Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2021-03-31
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
39
gross 83.2%
Short book
15
gross -21.9%
Sectores cubiertos
11
54 posiciones
Sortino del run
0.96
Long book
39 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.228 | 3.56% | — |
| 2 | MET | MetLife, Inc. | Financial Services | 0.208 | 3.49% | — |
| 3 | MA | Mastercard Incorporated | Financial Services | 0.299 | 3.48% | — |
| 4 | AEE | Ameren Corporation | Utilities | 0.178 | 3.35% | — |
| 5 | EW | Edwards Lifesciences Corporation | Healthcare | 0.184 | 3.17% | — |
| 6 | SYK | Stryker Corporation | Healthcare | 0.169 | 2.98% | — |
| 7 | CMA | Comerica Incorporated | Financial Services | 0.117 | 2.82% | — |
| 8 | SBAC | SBA Communications Corporation | Real Estate | 0.308 | 2.77% | — |
| 9 | NRG | NRG Energy, Inc. | Utilities | 0.222 | 2.72% | — |
| 10 | WAT | Waters Corporation | Healthcare | 0.120 | 2.62% | — |
| 11 | VRSN | VeriSign, Inc. | Technology | 0.478 | 2.56% | — |
| 12 | INTU | Intuit Inc. | Technology | 0.341 | 2.44% | — |
| 13 | CDNS | Cadence Design Systems, Inc. | Technology | 0.343 | 2.43% | — |
| 14 | GRMN | Garmin Ltd. | Technology | 0.371 | 2.42% | — |
| 15 | ADBE | Adobe Inc. | Technology | 0.399 | 2.41% | — |
| 16 | CSCO | Cisco Systems, Inc. | Technology | 0.317 | 2.35% | — |
| 17 | CRM | Salesforce, Inc. | Technology | 0.312 | 2.33% | — |
| 18 | PGR | The Progressive Corporation | Financial Services | 0.239 | 2.28% | — |
| 19 | XLNX | Xilinx, Inc. | Technology | 0.302 | 2.10% | — |
| 20 | FTNT | Fortinet, Inc. | Technology | 0.311 | 2.09% | — |
| 21 | WDC | Western Digital Corporation | Technology | 0.178 | 2.02% | — |
| 22 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.207 | 1.97% | — |
| 23 | ILMN | Illumina, Inc. | Healthcare | 0.130 | 1.94% | — |
| 24 | BSX | Boston Scientific Corporation | Healthcare | 0.022 | 1.93% | — |
| 25 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.164 | 1.86% | — |
| 26 | FFIV | F5, Inc. | Technology | 0.151 | 1.85% | — |
| 27 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.177 | 1.84% | — |
| 28 | EQR | Equity Residential | Real Estate | 0.059 | 1.83% | — |
| 29 | INTC | Intel Corporation | Technology | 0.382 | 1.72% | — |
| 30 | NTAP | NetApp, Inc. | Technology | 0.195 | 1.59% | — |
| 31 | ECL | Ecolab Inc. | Basic Materials | 0.026 | 1.47% | — |
| 32 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.063 | 1.42% | — |
| 33 | AMD | Advanced Micro Devices, Inc. | Technology | 0.508 | 1.34% | — |
| 34 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.062 | 1.32% | — |
| 35 | MSFT | Microsoft Corporation | Technology | 0.416 | 1.32% | — |
| 36 | MXIM | Maxim Integrated Products, Inc. | Technology | — | 1.14% | — |
| 37 | SYF | Synchrony Financial | Financial Services | -0.067 | 0.99% | — |
| 38 | HPQ | HP Inc. | Technology | 0.068 | 0.72% | — |
| 39 | PRU | Prudential Financial, Inc. | Financial Services | -0.191 | 0.58% | — |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AAL | American Airlines Group Inc. | Industrials | -0.321 | -1.71% | — |
| 2 | INCY | Incyte Corporation | Healthcare | -0.267 | -1.67% | — |
| 3 | TMUS | T-Mobile US, Inc. | Communication Services | -0.249 | -1.64% | — |
| 4 | FANG | Diamondback Energy, Inc. | Energy | -0.407 | -1.57% | — |
| 5 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.269 | -1.57% | — |
| 6 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.081 | -1.56% | — |
| 7 | HWM | Howmet Aerospace Inc. | Industrials | -0.218 | -1.54% | — |
| 8 | DAL | Delta Air Lines, Inc. | Industrials | -0.266 | -1.54% | — |
| 9 | VNO | Vornado Realty Trust | Real Estate | -0.352 | -1.53% | — |
| 10 | DISH | DISH Network Corporation | Communication Services | -0.319 | -1.45% | — |
| 11 | K | Kellanova | Consumer Defensive | -0.228 | -1.38% | — |
| 12 | LH | Labcorp Holdings Inc. | Healthcare | -0.196 | -1.31% | — |
| 13 | PRGO | Perrigo Company plc | Healthcare | -0.114 | -1.27% | — |
| 14 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.070 | -1.12% | — |
| 15 | EFX | Equifax Inc. | Industrials | -0.114 | -1.08% | — |
Sector exposure en el rebalanceo seleccionado
2021-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 34.7% | 0.0% | 34.69% | 18 | 0 |
| Healthcare | 17.8% | 5.8% | 11.97% | 8 | 4 |
| Financial Services | 17.2% | 0.0% | 17.21% | 7 | 0 |
| Real Estate | 4.6% | 1.5% | 3.07% | 2 | 1 |
| Utilities | 6.1% | 0.0% | 6.07% | 2 | 0 |
| Industrials | 0.0% | 5.9% | -5.87% | 0 | 4 |
| Communication Services | 0.0% | 4.7% | -4.65% | 0 | 3 |
| Consumer Defensive | 0.0% | 2.5% | -2.50% | 0 | 2 |
| Energy | 0.0% | 1.6% | -1.57% | 0 | 1 |
| Basic Materials | 1.5% | 0.0% | 1.47% | 1 | 0 |
| Consumer Cyclical | 1.4% | 0.0% | 1.42% | 1 | 0 |