Portfolio
lightgbmLGBM 126d fundamental flexible 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
28
gross 69.7%
Short book
20
gross -22.4%
Sectores cubiertos
11
48 posiciones
Sortino del run
0.79
Long book
28 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 | SBAC | SBA Communications Corporation | Real Estate | 0.069 | 3.23% | — |
| 4 | EW | Edwards Lifesciences Corporation | Healthcare | 0.234 | 3.18% | — |
| 5 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.272 | 3.16% | — |
| 6 | AEE | Ameren Corporation | Utilities | 0.052 | 3.15% | — |
| 7 | ILMN | Illumina, Inc. | Healthcare | 0.351 | 3.13% | — |
| 8 | VRSN | VeriSign, Inc. | Technology | 0.621 | 2.97% | — |
| 9 | ADBE | Adobe Inc. | Technology | 0.426 | 2.91% | — |
| 10 | INTU | Intuit Inc. | Technology | 0.438 | 2.84% | — |
| 11 | CRM | Salesforce, Inc. | Technology | 0.429 | 2.82% | — |
| 12 | GRMN | Garmin Ltd. | Technology | 0.315 | 2.78% | — |
| 13 | CSCO | Cisco Systems, Inc. | Technology | 0.249 | 2.77% | — |
| 14 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.210 | 2.75% | — |
| 15 | AMD | Advanced Micro Devices, Inc. | Technology | 0.655 | 2.75% | — |
| 16 | MSFT | Microsoft Corporation | Technology | 0.414 | 2.73% | — |
| 17 | INTC | Intel Corporation | Technology | 0.301 | 2.66% | — |
| 18 | FFIV | F5, Inc. | Technology | 0.155 | 2.52% | — |
| 19 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.199 | 2.26% | — |
| 20 | WAT | Waters Corporation | Healthcare | -0.137 | 2.19% | — |
| 21 | ECL | Ecolab Inc. | Basic Materials | 0.078 | 1.95% | — |
| 22 | HPQ | HP Inc. | Technology | 0.151 | 1.88% | — |
| 23 | XLNX | Xilinx, Inc. | Technology | — | 1.75% | — |
| 24 | NTAP | NetApp, Inc. | Technology | 0.088 | 1.71% | — |
| 25 | NRG | NRG Energy, Inc. | Utilities | -0.111 | 1.65% | — |
| 26 | WDC | Western Digital Corporation | Technology | 0.014 | 1.13% | — |
| 27 | NOW | ServiceNow, Inc. | Technology | 0.613 | 0.98% | — |
| 28 | 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 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.036 | -0.45% | — |
| 19 | DXC | DXC Technology Company | Technology | -0.174 | -0.41% | — |
| 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 | 35.2% | 0.4% | 34.80% | 15 | 1 |
| Healthcare | 14.4% | 4.5% | 9.94% | 5 | 5 |
| Financial Services | 7.9% | 0.0% | 7.88% | 3 | 0 |
| Industrials | 0.0% | 6.0% | -6.01% | 0 | 4 |
| Real Estate | 3.2% | 1.7% | 1.58% | 1 | 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 |