Portfolio
lightgbmLGBM 126d fundamental flexible· rebalanceo 2021-05-28
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
28
gross 59.7%
Short book
17
gross -22.4%
Sectores cubiertos
11
45 posiciones
Sortino del run
0.64
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MA | Mastercard Incorporated | Financial Services | 0.355 | 3.65% | — |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.323 | 3.58% | — |
| 3 | AEE | Ameren Corporation | Utilities | 0.271 | 3.46% | — |
| 4 | SBAC | SBA Communications Corporation | Real Estate | 0.359 | 3.38% | — |
| 5 | EW | Edwards Lifesciences Corporation | Healthcare | 0.244 | 3.28% | — |
| 6 | NRG | NRG Energy, Inc. | Utilities | 0.192 | 3.09% | — |
| 7 | WAT | Waters Corporation | Healthcare | 0.179 | 2.76% | — |
| 8 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.184 | 2.64% | — |
| 9 | ILMN | Illumina, Inc. | Healthcare | 0.217 | 2.63% | — |
| 10 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.167 | 2.58% | — |
| 11 | VRSN | VeriSign, Inc. | Technology | 0.446 | 2.16% | — |
| 12 | ADBE | Adobe Inc. | Technology | 0.446 | 2.09% | — |
| 13 | INTU | Intuit Inc. | Technology | 0.346 | 2.07% | — |
| 14 | CSCO | Cisco Systems, Inc. | Technology | 0.318 | 2.02% | — |
| 15 | GRMN | Garmin Ltd. | Technology | 0.269 | 2.01% | — |
| 16 | CRM | Salesforce, Inc. | Technology | 0.316 | 2.00% | — |
| 17 | XLNX | Xilinx, Inc. | Technology | 0.234 | 1.88% | — |
| 18 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.100 | 1.82% | — |
| 19 | INTC | Intel Corporation | Technology | 0.330 | 1.78% | — |
| 20 | FFIV | F5, Inc. | Technology | 0.298 | 1.74% | — |
| 21 | AMD | Advanced Micro Devices, Inc. | Technology | 0.333 | 1.66% | — |
| 22 | MSFT | Microsoft Corporation | Technology | 0.448 | 1.66% | — |
| 23 | WDC | Western Digital Corporation | Technology | 0.022 | 1.47% | — |
| 24 | ECL | Ecolab Inc. | Basic Materials | 0.063 | 1.45% | — |
| 25 | NTAP | NetApp, Inc. | Technology | 0.004 | 1.20% | — |
| 26 | HPQ | HP Inc. | Technology | 0.153 | 0.80% | — |
| 27 | MXIM | Maxim Integrated Products, Inc. | Technology | — | 0.45% | — |
| 28 | SYF | Synchrony Financial | Financial Services | -0.004 | 0.43% | — |
Short book
17 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AAL | American Airlines Group Inc. | Industrials | -0.248 | -1.72% | — |
| 2 | DAL | Delta Air Lines, Inc. | Industrials | -0.252 | -1.64% | — |
| 3 | FANG | Diamondback Energy, Inc. | Energy | -0.607 | -1.64% | — |
| 4 | VNO | Vornado Realty Trust | Real Estate | -0.356 | -1.62% | — |
| 5 | TMUS | T-Mobile US, Inc. | Communication Services | -0.256 | -1.61% | — |
| 6 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.241 | -1.58% | — |
| 7 | HWM | Howmet Aerospace Inc. | Industrials | -0.272 | -1.53% | — |
| 8 | DISH | DISH Network Corporation | Communication Services | -0.312 | -1.50% | — |
| 9 | K | Kellanova | Consumer Defensive | -0.197 | -1.41% | — |
| 10 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.128 | -1.40% | — |
| 11 | PRGO | Perrigo Company plc | Healthcare | -0.165 | -1.28% | — |
| 12 | LH | Labcorp Holdings Inc. | Healthcare | -0.095 | -1.25% | — |
| 13 | INCY | Incyte Corporation | Healthcare | 0.097 | -1.10% | — |
| 14 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.102 | -1.05% | — |
| 15 | UAL | United Airlines Holdings, Inc. | Industrials | -0.351 | -0.99% | — |
| 16 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.371 | -0.62% | — |
| 17 | EFX | Equifax Inc. | Industrials | -0.057 | -0.49% | — |
Sector exposure en el rebalanceo seleccionado
2021-05-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 25.0% | 0.0% | 24.97% | 15 | 0 |
| Healthcare | 13.9% | 5.0% | 8.85% | 5 | 4 |
| Financial Services | 7.7% | 0.0% | 7.66% | 3 | 0 |
| Utilities | 6.6% | 0.0% | 6.55% | 2 | 0 |
| Industrials | 0.0% | 6.4% | -6.36% | 0 | 5 |
| Real Estate | 3.4% | 1.6% | 1.76% | 1 | 1 |
| Communication Services | 0.0% | 4.7% | -4.69% | 0 | 3 |
| Consumer Defensive | 0.0% | 2.5% | -2.46% | 0 | 2 |
| Consumer Cyclical | 1.8% | 0.6% | 1.20% | 1 | 1 |
| Energy | 0.0% | 1.6% | -1.64% | 0 | 1 |
| Basic Materials | 1.5% | 0.0% | 1.45% | 1 | 0 |