Portfolio
lightgbmLGBM 126d fundamental flexible sector45· rebalanceo 2021-04-30
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
29
gross 68.4%
Short book
16
gross -22.1%
Sectores cubiertos
11
45 posiciones
Sortino del run
0.79
Long book
29 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MA | Mastercard Incorporated | Financial Services | 0.338 | 3.57% | — |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.279 | 3.53% | — |
| 3 | AEE | Ameren Corporation | Utilities | 0.314 | 3.43% | — |
| 4 | EW | Edwards Lifesciences Corporation | Healthcare | 0.214 | 3.24% | — |
| 5 | SBAC | SBA Communications Corporation | Real Estate | 0.364 | 3.14% | — |
| 6 | VRSN | VeriSign, Inc. | Technology | 0.421 | 3.07% | — |
| 7 | NRG | NRG Energy, Inc. | Utilities | 0.260 | 2.96% | — |
| 8 | INTU | Intuit Inc. | Technology | 0.348 | 2.94% | — |
| 9 | ADBE | Adobe Inc. | Technology | 0.394 | 2.94% | — |
| 10 | GRMN | Garmin Ltd. | Technology | 0.250 | 2.89% | — |
| 11 | CSCO | Cisco Systems, Inc. | Technology | 0.333 | 2.85% | — |
| 12 | CRM | Salesforce, Inc. | Technology | 0.333 | 2.82% | — |
| 13 | WAT | Waters Corporation | Healthcare | 0.149 | 2.65% | — |
| 14 | XLNX | Xilinx, Inc. | Technology | 0.324 | 2.63% | — |
| 15 | FFIV | F5, Inc. | Technology | 0.287 | 2.35% | — |
| 16 | INTC | Intel Corporation | Technology | 0.345 | 2.34% | — |
| 17 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.248 | 2.33% | — |
| 18 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.180 | 2.31% | — |
| 19 | ILMN | Illumina, Inc. | Healthcare | 0.245 | 2.30% | — |
| 20 | WDC | Western Digital Corporation | Technology | 0.110 | 2.29% | — |
| 21 | AMD | Advanced Micro Devices, Inc. | Technology | 0.447 | 2.05% | — |
| 22 | MSFT | Microsoft Corporation | Technology | 0.438 | 2.03% | — |
| 23 | NTAP | NetApp, Inc. | Technology | 0.072 | 1.89% | — |
| 24 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.083 | 1.60% | — |
| 25 | ECL | Ecolab Inc. | Basic Materials | 0.017 | 1.43% | — |
| 26 | MXIM | Maxim Integrated Products, Inc. | Technology | — | 0.95% | — |
| 27 | HPQ | HP Inc. | Technology | -0.025 | 0.89% | — |
| 28 | SYF | Synchrony Financial | Financial Services | 0.001 | 0.64% | — |
| 29 | PRU | Prudential Financial, Inc. | Financial Services | -0.259 | 0.38% | — |
Short book
16 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AAL | American Airlines Group Inc. | Industrials | -0.071 | -1.72% | — |
| 2 | INCY | Incyte Corporation | Healthcare | -0.174 | -1.65% | — |
| 3 | TMUS | T-Mobile US, Inc. | Communication Services | -0.229 | -1.63% | — |
| 4 | DAL | Delta Air Lines, Inc. | Industrials | -0.219 | -1.61% | — |
| 5 | VNO | Vornado Realty Trust | Real Estate | -0.313 | -1.59% | — |
| 6 | FANG | Diamondback Energy, Inc. | Energy | -0.396 | -1.59% | — |
| 7 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.087 | -1.56% | — |
| 8 | HWM | Howmet Aerospace Inc. | Industrials | -0.289 | -1.55% | — |
| 9 | DISH | DISH Network Corporation | Communication Services | -0.274 | -1.48% | — |
| 10 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.022 | -1.46% | — |
| 11 | K | Kellanova | Consumer Defensive | -0.158 | -1.38% | — |
| 12 | LH | Labcorp Holdings Inc. | Healthcare | -0.111 | -1.30% | — |
| 13 | PRGO | Perrigo Company plc | Healthcare | -0.107 | -1.25% | — |
| 14 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.049 | -1.06% | — |
| 15 | EFX | Equifax Inc. | Industrials | -0.149 | -0.72% | — |
| 16 | UAL | United Airlines Holdings, Inc. | Industrials | -0.261 | -0.59% | — |
Sector exposure en el rebalanceo seleccionado
2021-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 34.9% | 0.0% | 34.94% | 15 | 0 |
| Healthcare | 12.8% | 5.7% | 7.17% | 5 | 4 |
| Financial Services | 8.1% | 0.0% | 8.12% | 4 | 0 |
| Utilities | 6.4% | 0.0% | 6.39% | 2 | 0 |
| Industrials | 0.0% | 6.2% | -6.19% | 0 | 5 |
| Real Estate | 3.1% | 1.6% | 1.55% | 1 | 1 |
| Communication Services | 0.0% | 4.7% | -4.66% | 0 | 3 |
| Consumer Defensive | 0.0% | 2.4% | -2.44% | 0 | 2 |
| Consumer Cyclical | 1.6% | 0.0% | 1.60% | 1 | 0 |
| Energy | 0.0% | 1.6% | -1.59% | 0 | 1 |
| Basic Materials | 1.4% | 0.0% | 1.43% | 1 | 0 |