Portfolio
lightgbmLGBM 126d fundamental flexible· 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
28
gross 62.8%
Short book
20
gross -22.3%
Sectores cubiertos
11
48 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 | 0.532 | 3.88% | — |
| 2 | MA | Mastercard Incorporated | Financial Services | 0.381 | 3.81% | — |
| 3 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.371 | 3.48% | — |
| 4 | ILMN | Illumina, Inc. | Healthcare | 0.360 | 3.47% | — |
| 5 | EW | Edwards Lifesciences Corporation | Healthcare | 0.322 | 3.37% | — |
| 6 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.356 | 3.23% | — |
| 7 | SBAC | SBA Communications Corporation | Real Estate | 0.151 | 3.02% | — |
| 8 | AEE | Ameren Corporation | Utilities | 0.094 | 2.86% | — |
| 9 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.246 | 2.81% | — |
| 10 | WAT | Waters Corporation | Healthcare | 0.260 | 2.28% | — |
| 11 | VRSN | VeriSign, Inc. | Technology | 0.665 | 2.20% | — |
| 12 | TDG | TransDigm Group Incorporated | Industrials | 0.534 | 2.18% | — |
| 13 | ADBE | Adobe Inc. | Technology | 0.508 | 2.15% | — |
| 14 | ECL | Ecolab Inc. | Basic Materials | 0.041 | 2.15% | — |
| 15 | AMD | Advanced Micro Devices, Inc. | Technology | 0.563 | 2.13% | — |
| 16 | CRM | Salesforce, Inc. | Technology | 0.464 | 2.13% | — |
| 17 | INTU | Intuit Inc. | Technology | 0.337 | 2.09% | — |
| 18 | MSFT | Microsoft Corporation | Technology | 0.382 | 2.08% | — |
| 19 | GRMN | Garmin Ltd. | Technology | 0.387 | 2.04% | — |
| 20 | INTC | Intel Corporation | Technology | 0.216 | 1.91% | — |
| 21 | CSCO | Cisco Systems, Inc. | Technology | 0.201 | 1.89% | — |
| 22 | FFIV | F5, Inc. | Technology | 0.236 | 1.75% | — |
| 23 | NOW | ServiceNow, Inc. | Technology | 0.632 | 1.56% | — |
| 24 | HPQ | HP Inc. | Technology | 0.240 | 1.43% | — |
| 25 | NTAP | NetApp, Inc. | Technology | 0.168 | 1.26% | — |
| 26 | NRG | NRG Energy, Inc. | Utilities | 0.008 | 0.74% | — |
| 27 | XLNX | Xilinx, Inc. | Technology | — | 0.56% | — |
| 28 | WDC | Western Digital Corporation | Technology | 0.003 | 0.36% | — |
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 | K | Kellanova | Consumer Defensive | -0.136 | -0.97% | — |
| 14 | BAC | Bank of America Corporation | Financial Services | -0.281 | -0.91% | — |
| 15 | BA | The Boeing Company | Industrials | -0.134 | -0.85% | — |
| 16 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.215 | -0.81% | — |
| 17 | PRGO | — | — | — | -0.66% | — |
| 18 | FANG | Diamondback Energy, Inc. | Energy | -0.986 | -0.51% | — |
| 19 | DXC | DXC Technology Company | Technology | -0.170 | -0.49% | — |
| 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 | 25.6% | 0.5% | 25.07% | 15 | 1 |
| Healthcare | 15.8% | 2.8% | 13.01% | 5 | 3 |
| Industrials | 2.2% | 6.8% | -4.64% | 1 | 5 |
| Financial Services | 7.7% | 0.9% | 6.78% | 2 | 1 |
| Consumer Cyclical | 2.8% | 2.8% | 0.01% | 1 | 2 |
| Real Estate | 3.0% | 1.7% | 1.36% | 1 | 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 |