Portfolio
lightgbmLGBM 126d flexible 50 beta40· rebalanceo 2021-11-30
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
38
gross 118.1%
Short book
20
gross -22.3%
Sectores cubiertos
12
59 posiciones
Sortino del run
0.51
Long book
38 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VRSN | VeriSign, Inc. | Technology | 0.500 | 3.98% | — |
| 2 | CDNS | Cadence Design Systems, Inc. | Technology | 0.415 | 3.90% | — |
| 3 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.455 | 3.89% | — |
| 4 | AMD | Advanced Micro Devices, Inc. | Technology | 0.416 | 3.89% | — |
| 5 | CRM | Salesforce, Inc. | Technology | 0.608 | 3.89% | — |
| 6 | ADBE | Adobe Inc. | Technology | 0.355 | 3.89% | — |
| 7 | MA | Mastercard Incorporated | Financial Services | 0.514 | 3.84% | — |
| 8 | MSFT | Microsoft Corporation | Technology | 0.423 | 3.80% | — |
| 9 | NOW | ServiceNow, Inc. | Technology | 0.587 | 3.75% | — |
| 10 | GRMN | Garmin Ltd. | Technology | 0.369 | 3.70% | — |
| 11 | INTU | Intuit Inc. | Technology | 0.258 | 3.69% | — |
| 12 | SYK | Stryker Corporation | Healthcare | 0.374 | 3.57% | — |
| 13 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.370 | 3.56% | — |
| 14 | ILMN | Illumina, Inc. | Healthcare | 0.245 | 3.49% | — |
| 15 | INTC | Intel Corporation | Technology | 0.334 | 3.46% | — |
| 16 | EW | Edwards Lifesciences Corporation | Healthcare | 0.356 | 3.45% | — |
| 17 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.432 | 3.42% | — |
| 18 | TDG | TransDigm Group Incorporated | Industrials | 0.498 | 3.41% | — |
| 19 | ADSK | Autodesk, Inc. | Technology | 0.519 | 3.41% | — |
| 20 | PGR | The Progressive Corporation | Financial Services | 0.296 | 3.38% | — |
| 21 | CSCO | Cisco Systems, Inc. | Technology | 0.283 | 3.38% | — |
| 22 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.330 | 3.22% | — |
| 23 | FTNT | Fortinet, Inc. | Technology | 0.267 | 3.22% | — |
| 24 | FFIV | F5, Inc. | Technology | 0.229 | 3.14% | — |
| 25 | ATVI | Activision Blizzard, Inc. | Technology | 0.428 | 3.09% | — |
| 26 | SBAC | SBA Communications Corporation | Real Estate | 0.261 | 3.05% | — |
| 27 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.236 | 3.01% | — |
| 28 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.174 | 2.88% | — |
| 29 | AEE | Ameren Corporation | Utilities | 0.224 | 2.83% | — |
| 30 | ANSS | ANSYS, Inc. | Technology | 0.417 | 2.74% | — |
| 31 | WAT | Waters Corporation | Healthcare | 0.294 | 2.63% | — |
| 32 | BSX | Boston Scientific Corporation | Healthcare | 0.268 | 2.57% | — |
| 33 | HPQ | HP Inc. | Technology | -0.046 | 2.39% | — |
| 34 | NTAP | NetApp, Inc. | Technology | 0.118 | 2.32% | — |
| 35 | ECL | Ecolab Inc. | Basic Materials | 0.049 | 2.11% | — |
| 36 | WDC | Western Digital Corporation | Technology | 0.079 | 0.92% | — |
| 37 | XLNX | Xilinx, Inc. | Technology | — | 0.70% | — |
| 38 | NRG | NRG Energy, Inc. | Utilities | -0.056 | 0.50% | — |
Short book
20 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VNO | Vornado Realty Trust | Real Estate | -0.186 | -1.59% | — |
| 2 | AAL | American Airlines Group Inc. | Industrials | -0.238 | -1.56% | — |
| 3 | DAL | Delta Air Lines, Inc. | Industrials | 0.005 | -1.54% | — |
| 4 | MGM | MGM Resorts International | Consumer Cyclical | -0.238 | -1.49% | — |
| 5 | UAL | United Airlines Holdings, Inc. | Industrials | -0.007 | -1.46% | — |
| 6 | MPC | Marathon Petroleum Corporation | Energy | -0.526 | -1.42% | — |
| 7 | CI | Cigna Corporation | Healthcare | -0.344 | -1.40% | — |
| 8 | TMUS | T-Mobile US, Inc. | Communication Services | -0.156 | -1.31% | — |
| 9 | DXC | DXC Technology Company | Technology | -0.289 | -1.29% | — |
| 10 | BAC | Bank of America Corporation | Financial Services | -0.416 | -1.15% | — |
| 11 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.055 | -1.12% | — |
| 12 | K | Kellanova | Consumer Defensive | -0.095 | -0.99% | — |
| 13 | BA | The Boeing Company | Industrials | -0.064 | -0.99% | — |
| 14 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.276 | -0.98% | — |
| 15 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.261 | -0.94% | — |
| 16 | DISH | DISH Network Corporation | Communication Services | -0.040 | -0.86% | — |
| 17 | HWM | Howmet Aerospace Inc. | Industrials | 0.071 | -0.80% | — |
| 18 | HAL | Halliburton Company | Energy | -0.489 | -0.58% | — |
| 19 | PRGO | — | — | — | -0.44% | — |
| 20 | FANG | Diamondback Energy, Inc. | Energy | -0.929 | -0.34% | — |
Sector exposure en el rebalanceo seleccionado
2021-11-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Market Hedge | 0.0% | 70.6% | -70.58% | 0 | 1 |
| Technology | 66.3% | 1.3% | 64.97% | 21 | 1 |
| Healthcare | 25.9% | 2.5% | 23.38% | 8 | 2 |
| Financial Services | 11.1% | 1.1% | 9.96% | 3 | 1 |
| Industrials | 3.4% | 6.3% | -2.93% | 1 | 5 |
| Consumer Cyclical | 2.9% | 2.4% | 0.45% | 1 | 2 |
| Real Estate | 3.1% | 1.6% | 1.47% | 1 | 1 |
| Utilities | 3.3% | 0.0% | 3.33% | 2 | 0 |
| Communication Services | 0.0% | 3.2% | -3.16% | 0 | 3 |
| Energy | 0.0% | 2.3% | -2.34% | 0 | 3 |
| Basic Materials | 2.1% | 0.0% | 2.11% | 1 | 0 |
| Consumer Defensive | 0.0% | 1.0% | -0.99% | 0 | 1 |
| Unknown | 0.0% | 0.4% | -0.44% | 0 | 1 |