Portfolio
lightgbmLGBM 126d fundamental flexible sector45· 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
27
gross 70.1%
Short book
17
gross -22.4%
Sectores cubiertos
11
44 posiciones
Sortino del run
0.79
Long book
27 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MA | Mastercard Incorporated | Financial Services | 0.357 | 3.76% | — |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.462 | 3.68% | — |
| 3 | SBAC | SBA Communications Corporation | Real Estate | 0.105 | 3.46% | — |
| 4 | AEE | Ameren Corporation | Utilities | 0.092 | 3.42% | — |
| 5 | EW | Edwards Lifesciences Corporation | Healthcare | 0.158 | 3.18% | — |
| 6 | VRSN | VeriSign, Inc. | Technology | 0.550 | 2.98% | — |
| 7 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.429 | 2.96% | — |
| 8 | ADBE | Adobe Inc. | Technology | 0.423 | 2.91% | — |
| 9 | ILMN | Illumina, Inc. | Healthcare | 0.284 | 2.91% | — |
| 10 | INTU | Intuit Inc. | Technology | 0.328 | 2.83% | — |
| 11 | CSCO | Cisco Systems, Inc. | Technology | 0.333 | 2.81% | — |
| 12 | CRM | Salesforce, Inc. | Technology | 0.502 | 2.79% | — |
| 13 | WAT | Waters Corporation | Healthcare | 0.039 | 2.78% | — |
| 14 | GRMN | Garmin Ltd. | Technology | 0.313 | 2.78% | — |
| 15 | MSFT | Microsoft Corporation | Technology | 0.400 | 2.64% | — |
| 16 | AMD | Advanced Micro Devices, Inc. | Technology | 0.589 | 2.64% | — |
| 17 | INTC | Intel Corporation | Technology | 0.265 | 2.64% | — |
| 18 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.148 | 2.61% | — |
| 19 | XLNX | Xilinx, Inc. | Technology | 0.284 | 2.61% | — |
| 20 | FFIV | F5, Inc. | Technology | 0.191 | 2.56% | — |
| 21 | NRG | NRG Energy, Inc. | Utilities | -0.099 | 2.46% | — |
| 22 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.069 | 1.96% | — |
| 23 | ECL | Ecolab Inc. | Basic Materials | 0.050 | 1.74% | — |
| 24 | HPQ | HP Inc. | Technology | 0.093 | 1.70% | — |
| 25 | NTAP | NetApp, Inc. | Technology | 0.103 | 1.62% | — |
| 26 | WDC | Western Digital Corporation | Technology | -0.085 | 1.18% | — |
| 27 | SYF | Synchrony Financial | Financial Services | -0.075 | 0.47% | — |
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 | 34.7% | 0.0% | 34.70% | 14 | 0 |
| Healthcare | 14.5% | 4.4% | 10.02% | 5 | 4 |
| Financial Services | 7.9% | 0.0% | 7.91% | 3 | 0 |
| Industrials | 0.0% | 6.1% | -6.08% | 0 | 4 |
| Utilities | 5.9% | 0.0% | 5.88% | 2 | 0 |
| Real Estate | 3.5% | 1.7% | 1.81% | 1 | 1 |
| 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 |