Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2021-01-29
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
40
gross 83.4%
Short book
17
gross -21.7%
Sectores cubiertos
11
57 posiciones
Sortino del run
0.96
Long book
40 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.309 | 3.61% | — |
| 2 | MET | MetLife, Inc. | Financial Services | 0.307 | 3.55% | — |
| 3 | CMA | Comerica Incorporated | Financial Services | 0.230 | 3.39% | — |
| 4 | MA | Mastercard Incorporated | Financial Services | 0.249 | 3.16% | — |
| 5 | AEE | Ameren Corporation | Utilities | 0.212 | 3.10% | — |
| 6 | EW | Edwards Lifesciences Corporation | Healthcare | 0.222 | 2.93% | — |
| 7 | SYK | Stryker Corporation | Healthcare | 0.172 | 2.93% | — |
| 8 | VRSN | VeriSign, Inc. | Technology | 0.410 | 2.72% | — |
| 9 | WAT | Waters Corporation | Healthcare | 0.152 | 2.67% | — |
| 10 | CDNS | Cadence Design Systems, Inc. | Technology | 0.345 | 2.57% | — |
| 11 | INTU | Intuit Inc. | Technology | 0.323 | 2.55% | — |
| 12 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.332 | 2.53% | — |
| 13 | GRMN | Garmin Ltd. | Technology | 0.370 | 2.50% | — |
| 14 | NRG | NRG Energy, Inc. | Utilities | 0.116 | 2.49% | — |
| 15 | CSCO | Cisco Systems, Inc. | Technology | 0.202 | 2.47% | — |
| 16 | ADBE | Adobe Inc. | Technology | 0.384 | 2.45% | — |
| 17 | WDC | Western Digital Corporation | Technology | 0.211 | 2.38% | — |
| 18 | BSX | Boston Scientific Corporation | Healthcare | 0.094 | 2.35% | — |
| 19 | CRM | Salesforce, Inc. | Technology | 0.324 | 2.33% | — |
| 20 | SYF | Synchrony Financial | Financial Services | 0.047 | 2.21% | — |
| 21 | FTNT | Fortinet, Inc. | Technology | 0.150 | 2.14% | — |
| 22 | ILMN | Illumina, Inc. | Healthcare | 0.019 | 2.13% | — |
| 23 | NTAP | NetApp, Inc. | Technology | 0.019 | 2.01% | — |
| 24 | FFIV | F5, Inc. | Technology | 0.120 | 2.00% | — |
| 25 | XLNX | Xilinx, Inc. | Technology | 0.211 | 2.00% | — |
| 26 | EQR | Equity Residential | Real Estate | 0.071 | 1.77% | — |
| 27 | PGR | The Progressive Corporation | Financial Services | 0.100 | 1.76% | — |
| 28 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.191 | 1.74% | — |
| 29 | ECL | Ecolab Inc. | Basic Materials | 0.024 | 1.67% | — |
| 30 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.074 | 1.60% | — |
| 31 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.061 | 1.38% | — |
| 32 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.069 | 1.33% | — |
| 33 | SBAC | SBA Communications Corporation | Real Estate | 0.397 | 1.31% | — |
| 34 | PRU | Prudential Financial, Inc. | Financial Services | 0.023 | 1.30% | — |
| 35 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.073 | 1.15% | — |
| 36 | HPQ | HP Inc. | Technology | -0.028 | 0.99% | — |
| 37 | INTC | Intel Corporation | Technology | 0.369 | 0.91% | — |
| 38 | DXC | DXC Technology Company | Technology | -0.110 | 0.51% | — |
| 39 | KSS | — | — | — | 0.45% | — |
| 40 | EXPE | Expedia Group, Inc. | Consumer Cyclical | -0.062 | 0.36% | — |
Short book
17 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | INCY | Incyte Corporation | Healthcare | -0.275 | -1.65% | — |
| 2 | TMUS | T-Mobile US, Inc. | Communication Services | -0.251 | -1.62% | — |
| 3 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.265 | -1.57% | — |
| 4 | FANG | Diamondback Energy, Inc. | Energy | -0.444 | -1.53% | — |
| 5 | HWM | Howmet Aerospace Inc. | Industrials | -0.197 | -1.52% | — |
| 6 | AAL | American Airlines Group Inc. | Industrials | -0.396 | -1.50% | — |
| 7 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.114 | -1.41% | — |
| 8 | K | Kellanova | Consumer Defensive | -0.143 | -1.39% | — |
| 9 | DISH | DISH Network Corporation | Communication Services | -0.077 | -1.34% | — |
| 10 | LH | Labcorp Holdings Inc. | Healthcare | -0.154 | -1.29% | — |
| 11 | DAL | Delta Air Lines, Inc. | Industrials | -0.310 | -1.26% | — |
| 12 | VNO | Vornado Realty Trust | Real Estate | -0.355 | -1.25% | — |
| 13 | PRGO | Perrigo Company plc | Healthcare | -0.081 | -1.24% | — |
| 14 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.113 | -1.21% | — |
| 15 | EFX | Equifax Inc. | Industrials | 0.003 | -1.17% | — |
| 16 | J | Jacobs Solutions Inc. | Industrials | -0.087 | -0.36% | — |
| 17 | LHX | L3Harris Technologies, Inc. | Industrials | 0.054 | -0.36% | — |
Sector exposure en el rebalanceo seleccionado
2021-01-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 34.8% | 0.0% | 34.81% | 17 | 0 |
| Healthcare | 17.3% | 5.8% | 11.58% | 8 | 4 |
| Financial Services | 19.0% | 0.0% | 18.98% | 7 | 0 |
| Industrials | 0.0% | 6.2% | -6.16% | 0 | 6 |
| Utilities | 5.6% | 0.0% | 5.60% | 2 | 0 |
| Communication Services | 0.0% | 4.4% | -4.37% | 0 | 3 |
| Real Estate | 3.1% | 1.3% | 1.83% | 2 | 1 |
| Consumer Defensive | 0.0% | 2.6% | -2.60% | 0 | 2 |
| Basic Materials | 1.7% | 0.0% | 1.67% | 1 | 0 |
| Energy | 0.0% | 1.5% | -1.53% | 0 | 1 |
| Consumer Cyclical | 1.5% | 0.0% | 1.52% | 2 | 0 |
| Unknown | 0.4% | 0.0% | 0.45% | 1 | 0 |