technology | 0.303 | 3.17% | — |
| 7 | WAT | Waters Corporation | Healthcare | 0.117 | 3.15% | — |
| 8 | WDC | Western Digital Corporation | Technology | 0.322 | 3.02% | — |
| 9 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.354 | 2.95% | — |
| 10 | HPQ | HP Inc. | Technology | 0.046 | 2.86% | — |
| 11 | PRU | Prudential Financial, Inc. | Financial Services | 0.005 | 2.71% | — |
| 12 | CRM | Salesforce, Inc. | Technology | 0.209 | 2.66% | — |
| 13 | SYF | Synchrony Financial | Financial Services | 0.176 | 2.61% | — |
| 14 | GRMN | Garmin Ltd. | Technology | 0.354 | 2.60% | — |
| 15 | EW | Edwards Lifesciences Corporation | Healthcare | 0.247 | 2.58% | — |
| 16 | XLNX | Xilinx, Inc. | Technology | 0.110 | 2.54% | — |
| 17 | ADBE | Adobe Inc. | Technology | 0.277 | 2.53% | — |
| 18 | MA | Mastercard Incorporated | Financial Services | 0.277 | 2.49% | — |
| 19 | ECL | Ecolab Inc. | Basic Materials | 0.039 | 2.43% | — |
| 20 | ILMN | Illumina, Inc. | Healthcare | 0.176 | 2.28% | — |
| 21 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.108 | 2.26% | — |
| 22 | NRG | NRG Energy, Inc. | Utilities | 0.101 | 2.13% | — |
| 23 | FFIV | F5, Inc. | Technology | 0.252 | 2.09% | — |
| 24 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.103 | 1.61% | — |
| 25 | KSS | — | — | — | 1.49% | — |
| 26 | EXPE | Expedia Group, Inc. | Consumer Cyclical | -0.029 | 1.21% | — |
| 27 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.056 | 0.64% | — |
Short book
18 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.165 | -1.54% | — |
| 2 | EFX | Equifax Inc. | Industrials | -0.001 | -1.51% | — |
| 3 | INCY | Incyte Corporation | Healthcare | -0.231 | -1.48% | — |
| 4 | TMUS | T-Mobile US, Inc. | Communication Services | -0.133 | -1.46% | — |
| 5 | DISH | DISH Network Corporation | Communication Services | -0.137 | -1.41% | — |
| 6 | FANG | Diamondback Energy, Inc. | Energy | -0.075 | -1.38% | — |
| 7 | LH | Labcorp Holdings Inc. | Healthcare | -0.025 | -1.33% | — |
| 8 | HWM | Howmet Aerospace Inc. | Industrials | -0.130 | -1.31% | — |
| 9 | K | Kellanova | Consumer Defensive | -0.017 | -1.25% | — |
| 10 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.020 | -1.22% | — |
| 11 | J | Jacobs Solutions Inc. | Industrials | -0.159 | -1.20% | — |
| 12 | LHX | L3Harris Technologies, Inc. | Industrials | 0.058 | -1.18% | — |
| 13 | LYV | Live Nation Entertainment, Inc. | Communication Services | 0.021 | -1.16% | — |
| 14 | PRGO | Perrigo Company plc | Healthcare | -0.058 | -1.05% | — |
| 15 | CNC | Centene Corporation | Healthcare | 0.094 | -0.69% | — |
| 16 | AAL | American Airlines Group Inc. | Industrials | -0.281 | -0.59% | — |
| 17 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.214 | -0.38% | — |
| 18 | GPC | Genuine Parts Company | Consumer Cyclical | -0.003 | -0.32% | — |
Sector exposure en el rebalanceo seleccionado
2020-10-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 34.4% | 0.0% | 34.36% | 12 | 0 |
| Healthcare | 11.9% | 6.1% | 5.79% | 5 | 5 |
| Financial Services | 11.1% | 0.4% | 10.71% | 4 | 1 |
| Industrials | 0.0% | 5.8% | -5.79% | 0 | 5 |
| Utilities | 5.6% | 0.0% | 5.56% | 2 | 0 |
| Communication Services | 0.0% | 4.0% | -4.04% | 0 | 3 |
| Consumer Defensive | 0.0% | 2.5% | -2.46% | 0 | 2 |
| Basic Materials | 2.4% | 0.0% | 2.43% | 1 | 0 |
| Consumer Cyclical | 1.9% | 0.3% | 1.53% | 2 | 1 |
| Unknown | 1.5% | 0.0% | 1.49% | 1 | 0 |
| Energy | 0.0% | 1.4% | -1.38% | 0 | 1 |