Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· 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 85.5%
Short book
19
gross -22.0%
Sectores cubiertos
11
60 posiciones
Sortino del run
0.96
Long book
41 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MA | Mastercard Incorporated | Financial Services | 0.409 | 3.79% | — |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.544 | 3.77% | — |
| 3 | SYK | Stryker Corporation | Healthcare | 0.282 | 3.39% | — |
| 4 | PGR | The Progressive Corporation | Financial Services | 0.267 | 3.37% | — |
| 5 | SBAC | SBA Communications Corporation | Real Estate | 0.069 | 3.23% | — |
| 6 | EW | Edwards Lifesciences Corporation | Healthcare | 0.234 | 3.18% | — |
| 7 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.272 | 3.16% | — |
| 8 | AEE | Ameren Corporation | Utilities | 0.052 | 3.15% | — |
| 9 | ILMN | Illumina, Inc. | Healthcare | 0.351 | 3.13% | — |
| 10 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.210 | 2.75% | — |
| 11 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.158 | 2.69% | — |
| 12 | BSX | Boston Scientific Corporation | Healthcare | 0.078 | 2.27% | — |
| 13 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.199 | 2.26% | — |
| 14 | VRSN | VeriSign, Inc. | Technology | 0.621 | 2.23% | — |
| 15 | CDNS | Cadence Design Systems, Inc. | Technology | 0.404 | 2.20% | — |
| 16 | WAT | Waters Corporation | Healthcare | -0.137 | 2.19% | — |
| 17 | TDG | TransDigm Group Incorporated | Industrials | 0.534 | 2.18% | — |
| 18 | ADBE | Adobe Inc. | Technology | 0.426 | 2.18% | — |
| 19 | INTU | Intuit Inc. | Technology | 0.438 | 2.13% | — |
| 20 | CRM | Salesforce, Inc. | Technology | 0.429 | 2.12% | — |
| 21 | GRMN | Garmin Ltd. | Technology | 0.315 | 2.09% | — |
| 22 | CSCO | Cisco Systems, Inc. | Technology | 0.249 | 2.08% | — |
| 23 | AMD | Advanced Micro Devices, Inc. | Technology | 0.655 | 2.05% | — |
| 24 | MSFT | Microsoft Corporation | Technology | 0.414 | 2.04% | — |
| 25 | INTC | Intel Corporation | Technology | 0.301 | 2.00% | — |
| 26 | ECL | Ecolab Inc. | Basic Materials | 0.078 | 1.95% | — |
| 27 | FTNT | Fortinet, Inc. | Technology | 0.210 | 1.95% | — |
| 28 | FFIV | F5, Inc. | Technology | 0.155 | 1.89% | — |
| 29 | NOW | ServiceNow, Inc. | Technology | 0.613 | 1.74% | — |
| 30 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.151 | 1.65% | — |
| 31 | NRG | NRG Energy, Inc. | Utilities | -0.111 | 1.65% | — |
| 32 | HPQ | HP Inc. | Technology | 0.151 | 1.39% | — |
| 33 | XLNX | Xilinx, Inc. | Technology | — | 1.34% | — |
| 34 | NTAP | NetApp, Inc. | Technology | 0.088 | 1.28% | — |
| 35 | ADSK | Autodesk, Inc. | Technology | 0.440 | 1.17% | — |
| 36 | WDC | Western Digital Corporation | Technology | 0.014 | 0.87% | — |
| 37 | EQR | Equity Residential | Real Estate | -0.239 | 0.82% | — |
| 38 | ATVI | Activision Blizzard, Inc. | Technology | 0.481 | 0.70% | — |
| 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
19 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 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.036 | -0.45% | — |
| 19 | 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 | 35.1% | 0.0% | 35.10% | 20 | 0 |
| 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 |