Portfolio
lightgbmLGBM 126d flexible 50 beta60· rebalanceo 2021-07-30
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
41
gross 112.3%
Short book
17
gross -22.4%
Sectores cubiertos
12
59 posiciones
Sortino del run
0.81
Long book
41 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VRSN | VeriSign, Inc. | Technology | 0.550 | 3.98% | — |
| 2 | CDNS | Cadence Design Systems, Inc. | Technology | 0.496 | 3.93% | — |
| 3 | ADBE | Adobe Inc. | Technology | 0.423 | 3.90% | — |
| 4 | INTU | Intuit Inc. | Technology | 0.328 | 3.78% | — |
| 5 | CSCO | Cisco Systems, Inc. | Technology | 0.333 | 3.77% | — |
| 6 | MA | Mastercard Incorporated | Financial Services | 0.357 | 3.76% | — |
| 7 | CRM | Salesforce, Inc. | Technology | 0.502 | 3.74% | — |
| 8 | GRMN | Garmin Ltd. | Technology | 0.313 | 3.71% | — |
| 9 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.462 | 3.68% | — |
| 10 | MSFT | Microsoft Corporation | Technology | 0.400 | 3.59% | — |
| 11 | AMD | Advanced Micro Devices, Inc. | Technology | 0.589 | 3.58% | — |
| 12 | INTC | Intel Corporation | Technology | 0.265 | 3.56% | — |
| 13 | FTNT | Fortinet, Inc. | Technology | 0.230 | 3.53% | — |
| 14 | XLNX | Xilinx, Inc. | Technology | 0.284 | 3.50% | — |
| 15 | SBAC | SBA Communications Corporation | Real Estate | 0.105 | 3.46% | — |
| 16 | FFIV | F5, Inc. | Technology | 0.191 | 3.44% | — |
| 17 | AEE | Ameren Corporation | Utilities | 0.092 | 3.42% | — |
| 18 | SYK | Stryker Corporation | Healthcare | 0.257 | 3.33% | — |
| 19 | PGR | The Progressive Corporation | Financial Services | 0.271 | 3.27% | — |
| 20 | EW | Edwards Lifesciences Corporation | Healthcare | 0.158 | 3.18% | — |
| 21 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.429 | 2.96% | — |
| 22 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.108 | 2.95% | — |
| 23 | ILMN | Illumina, Inc. | Healthcare | 0.284 | 2.91% | — |
| 24 | NOW | ServiceNow, Inc. | Technology | 0.613 | 2.80% | — |
| 25 | WAT | Waters Corporation | Healthcare | 0.039 | 2.78% | — |
| 26 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.148 | 2.61% | — |
| 27 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.201 | 2.48% | — |
| 28 | NRG | NRG Energy, Inc. | Utilities | -0.099 | 2.46% | — |
| 29 | HPQ | HP Inc. | Technology | 0.093 | 2.29% | — |
| 30 | NTAP | NetApp, Inc. | Technology | 0.103 | 2.15% | — |
| 31 | BSX | Boston Scientific Corporation | Healthcare | 0.103 | 2.15% | — |
| 32 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.069 | 1.96% | — |
| 33 | ECL | Ecolab Inc. | Basic Materials | 0.050 | 1.74% | — |
| 34 | WDC | Western Digital Corporation | Technology | -0.085 | 1.56% | — |
| 35 | TDG | TransDigm Group Incorporated | Industrials | 0.596 | 1.31% | — |
| 36 | ADSK | Autodesk, Inc. | Technology | 0.452 | 1.30% | — |
| 37 | EQR | Equity Residential | Real Estate | -0.233 | 1.23% | — |
| 38 | MET | MetLife, Inc. | Financial Services | -0.399 | 0.94% | — |
| 39 | CMA | Comerica Incorporated | Financial Services | -0.075 | 0.74% | — |
| 40 | SYF | Synchrony Financial | Financial Services | -0.075 | 0.48% | — |
| 41 | MXIM | Maxim Integrated Products, Inc. | Technology | — | 0.33% | — |
Short book
17 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FANG | Diamondback Energy, Inc. | Energy | -0.660 | -1.69% | — |
| 2 | DAL | Delta Air Lines, Inc. | Industrials | -0.351 | -1.67% | — |
| 3 | VNO | Vornado Realty Trust | Real Estate | -0.404 | -1.65% | — |
| 4 | AAL | American Airlines Group Inc. | Industrials | -0.199 | -1.60% | — |
| 5 | TMUS | T-Mobile US, Inc. | Communication Services | -0.312 | -1.59% | — |
| 6 | LYV | Live Nation Entertainment, Inc. | Communication Services | 0.024 | -1.48% | — |
| 7 | DISH | DISH Network Corporation | Communication Services | -0.163 | -1.48% | — |
| 8 | HWM | Howmet Aerospace Inc. | Industrials | -0.114 | -1.42% | — |
| 9 | K | Kellanova | Consumer Defensive | -0.196 | -1.42% | — |
| 10 | PRGO | Perrigo Company plc | Healthcare | -0.295 | -1.40% | — |
| 11 | UAL | United Airlines Holdings, Inc. | Industrials | -0.225 | -1.39% | — |
| 12 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.368 | -1.30% | — |
| 13 | LH | Labcorp Holdings Inc. | Healthcare | -0.320 | -1.27% | — |
| 14 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.125 | -1.27% | — |
| 15 | TSN | Tyson Foods, Inc. | Consumer Defensive | 0.086 | -0.68% | — |
| 16 | MGM | MGM Resorts International | Consumer Cyclical | -0.578 | -0.61% | — |
| 17 | INCY | Incyte Corporation | Healthcare | 0.266 | -0.50% | — |
Sector exposure en el rebalanceo seleccionado
2021-07-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 61.4% | 0.0% | 61.39% | 20 | 0 |
| Market Hedge | 0.0% | 39.1% | -39.12% | 0 | 1 |
| Healthcare | 22.4% | 4.4% | 17.98% | 8 | 4 |
| Financial Services | 12.9% | 0.0% | 12.87% | 6 | 0 |
| Industrials | 1.3% | 6.1% | -4.78% | 1 | 4 |
| Real Estate | 4.7% | 1.7% | 3.04% | 2 | 1 |
| Utilities | 5.9% | 0.0% | 5.88% | 2 | 0 |
| Communication Services | 0.0% | 4.5% | -4.55% | 0 | 3 |
| Consumer Cyclical | 2.0% | 1.9% | 0.06% | 1 | 2 |
| Consumer Defensive | 0.0% | 2.1% | -2.10% | 0 | 2 |
| Basic Materials | 1.7% | 0.0% | 1.74% | 1 | 0 |
| Energy | 0.0% | 1.7% | -1.69% | 0 | 1 |