Portfolio
lightgbmLGBM 126d flexible 50 beta60· rebalanceo 2021-10-29
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
39
gross 116.4%
Short book
20
gross -22.9%
Sectores cubiertos
12
60 posiciones
Sortino del run
0.81
Long book
39 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VRSN | VeriSign, Inc. | Technology | 0.665 | 3.99% | — |
| 2 | CDNS | Cadence Design Systems, Inc. | Technology | 0.472 | 3.91% | — |
| 3 | ADBE | Adobe Inc. | Technology | 0.508 | 3.90% | — |
| 4 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.532 | 3.88% | — |
| 5 | AMD | Advanced Micro Devices, Inc. | Technology | 0.563 | 3.86% | — |
| 6 | CRM | Salesforce, Inc. | Technology | 0.464 | 3.85% | — |
| 7 | MA | Mastercard Incorporated | Financial Services | 0.381 | 3.81% | — |
| 8 | INTU | Intuit Inc. | Technology | 0.337 | 3.78% | — |
| 9 | MSFT | Microsoft Corporation | Technology | 0.382 | 3.78% | — |
| 10 | GRMN | Garmin Ltd. | Technology | 0.387 | 3.70% | — |
| 11 | NOW | ServiceNow, Inc. | Technology | 0.632 | 3.63% | — |
| 12 | SYK | Stryker Corporation | Healthcare | 0.330 | 3.51% | — |
| 13 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.371 | 3.48% | — |
| 14 | ILMN | Illumina, Inc. | Healthcare | 0.360 | 3.47% | — |
| 15 | INTC | Intel Corporation | Technology | 0.216 | 3.47% | — |
| 16 | CSCO | Cisco Systems, Inc. | Technology | 0.201 | 3.44% | — |
| 17 | PGR | The Progressive Corporation | Financial Services | 0.248 | 3.38% | — |
| 18 | EW | Edwards Lifesciences Corporation | Healthcare | 0.322 | 3.37% | — |
| 19 | FTNT | Fortinet, Inc. | Technology | 0.176 | 3.25% | — |
| 20 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.356 | 3.23% | — |
| 21 | FFIV | F5, Inc. | Technology | 0.236 | 3.18% | — |
| 22 | TDG | TransDigm Group Incorporated | Industrials | 0.534 | 3.16% | — |
| 23 | ADSK | Autodesk, Inc. | Technology | 0.462 | 3.14% | — |
| 24 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.313 | 3.07% | — |
| 25 | SBAC | SBA Communications Corporation | Real Estate | 0.151 | 3.02% | — |
| 26 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.165 | 2.99% | — |
| 27 | AEE | Ameren Corporation | Utilities | 0.094 | 2.86% | — |
| 28 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.246 | 2.81% | — |
| 29 | ATVI | Activision Blizzard, Inc. | Technology | 0.473 | 2.71% | — |
| 30 | HPQ | HP Inc. | Technology | 0.240 | 2.60% | — |
| 31 | BSX | Boston Scientific Corporation | Healthcare | 0.108 | 2.42% | — |
| 32 | NTAP | NetApp, Inc. | Technology | 0.168 | 2.28% | — |
| 33 | WAT | Waters Corporation | Healthcare | 0.260 | 2.28% | — |
| 34 | ANSS | ANSYS, Inc. | Technology | 0.469 | 2.17% | — |
| 35 | ECL | Ecolab Inc. | Basic Materials | 0.041 | 2.15% | — |
| 36 | XLNX | Xilinx, Inc. | Technology | — | 1.05% | — |
| 37 | NRG | NRG Energy, Inc. | Utilities | 0.008 | 0.74% | — |
| 38 | WDC | Western Digital Corporation | Technology | 0.003 | 0.67% | — |
| 39 | EQR | Equity Residential | Real Estate | -0.185 | 0.37% | — |
Short book
20 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DAL | Delta Air Lines, Inc. | Industrials | -0.248 | -1.68% | — |
| 2 | VNO | Vornado Realty Trust | Real Estate | -0.379 | -1.66% | — |
| 3 | AAL | American Airlines Group Inc. | Industrials | -0.333 | -1.56% | — |
| 4 | UAL | United Airlines Holdings, Inc. | Industrials | -0.307 | -1.53% | — |
| 5 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.199 | -1.40% | — |
| 6 | MGM | MGM Resorts International | Consumer Cyclical | -0.718 | -1.40% | — |
| 7 | TMUS | T-Mobile US, Inc. | Communication Services | -0.244 | -1.33% | — |
| 8 | DISH | DISH Network Corporation | Communication Services | -0.186 | -1.29% | — |
| 9 | MPC | Marathon Petroleum Corporation | Energy | -0.643 | -1.23% | — |
| 10 | CI | Cigna Corporation | Healthcare | -0.459 | -1.23% | — |
| 11 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.093 | -1.20% | — |
| 12 | HWM | Howmet Aerospace Inc. | Industrials | -0.127 | -1.20% | — |
| 13 | DXC | DXC Technology Company | Technology | -0.170 | -1.12% | — |
| 14 | K | Kellanova | Consumer Defensive | -0.136 | -0.97% | — |
| 15 | BAC | Bank of America Corporation | Financial Services | -0.281 | -0.91% | — |
| 16 | BA | The Boeing Company | Industrials | -0.134 | -0.85% | — |
| 17 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.215 | -0.81% | — |
| 18 | PRGO | — | — | — | -0.66% | — |
| 19 | FANG | Diamondback Energy, Inc. | Energy | -0.986 | -0.51% | — |
| 20 | LH | Labcorp Holdings Inc. | Healthcare | -0.123 | -0.38% | — |
Sector exposure en el rebalanceo seleccionado
2021-10-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 65.4% | 1.1% | 64.24% | 21 | 1 |
| Market Hedge | 0.0% | 41.1% | -41.12% | 0 | 1 |
| Healthcare | 24.8% | 2.8% | 22.01% | 8 | 3 |
| Financial Services | 11.1% | 0.9% | 10.16% | 3 | 1 |
| Industrials | 3.2% | 6.8% | -3.66% | 1 | 5 |
| Consumer Cyclical | 2.8% | 2.8% | 0.01% | 1 | 2 |
| Real Estate | 3.4% | 1.7% | 1.73% | 2 | 1 |
| Utilities | 3.6% | 0.0% | 3.61% | 2 | 0 |
| Communication Services | 0.0% | 3.4% | -3.43% | 0 | 3 |
| Basic Materials | 2.2% | 0.0% | 2.15% | 1 | 0 |
| Energy | 0.0% | 1.7% | -1.74% | 0 | 2 |
| Consumer Defensive | 0.0% | 1.0% | -0.97% | 0 | 1 |
| Unknown | 0.0% | 0.7% | -0.66% | 0 | 1 |