Portfolio
lightgbmLGBM 126d flexible 50 beta40· rebalanceo 2021-12-31
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 118.8%
Short book
20
gross -21.7%
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 | 0.467 | 3.98% | — |
| 2 | CRM | Salesforce, Inc. | Technology | 0.475 | 3.91% | — |
| 3 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.493 | 3.91% | — |
| 4 | ADBE | Adobe Inc. | Technology | 0.480 | 3.89% | — |
| 5 | AMD | Advanced Micro Devices, Inc. | Technology | 0.415 | 3.89% | — |
| 6 | CDNS | Cadence Design Systems, Inc. | Technology | 0.416 | 3.88% | — |
| 7 | MA | Mastercard Incorporated | Financial Services | 0.474 | 3.86% | — |
| 8 | NOW | ServiceNow, Inc. | Technology | 0.616 | 3.83% | — |
| 9 | MSFT | Microsoft Corporation | Technology | 0.407 | 3.79% | — |
| 10 | GRMN | Garmin Ltd. | Technology | 0.364 | 3.70% | — |
| 11 | INTU | Intuit Inc. | Technology | 0.336 | 3.64% | — |
| 12 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.417 | 3.63% | — |
| 13 | SYK | Stryker Corporation | Healthcare | 0.335 | 3.60% | — |
| 14 | ADSK | Autodesk, Inc. | Technology | 0.629 | 3.59% | — |
| 15 | TDG | TransDigm Group Incorporated | Industrials | 0.432 | 3.58% | — |
| 16 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.414 | 3.54% | — |
| 17 | INTC | Intel Corporation | Technology | 0.323 | 3.48% | — |
| 18 | EW | Edwards Lifesciences Corporation | Healthcare | 0.221 | 3.45% | — |
| 19 | ILMN | Illumina, Inc. | Healthcare | 0.212 | 3.41% | — |
| 20 | PGR | The Progressive Corporation | Financial Services | 0.276 | 3.39% | — |
| 21 | ATVI | Activision Blizzard, Inc. | Technology | 0.390 | 3.33% | — |
| 22 | CSCO | Cisco Systems, Inc. | Technology | 0.236 | 3.32% | — |
| 23 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.195 | 3.25% | — |
| 24 | FFIV | F5, Inc. | Technology | 0.220 | 3.14% | — |
| 25 | ANSS | ANSYS, Inc. | Technology | 0.447 | 3.11% | — |
| 26 | FTNT | Fortinet, Inc. | Technology | 0.113 | 3.06% | — |
| 27 | SBAC | SBA Communications Corporation | Real Estate | 0.191 | 3.03% | — |
| 28 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.206 | 3.01% | — |
| 29 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.198 | 2.90% | — |
| 30 | WAT | Waters Corporation | Healthcare | 0.266 | 2.89% | — |
| 31 | AEE | Ameren Corporation | Utilities | 0.162 | 2.80% | — |
| 32 | BSX | Boston Scientific Corporation | Healthcare | 0.211 | 2.72% | — |
| 33 | NTAP | NetApp, Inc. | Technology | 0.120 | 2.39% | — |
| 34 | HPQ | HP Inc. | Technology | -0.106 | 2.00% | — |
| 35 | ECL | Ecolab Inc. | Basic Materials | 0.033 | 1.99% | — |
| 36 | WDC | Western Digital Corporation | Technology | 0.006 | 1.17% | — |
| 37 | XLNX | Xilinx, Inc. | Technology | — | 0.47% | — |
| 38 | NRG | NRG Energy, Inc. | Utilities | -0.055 | 0.33% | — |
Short book
20 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MPC | Marathon Petroleum Corporation | Energy | -0.459 | -1.54% | — |
| 2 | VNO | Vornado Realty Trust | Real Estate | -0.244 | -1.52% | — |
| 3 | MGM | MGM Resorts International | Consumer Cyclical | -0.207 | -1.52% | — |
| 4 | CI | Cigna Corporation | Healthcare | -0.361 | -1.51% | — |
| 5 | AAL | American Airlines Group Inc. | Industrials | 0.018 | -1.45% | — |
| 6 | DXC | DXC Technology Company | Technology | -0.275 | -1.41% | — |
| 7 | DAL | Delta Air Lines, Inc. | Industrials | -0.070 | -1.39% | — |
| 8 | BAC | Bank of America Corporation | Financial Services | -0.380 | -1.31% | — |
| 9 | TMUS | T-Mobile US, Inc. | Communication Services | -0.154 | -1.30% | — |
| 10 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.351 | -1.14% | — |
| 11 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.229 | -1.13% | — |
| 12 | K | Kellanova | Consumer Defensive | -0.084 | -1.02% | — |
| 13 | UAL | United Airlines Holdings, Inc. | Industrials | 0.034 | -0.97% | — |
| 14 | HAL | Halliburton Company | Energy | -0.422 | -0.96% | — |
| 15 | BA | The Boeing Company | Industrials | -0.050 | -0.66% | — |
| 16 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.208 | -0.63% | — |
| 17 | DISH | DISH Network Corporation | Communication Services | -0.010 | -0.58% | — |
| 18 | DD | DuPont de Nemours, Inc. | Basic Materials | -0.465 | -0.57% | — |
| 19 | WMB | The Williams Companies, Inc. | Energy | -0.364 | -0.56% | — |
| 20 | HWM | Howmet Aerospace Inc. | Industrials | 0.013 | -0.54% | — |
Sector exposure en el rebalanceo seleccionado
2021-12-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Market Hedge | 0.0% | 75.0% | -75.00% | 0 | 1 |
| Technology | 66.6% | 1.4% | 65.15% | 21 | 1 |
| Healthcare | 26.5% | 2.6% | 23.84% | 8 | 2 |
| Financial Services | 11.2% | 1.3% | 9.86% | 3 | 1 |
| Industrials | 3.6% | 5.0% | -1.44% | 1 | 5 |
| Consumer Cyclical | 2.9% | 2.2% | 0.74% | 1 | 2 |
| Real Estate | 3.0% | 1.5% | 1.50% | 1 | 1 |
| Utilities | 3.1% | 0.0% | 3.13% | 2 | 0 |
| Energy | 0.0% | 3.1% | -3.06% | 0 | 3 |
| Communication Services | 0.0% | 3.0% | -3.02% | 0 | 3 |
| Basic Materials | 2.0% | 0.6% | 1.43% | 1 | 1 |
| Consumer Defensive | 0.0% | 1.0% | -1.02% | 0 | 1 |