Portfolio
lightgbmLGBM 126d fundamental flexible uncapped· rebalanceo 2022-04-29
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
26
gross 82.0%
Short book
19
gross -21.0%
Sectores cubiertos
11
45 posiciones
Sortino del run
0.96
Long book
26 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.006 | 3.96% | — |
| 2 | VRSN | VeriSign, Inc. | Technology | 0.006 | 3.93% | — |
| 3 | NOW | ServiceNow, Inc. | Technology | 0.006 | 3.88% | — |
| 4 | MA | Mastercard Incorporated | Financial Services | -0.001 | 3.88% | — |
| 5 | CRM | Salesforce, Inc. | Technology | 0.006 | 3.88% | — |
| 6 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.006 | 3.86% | — |
| 7 | ADBE | Adobe Inc. | Technology | 0.006 | 3.83% | — |
| 8 | MSFT | Microsoft Corporation | Technology | 0.006 | 3.78% | — |
| 9 | GRMN | Garmin Ltd. | Technology | 0.006 | 3.71% | — |
| 10 | INTU | Intuit Inc. | Technology | 0.006 | 3.63% | — |
| 11 | WAT | Waters Corporation | Healthcare | 0.006 | 3.42% | — |
| 12 | TDG | TransDigm Group Incorporated | Industrials | 0.004 | 3.40% | — |
| 13 | FFIV | F5, Inc. | Technology | 0.006 | 3.35% | — |
| 14 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.006 | 3.14% | — |
| 15 | ILMN | Illumina, Inc. | Healthcare | 0.006 | 3.04% | — |
| 16 | CSCO | Cisco Systems, Inc. | Technology | 0.006 | 3.03% | — |
| 17 | INTC | Intel Corporation | Technology | 0.006 | 3.03% | — |
| 18 | SBAC | SBA Communications Corporation | Real Estate | 0.004 | 3.03% | — |
| 19 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.006 | 2.90% | — |
| 20 | ECL | Ecolab Inc. | Basic Materials | 0.004 | 2.90% | — |
| 21 | EW | Edwards Lifesciences Corporation | Healthcare | 0.006 | 2.81% | — |
| 22 | AMD | Advanced Micro Devices, Inc. | Technology | -0.004 | 2.59% | — |
| 23 | NTAP | NetApp, Inc. | Technology | 0.006 | 2.11% | — |
| 24 | WDC | Western Digital Corporation | Technology | -0.004 | 1.92% | — |
| 25 | AEE | Ameren Corporation | Utilities | 0.000 | 1.85% | — |
| 26 | HPQ | HP Inc. | Technology | 0.000 | 1.11% | — |
Short book
19 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MPC | Marathon Petroleum Corporation | Energy | -0.014 | -1.67% | — |
| 2 | HAL | Halliburton Company | Energy | -0.006 | -1.61% | — |
| 3 | CI | Cigna Corporation | Healthcare | 0.000 | -1.58% | — |
| 4 | BAC | Bank of America Corporation | Financial Services | -0.002 | -1.52% | — |
| 5 | WMB | The Williams Companies, Inc. | Energy | 0.000 | -1.49% | — |
| 6 | MGM | MGM Resorts International | Consumer Cyclical | -0.014 | -1.47% | — |
| 7 | DD | DuPont de Nemours, Inc. | Basic Materials | 0.000 | -1.24% | — |
| 8 | SLB | SLB N.V. | Energy | 0.000 | -1.19% | — |
| 9 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.002 | -1.18% | — |
| 10 | DXC | DXC Technology Company | Technology | 0.004 | -1.18% | — |
| 11 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.002 | -1.16% | — |
| 12 | KMI | Kinder Morgan, Inc. | Energy | 0.004 | -1.15% | — |
| 13 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.002 | -1.06% | — |
| 14 | BKR | Baker Hughes Company | Energy | -0.006 | -0.91% | — |
| 15 | BA | The Boeing Company | Industrials | -0.006 | -0.90% | — |
| 16 | K | Kellanova | Consumer Defensive | 0.000 | -0.47% | — |
| 17 | VNO | Vornado Realty Trust | Real Estate | 0.004 | -0.43% | — |
| 18 | TMUS | T-Mobile US, Inc. | Communication Services | 0.004 | -0.37% | — |
| 19 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.014 | -0.36% | — |
Sector exposure en el rebalanceo seleccionado
2022-04-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 43.8% | 1.2% | 42.62% | 14 | 1 |
| Healthcare | 16.3% | 2.7% | 13.53% | 5 | 2 |
| Financial Services | 7.8% | 3.8% | 4.09% | 2 | 3 |
| Energy | 0.0% | 8.0% | -8.03% | 0 | 6 |
| Consumer Cyclical | 2.9% | 1.5% | 1.44% | 1 | 1 |
| Industrials | 3.4% | 0.9% | 2.49% | 1 | 1 |
| Basic Materials | 2.9% | 1.2% | 1.66% | 1 | 1 |
| Real Estate | 3.0% | 0.4% | 2.60% | 1 | 1 |
| Utilities | 1.9% | 0.0% | 1.85% | 1 | 0 |
| Communication Services | 0.0% | 0.7% | -0.74% | 0 | 2 |
| Consumer Defensive | 0.0% | 0.5% | -0.47% | 0 | 1 |