Portfolio
lightgbmLGBM 126d fundamental flexible 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
29
gross 66.8%
Short book
15
gross -22.0%
Sectores cubiertos
11
44 posiciones
Sortino del run
0.79
Long book
29 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.228 | 3.56% | — |
| 2 | MA | Mastercard Incorporated | Financial Services | 0.299 | 3.48% | — |
| 3 | AEE | Ameren Corporation | Utilities | 0.178 | 3.35% | — |
| 4 | EW | Edwards Lifesciences Corporation | Healthcare | 0.184 | 3.17% | — |
| 5 | VRSN | VeriSign, Inc. | Technology | 0.478 | 3.16% | — |
| 6 | INTU | Intuit Inc. | Technology | 0.341 | 3.01% | — |
| 7 | GRMN | Garmin Ltd. | Technology | 0.371 | 2.99% | — |
| 8 | ADBE | Adobe Inc. | Technology | 0.399 | 2.98% | — |
| 9 | CSCO | Cisco Systems, Inc. | Technology | 0.317 | 2.91% | — |
| 10 | CRM | Salesforce, Inc. | Technology | 0.312 | 2.87% | — |
| 11 | SBAC | SBA Communications Corporation | Real Estate | 0.308 | 2.77% | — |
| 12 | NRG | NRG Energy, Inc. | Utilities | 0.222 | 2.72% | — |
| 13 | WAT | Waters Corporation | Healthcare | 0.120 | 2.62% | — |
| 14 | XLNX | Xilinx, Inc. | Technology | 0.302 | 2.59% | — |
| 15 | WDC | Western Digital Corporation | Technology | 0.178 | 2.49% | — |
| 16 | FFIV | F5, Inc. | Technology | 0.151 | 2.28% | — |
| 17 | INTC | Intel Corporation | Technology | 0.382 | 2.10% | — |
| 18 | NTAP | NetApp, Inc. | Technology | 0.195 | 1.97% | — |
| 19 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.207 | 1.97% | — |
| 20 | ILMN | Illumina, Inc. | Healthcare | 0.130 | 1.94% | — |
| 21 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.164 | 1.86% | — |
| 22 | AMD | Advanced Micro Devices, Inc. | Technology | 0.508 | 1.63% | — |
| 23 | MSFT | Microsoft Corporation | Technology | 0.416 | 1.61% | — |
| 24 | ECL | Ecolab Inc. | Basic Materials | 0.026 | 1.47% | — |
| 25 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.063 | 1.42% | — |
| 26 | MXIM | Maxim Integrated Products, Inc. | Technology | — | 1.42% | — |
| 27 | SYF | Synchrony Financial | Financial Services | -0.067 | 0.95% | — |
| 28 | HPQ | HP Inc. | Technology | 0.068 | 0.90% | — |
| 29 | PRU | Prudential Financial, Inc. | Financial Services | -0.191 | 0.56% | — |
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 | 34.9% | 0.0% | 34.91% | 15 | 0 |
| Healthcare | 11.6% | 5.8% | 5.74% | 5 | 4 |
| Financial Services | 8.6% | 0.0% | 8.55% | 4 | 0 |
| 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 |
| Real Estate | 2.8% | 1.5% | 1.24% | 1 | 1 |
| 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 |