Portfolio
lightgbmLGBM 126d fundamental flexible· 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
28
gross 61.4%
Short book
21
gross -21.7%
Sectores cubiertos
11
49 posiciones
Sortino del run
0.64
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.535 | 3.83% | — |
| 2 | MA | Mastercard Incorporated | Financial Services | 0.388 | 3.81% | — |
| 3 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.383 | 3.36% | — |
| 4 | ILMN | Illumina, Inc. | Healthcare | 0.392 | 3.34% | — |
| 5 | EW | Edwards Lifesciences Corporation | Healthcare | 0.301 | 3.27% | — |
| 6 | SBAC | SBA Communications Corporation | Real Estate | 0.254 | 3.11% | — |
| 7 | AEE | Ameren Corporation | Utilities | 0.225 | 3.02% | — |
| 8 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.379 | 3.01% | — |
| 9 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.286 | 2.58% | — |
| 10 | VRSN | VeriSign, Inc. | Technology | 0.585 | 2.17% | — |
| 11 | ADBE | Adobe Inc. | Technology | 0.459 | 2.13% | — |
| 12 | ECL | Ecolab Inc. | Basic Materials | 0.140 | 2.12% | — |
| 13 | WAT | Waters Corporation | Healthcare | 0.141 | 2.09% | — |
| 14 | CRM | Salesforce, Inc. | Technology | 0.502 | 2.09% | — |
| 15 | INTU | Intuit Inc. | Technology | 0.346 | 2.08% | — |
| 16 | AMD | Advanced Micro Devices, Inc. | Technology | 0.634 | 2.07% | — |
| 17 | MSFT | Microsoft Corporation | Technology | 0.424 | 2.03% | — |
| 18 | GRMN | Garmin Ltd. | Technology | 0.323 | 2.02% | — |
| 19 | CSCO | Cisco Systems, Inc. | Technology | 0.193 | 1.96% | — |
| 20 | INTC | Intel Corporation | Technology | 0.264 | 1.93% | — |
| 21 | FFIV | F5, Inc. | Technology | 0.175 | 1.76% | — |
| 22 | HPQ | HP Inc. | Technology | 0.061 | 1.35% | — |
| 23 | TDG | TransDigm Group Incorporated | Industrials | 0.467 | 1.30% | — |
| 24 | NOW | ServiceNow, Inc. | Technology | 0.596 | 1.22% | — |
| 25 | NTAP | NetApp, Inc. | Technology | 0.011 | 1.21% | — |
| 26 | NRG | NRG Energy, Inc. | Utilities | -0.073 | 1.10% | — |
| 27 | XLNX | Xilinx, Inc. | Technology | — | 0.84% | — |
| 28 | WDC | Western Digital Corporation | Technology | -0.187 | 0.54% | — |
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 | FANG | Diamondback Energy, Inc. | Energy | -0.961 | -0.76% | — |
| 16 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.075 | -0.67% | — |
| 17 | LH | Labcorp Holdings Inc. | Healthcare | -0.231 | -0.57% | — |
| 18 | BAC | Bank of America Corporation | Financial Services | -0.397 | -0.55% | — |
| 19 | BA | The Boeing Company | Industrials | -0.326 | -0.55% | — |
| 20 | DXC | DXC Technology Company | Technology | -0.281 | -0.31% | — |
| 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 | 25.4% | 0.3% | 25.10% | 15 | 1 |
| Healthcare | 15.1% | 2.8% | 12.31% | 5 | 3 |
| Financial Services | 7.6% | 0.6% | 7.09% | 2 | 1 |
| Industrials | 1.3% | 6.5% | -5.20% | 1 | 5 |
| Consumer Cyclical | 2.6% | 2.6% | -0.07% | 1 | 2 |
| Real Estate | 3.1% | 1.7% | 1.46% | 1 | 1 |
| 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 |