Portfolio
lightgbmLGBM 126d flexible 50 beta40· rebalanceo 2021-09-30
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 115.2%
Short book
21
gross -22.3%
Sectores cubiertos
12
63 posiciones
Sortino del run
0.51
Long book
41 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VRSN | VeriSign, Inc. | Technology | 0.585 | 3.98% | — |
| 2 | CDNS | Cadence Design Systems, Inc. | Technology | 0.456 | 3.92% | — |
| 3 | ADBE | Adobe Inc. | Technology | 0.459 | 3.90% | — |
| 4 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.535 | 3.83% | — |
| 5 | CRM | Salesforce, Inc. | Technology | 0.502 | 3.83% | — |
| 6 | INTU | Intuit Inc. | Technology | 0.346 | 3.81% | — |
| 7 | AMD | Advanced Micro Devices, Inc. | Technology | 0.634 | 3.81% | — |
| 8 | MA | Mastercard Incorporated | Financial Services | 0.388 | 3.81% | — |
| 9 | MSFT | Microsoft Corporation | Technology | 0.424 | 3.74% | — |
| 10 | GRMN | Garmin Ltd. | Technology | 0.323 | 3.70% | — |
| 11 | CSCO | Cisco Systems, Inc. | Technology | 0.193 | 3.60% | — |
| 12 | INTC | Intel Corporation | Technology | 0.264 | 3.56% | — |
| 13 | SYK | Stryker Corporation | Healthcare | 0.338 | 3.46% | — |
| 14 | NOW | ServiceNow, Inc. | Technology | 0.596 | 3.46% | — |
| 15 | PGR | The Progressive Corporation | Financial Services | 0.246 | 3.41% | — |
| 16 | FTNT | Fortinet, Inc. | Technology | 0.208 | 3.38% | — |
| 17 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.383 | 3.36% | — |
| 18 | ILMN | Illumina, Inc. | Healthcare | 0.392 | 3.34% | — |
| 19 | EW | Edwards Lifesciences Corporation | Healthcare | 0.301 | 3.27% | — |
| 20 | FFIV | F5, Inc. | Technology | 0.175 | 3.23% | — |
| 21 | SBAC | SBA Communications Corporation | Real Estate | 0.254 | 3.11% | — |
| 22 | AEE | Ameren Corporation | Utilities | 0.225 | 3.02% | — |
| 23 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.379 | 3.01% | — |
| 24 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.256 | 3.00% | — |
| 25 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.278 | 2.89% | — |
| 26 | TDG | TransDigm Group Incorporated | Industrials | 0.467 | 2.77% | — |
| 27 | ADSK | Autodesk, Inc. | Technology | 0.544 | 2.75% | — |
| 28 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.286 | 2.58% | — |
| 29 | HPQ | HP Inc. | Technology | 0.061 | 2.48% | — |
| 30 | BSX | Boston Scientific Corporation | Healthcare | 0.160 | 2.37% | — |
| 31 | NTAP | NetApp, Inc. | Technology | 0.011 | 2.21% | — |
| 32 | ATVI | Activision Blizzard, Inc. | Technology | 0.402 | 2.15% | — |
| 33 | ECL | Ecolab Inc. | Basic Materials | 0.140 | 2.12% | — |
| 34 | WAT | Waters Corporation | Healthcare | 0.141 | 2.09% | — |
| 35 | XLNX | Xilinx, Inc. | Technology | — | 1.57% | — |
| 36 | ANSS | ANSYS, Inc. | Technology | 0.547 | 1.30% | — |
| 37 | NRG | NRG Energy, Inc. | Utilities | -0.073 | 1.10% | — |
| 38 | WDC | Western Digital Corporation | Technology | -0.187 | 1.01% | — |
| 39 | EQR | Equity Residential | Real Estate | -0.203 | 0.55% | — |
| 40 | MET | MetLife, Inc. | Financial Services | -0.395 | 0.42% | — |
| 41 | CMA | Comerica Incorporated | Financial Services | -0.320 | 0.33% | — |
Short book
21 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DAL | Delta Air Lines, Inc. | Industrials | -0.301 | -1.70% | — |
| 2 | VNO | Vornado Realty Trust | Real Estate | -0.351 | -1.65% | — |
| 3 | AAL | American Airlines Group Inc. | Industrials | -0.235 | -1.54% | — |
| 4 | UAL | United Airlines Holdings, Inc. | Industrials | -0.185 | -1.49% | — |
| 5 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.130 | -1.40% | — |
| 6 | TMUS | T-Mobile US, Inc. | Communication Services | -0.123 | -1.38% | — |
| 7 | DISH | DISH Network Corporation | Communication Services | -0.259 | -1.32% | — |
| 8 | MGM | MGM Resorts International | Consumer Cyclical | -0.639 | -1.24% | — |
| 9 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.169 | -1.23% | — |
| 10 | HWM | Howmet Aerospace Inc. | Industrials | -0.125 | -1.22% | — |
| 11 | PRGO | — | — | — | -0.98% | — |
| 12 | MPC | Marathon Petroleum Corporation | Energy | -0.625 | -0.97% | — |
| 13 | CI | Cigna Corporation | Healthcare | -0.368 | -0.96% | — |
| 14 | K | Kellanova | Consumer Defensive | 0.021 | -0.94% | — |
| 15 | DXC | DXC Technology Company | Technology | -0.281 | -0.92% | — |
| 16 | FANG | Diamondback Energy, Inc. | Energy | -0.961 | -0.76% | — |
| 17 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.075 | -0.67% | — |
| 18 | LH | Labcorp Holdings Inc. | Healthcare | -0.231 | -0.57% | — |
| 19 | BAC | Bank of America Corporation | Financial Services | -0.397 | -0.55% | — |
| 20 | BA | The Boeing Company | Industrials | -0.326 | -0.55% | — |
| 21 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.045 | -0.30% | — |
Sector exposure en el rebalanceo seleccionado
2021-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 64.4% | 0.9% | 63.46% | 21 | 1 |
| Market Hedge | 0.0% | 57.8% | -57.77% | 0 | 1 |
| Healthcare | 23.8% | 2.8% | 21.04% | 8 | 3 |
| Financial Services | 11.8% | 0.6% | 11.25% | 5 | 1 |
| Industrials | 2.8% | 6.5% | -3.74% | 1 | 5 |
| Real Estate | 3.7% | 1.7% | 2.01% | 2 | 1 |
| Consumer Cyclical | 2.6% | 2.6% | -0.07% | 1 | 2 |
| Utilities | 4.1% | 0.0% | 4.12% | 2 | 0 |
| Communication Services | 0.0% | 3.4% | -3.36% | 0 | 3 |
| Basic Materials | 2.1% | 0.0% | 2.12% | 1 | 0 |
| Energy | 0.0% | 1.7% | -1.72% | 0 | 2 |
| Consumer Defensive | 0.0% | 1.2% | -1.25% | 0 | 2 |
| Unknown | 0.0% | 1.0% | -0.98% | 0 | 1 |