Portfolio
lightgbmLGBM 126d fundamental flexible sector45· rebalanceo 2020-12-31
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
27
gross 66.9%
Short book
18
gross -21.3%
Sectores cubiertos
11
45 posiciones
Sortino del run
0.79
Long book
27 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.287 | 3.53% | — |
| 2 | VRSN | VeriSign, Inc. | Technology | 0.330 | 3.42% | — |
| 3 | CSCO | Cisco Systems, Inc. | Technology | 0.310 | 3.21% | — |
| 4 | AEE | Ameren Corporation | Utilities | 0.173 | 3.18% | — |
| 5 | INTU | Intuit Inc. | Technology | 0.282 | 3.17% | — |
| 6 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.311 | 3.12% | — |
| 7 | WDC | Western Digital Corporation | Technology | 0.218 | 3.11% | — |
| 8 | MA | Mastercard Incorporated | Financial Services | 0.255 | 3.03% | — |
| 9 | GRMN | Garmin Ltd. | Technology | 0.327 | 3.03% | — |
| 10 | NTAP | NetApp, Inc. | Technology | 0.142 | 2.98% | — |
| 11 | ADBE | Adobe Inc. | Technology | 0.362 | 2.93% | — |
| 12 | EW | Edwards Lifesciences Corporation | Healthcare | 0.158 | 2.87% | — |
| 13 | WAT | Waters Corporation | Healthcare | 0.126 | 2.81% | — |
| 14 | CRM | Salesforce, Inc. | Technology | 0.278 | 2.79% | — |
| 15 | FFIV | F5, Inc. | Technology | 0.177 | 2.59% | — |
| 16 | NRG | NRG Energy, Inc. | Utilities | 0.149 | 2.52% | — |
| 17 | XLNX | Xilinx, Inc. | Technology | 0.184 | 2.47% | — |
| 18 | ILMN | Illumina, Inc. | Healthcare | 0.109 | 2.43% | — |
| 19 | SYF | Synchrony Financial | Financial Services | 0.090 | 2.40% | — |
| 20 | ECL | Ecolab Inc. | Basic Materials | 0.090 | 1.95% | — |
| 21 | HPQ | HP Inc. | Technology | 0.018 | 1.88% | — |
| 22 | PRU | Prudential Financial, Inc. | Financial Services | 0.071 | 1.86% | — |
| 23 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.014 | 1.82% | — |
| 24 | ISRG | Intuitive Surgical, Inc. | Healthcare | -0.012 | 1.53% | — |
| 25 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.045 | 1.04% | — |
| 26 | KSS | — | — | — | 0.67% | — |
| 27 | EXPE | Expedia Group, Inc. | Consumer Cyclical | -0.114 | 0.54% | — |
Short book
18 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | INCY | Incyte Corporation | Healthcare | -0.278 | -1.61% | — |
| 2 | TMUS | T-Mobile US, Inc. | Communication Services | -0.272 | -1.57% | — |
| 3 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.212 | -1.53% | — |
| 4 | FANG | Diamondback Energy, Inc. | Energy | -0.460 | -1.48% | — |
| 5 | HWM | Howmet Aerospace Inc. | Industrials | -0.234 | -1.47% | — |
| 6 | DISH | DISH Network Corporation | Communication Services | -0.114 | -1.36% | — |
| 7 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.176 | -1.35% | — |
| 8 | K | Kellanova | Consumer Defensive | -0.192 | -1.34% | — |
| 9 | AAL | American Airlines Group Inc. | Industrials | -0.313 | -1.30% | — |
| 10 | EFX | Equifax Inc. | Industrials | -0.129 | -1.29% | — |
| 11 | LH | Labcorp Holdings Inc. | Healthcare | -0.101 | -1.27% | — |
| 12 | PRGO | Perrigo Company plc | Healthcare | -0.132 | -1.19% | — |
| 13 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.103 | -1.18% | — |
| 14 | DAL | Delta Air Lines, Inc. | Industrials | -0.306 | -1.00% | — |
| 15 | VNO | Vornado Realty Trust | Real Estate | -0.223 | -0.98% | — |
| 16 | J | Jacobs Solutions Inc. | Industrials | -0.065 | -0.54% | — |
| 17 | LHX | L3Harris Technologies, Inc. | Industrials | 0.029 | -0.53% | — |
| 18 | CNC | Centene Corporation | Healthcare | 0.197 | -0.31% | — |
Sector exposure en el rebalanceo seleccionado
2020-12-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 34.7% | 0.0% | 34.71% | 12 | 0 |
| Healthcare | 11.5% | 5.9% | 5.56% | 5 | 5 |
| Financial Services | 10.8% | 0.0% | 10.83% | 4 | 0 |
| Industrials | 0.0% | 6.1% | -6.12% | 0 | 6 |
| Utilities | 5.7% | 0.0% | 5.70% | 2 | 0 |
| Communication Services | 0.0% | 4.3% | -4.29% | 0 | 3 |
| Consumer Defensive | 0.0% | 2.5% | -2.52% | 0 | 2 |
| Basic Materials | 1.9% | 0.0% | 1.95% | 1 | 0 |
| Consumer Cyclical | 1.6% | 0.0% | 1.59% | 2 | 0 |
| Energy | 0.0% | 1.5% | -1.48% | 0 | 1 |
| Real Estate | 0.0% | 1.0% | -0.98% | 0 | 1 |
| Unknown | 0.7% | 0.0% | 0.67% | 1 | 0 |