Portfolio
lightgbmLGBM 126d flexible 50 beta60· rebalanceo 2021-08-31
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
41
gross 113.3%
Short book
20
gross -22.5%
Sectores cubiertos
12
62 posiciones
Sortino del run
0.81
Long book
41 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VRSN | VeriSign, Inc. | Technology | 0.621 | 3.98% | — |
| 2 | CDNS | Cadence Design Systems, Inc. | Technology | 0.404 | 3.93% | — |
| 3 | ADBE | Adobe Inc. | Technology | 0.426 | 3.90% | — |
| 4 | INTU | Intuit Inc. | Technology | 0.438 | 3.80% | — |
| 5 | MA | Mastercard Incorporated | Financial Services | 0.409 | 3.79% | — |
| 6 | CRM | Salesforce, Inc. | Technology | 0.429 | 3.78% | — |
| 7 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.544 | 3.77% | — |
| 8 | GRMN | Garmin Ltd. | Technology | 0.315 | 3.72% | — |
| 9 | AMD | Advanced Micro Devices, Inc. | Technology | 0.655 | 3.72% | — |
| 10 | CSCO | Cisco Systems, Inc. | Technology | 0.249 | 3.72% | — |
| 11 | MSFT | Microsoft Corporation | Technology | 0.414 | 3.68% | — |
| 12 | INTC | Intel Corporation | Technology | 0.301 | 3.59% | — |
| 13 | FTNT | Fortinet, Inc. | Technology | 0.210 | 3.48% | — |
| 14 | SYK | Stryker Corporation | Healthcare | 0.282 | 3.39% | — |
| 15 | FFIV | F5, Inc. | Technology | 0.155 | 3.39% | — |
| 16 | PGR | The Progressive Corporation | Financial Services | 0.267 | 3.37% | — |
| 17 | SBAC | SBA Communications Corporation | Real Estate | 0.069 | 3.23% | — |
| 18 | NOW | ServiceNow, Inc. | Technology | 0.613 | 3.19% | — |
| 19 | EW | Edwards Lifesciences Corporation | Healthcare | 0.234 | 3.18% | — |
| 20 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.272 | 3.16% | — |
| 21 | AEE | Ameren Corporation | Utilities | 0.052 | 3.15% | — |
| 22 | ILMN | Illumina, Inc. | Healthcare | 0.351 | 3.13% | — |
| 23 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.151 | 2.95% | — |
| 24 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.210 | 2.75% | — |
| 25 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.158 | 2.69% | — |
| 26 | HPQ | HP Inc. | Technology | 0.151 | 2.52% | — |
| 27 | XLNX | Xilinx, Inc. | Technology | — | 2.34% | — |
| 28 | NTAP | NetApp, Inc. | Technology | 0.088 | 2.29% | — |
| 29 | BSX | Boston Scientific Corporation | Healthcare | 0.078 | 2.27% | — |
| 30 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.199 | 2.26% | — |
| 31 | WAT | Waters Corporation | Healthcare | -0.137 | 2.19% | — |
| 32 | TDG | TransDigm Group Incorporated | Industrials | 0.534 | 2.18% | — |
| 33 | ADSK | Autodesk, Inc. | Technology | 0.440 | 2.17% | — |
| 34 | ECL | Ecolab Inc. | Basic Materials | 0.078 | 1.95% | — |
| 35 | NRG | NRG Energy, Inc. | Utilities | -0.111 | 1.65% | — |
| 36 | WDC | Western Digital Corporation | Technology | 0.014 | 1.50% | — |
| 37 | ATVI | Activision Blizzard, Inc. | Technology | 0.481 | 1.29% | — |
| 38 | EQR | Equity Residential | Real Estate | -0.239 | 0.82% | — |
| 39 | MET | MetLife, Inc. | Financial Services | -0.279 | 0.63% | — |
| 40 | CMA | Comerica Incorporated | Financial Services | -0.054 | 0.50% | — |
| 41 | SYF | Synchrony Financial | Financial Services | -0.139 | 0.32% | — |
Short book
20 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DAL | Delta Air Lines, Inc. | Industrials | -0.290 | -1.69% | — |
| 2 | VNO | Vornado Realty Trust | Real Estate | -0.372 | -1.66% | — |
| 3 | AAL | American Airlines Group Inc. | Industrials | -0.192 | -1.54% | — |
| 4 | TMUS | T-Mobile US, Inc. | Communication Services | -0.160 | -1.50% | — |
| 5 | UAL | United Airlines Holdings, Inc. | Industrials | -0.258 | -1.47% | — |
| 6 | PRGO | Perrigo Company plc | Healthcare | -0.247 | -1.46% | — |
| 7 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.088 | -1.41% | — |
| 8 | K | Kellanova | Consumer Defensive | -0.190 | -1.41% | — |
| 9 | DISH | DISH Network Corporation | Communication Services | -0.099 | -1.36% | — |
| 10 | HWM | Howmet Aerospace Inc. | Industrials | -0.089 | -1.30% | — |
| 11 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.229 | -1.26% | — |
| 12 | FANG | Diamondback Energy, Inc. | Energy | -0.808 | -1.13% | — |
| 13 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.016 | -0.99% | — |
| 14 | MGM | MGM Resorts International | Consumer Cyclical | -0.633 | -0.99% | — |
| 15 | LH | Labcorp Holdings Inc. | Healthcare | -0.187 | -0.85% | — |
| 16 | MPC | Marathon Petroleum Corporation | Energy | -0.507 | -0.58% | — |
| 17 | CI | Cigna Corporation | Healthcare | -0.402 | -0.57% | — |
| 18 | DXC | DXC Technology Company | Technology | -0.174 | -0.56% | — |
| 19 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.036 | -0.45% | — |
| 20 | INCY | Incyte Corporation | Healthcare | 0.111 | -0.33% | — |
Sector exposure en el rebalanceo seleccionado
2021-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 62.9% | 0.6% | 62.38% | 20 | 1 |
| Market Hedge | 0.0% | 39.0% | -38.98% | 0 | 1 |
| Healthcare | 22.8% | 4.5% | 18.29% | 8 | 5 |
| Financial Services | 12.4% | 0.0% | 12.38% | 6 | 0 |
| Industrials | 2.2% | 6.0% | -3.83% | 1 | 4 |
| Real Estate | 4.1% | 1.7% | 2.40% | 2 | 1 |
| Utilities | 4.8% | 0.0% | 4.80% | 2 | 0 |
| Consumer Cyclical | 2.3% | 2.4% | -0.14% | 1 | 2 |
| Communication Services | 0.0% | 3.9% | -3.86% | 0 | 3 |
| Basic Materials | 2.0% | 0.0% | 1.95% | 1 | 0 |
| Consumer Defensive | 0.0% | 1.9% | -1.86% | 0 | 2 |
| Energy | 0.0% | 1.7% | -1.71% | 0 | 2 |