Portfolio
lightgbmLGBM 126d fundamental flexible 50 sector45· rebalanceo 2022-05-31
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
36
gross 84.3%
Short book
19
gross -21.0%
Sectores cubiertos
11
55 posiciones
Sortino del run
0.96
Long book
36 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.006 | 3.98% | — |
| 2 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.006 | 3.89% | — |
| 3 | MA | Mastercard Incorporated | Financial Services | 0.004 | 3.88% | — |
| 4 | SYK | Stryker Corporation | Healthcare | 0.006 | 3.61% | — |
| 5 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.004 | 3.49% | — |
| 6 | WAT | Waters Corporation | Healthcare | 0.006 | 3.47% | — |
| 7 | TDG | TransDigm Group Incorporated | Industrials | 0.004 | 3.46% | — |
| 8 | BSX | Boston Scientific Corporation | Healthcare | -0.002 | 3.20% | — |
| 9 | ILMN | Illumina, Inc. | Healthcare | 0.006 | 3.03% | — |
| 10 | SBAC | SBA Communications Corporation | Real Estate | 0.004 | 3.00% | — |
| 11 | ECL | Ecolab Inc. | Basic Materials | 0.004 | 2.98% | — |
| 12 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.006 | 2.92% | — |
| 13 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.006 | 2.81% | — |
| 14 | EW | Edwards Lifesciences Corporation | Healthcare | 0.006 | 2.75% | — |
| 15 | NOW | ServiceNow, Inc. | Technology | 0.006 | 2.17% | — |
| 16 | ADSK | Autodesk, Inc. | Technology | 0.006 | 2.15% | — |
| 17 | VRSN | VeriSign, Inc. | Technology | 0.006 | 2.15% | — |
| 18 | ADBE | Adobe Inc. | Technology | 0.006 | 2.09% | — |
| 19 | CRM | Salesforce, Inc. | Technology | 0.006 | 2.09% | — |
| 20 | MSFT | Microsoft Corporation | Technology | 0.006 | 2.07% | — |
| 21 | CDNS | Cadence Design Systems, Inc. | Technology | 0.006 | 2.05% | — |
| 22 | GRMN | Garmin Ltd. | Technology | 0.006 | 2.04% | — |
| 23 | ANSS | ANSYS, Inc. | Technology | 0.006 | 1.98% | — |
| 24 | INTU | Intuit Inc. | Technology | 0.006 | 1.97% | — |
| 25 | ATVI | Activision Blizzard, Inc. | Technology | 0.006 | 1.88% | — |
| 26 | FFIV | F5, Inc. | Technology | 0.006 | 1.87% | — |
| 27 | AEE | Ameren Corporation | Utilities | 0.000 | 1.78% | — |
| 28 | CSCO | Cisco Systems, Inc. | Technology | 0.006 | 1.69% | — |
| 29 | INTC | Intel Corporation | Technology | 0.006 | 1.64% | — |
| 30 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.006 | 1.60% | — |
| 31 | FTNT | Fortinet, Inc. | Technology | -0.002 | 1.41% | — |
| 32 | AMD | Advanced Micro Devices, Inc. | Technology | 0.006 | 1.28% | — |
| 33 | NTAP | NetApp, Inc. | Technology | 0.006 | 1.23% | — |
| 34 | WDC | Western Digital Corporation | Technology | -0.004 | 1.03% | — |
| 35 | PGR | The Progressive Corporation | Financial Services | -0.001 | 0.99% | — |
| 36 | HPQ | HP Inc. | Technology | 0.000 | 0.65% | — |
Short book
19 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HAL | Halliburton Company | Energy | -0.006 | -1.67% | — |
| 2 | MPC | Marathon Petroleum Corporation | Energy | -0.014 | -1.66% | — |
| 3 | WMB | The Williams Companies, Inc. | Energy | 0.004 | -1.56% | — |
| 4 | CI | Cigna Corporation | Healthcare | 0.000 | -1.56% | — |
| 5 | BAC | Bank of America Corporation | Financial Services | -0.002 | -1.49% | — |
| 6 | SLB | SLB N.V. | Energy | -0.001 | -1.36% | — |
| 7 | CAH | Cardinal Health, Inc. | Healthcare | -0.001 | -1.31% | — |
| 8 | KMI | Kinder Morgan, Inc. | Energy | 0.004 | -1.31% | — |
| 9 | DD | DuPont de Nemours, Inc. | Basic Materials | 0.000 | -1.23% | — |
| 10 | BKR | Baker Hughes Company | Energy | -0.006 | -1.15% | — |
| 11 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.002 | -1.15% | — |
| 12 | MGM | MGM Resorts International | Consumer Cyclical | -0.014 | -0.98% | — |
| 13 | BA | The Boeing Company | Industrials | -0.006 | -0.97% | — |
| 14 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.008 | -0.79% | — |
| 15 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | -0.006 | -0.78% | — |
| 16 | TMUS | T-Mobile US, Inc. | Communication Services | 0.004 | -0.57% | — |
| 17 | IRM | Iron Mountain Incorporated | Real Estate | 0.004 | -0.56% | — |
| 18 | OKE | ONEOK, Inc. | Energy | 0.000 | -0.55% | — |
| 19 | K | Kellanova | Consumer Defensive | 0.000 | -0.31% | — |
Sector exposure en el rebalanceo seleccionado
2022-05-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 35.0% | 0.0% | 35.04% | 20 | 0 |
| Healthcare | 26.4% | 3.6% | 22.73% | 8 | 3 |
| Financial Services | 8.8% | 3.4% | 5.41% | 3 | 3 |
| Energy | 0.0% | 9.3% | -9.26% | 0 | 7 |
| Industrials | 3.5% | 1.0% | 2.49% | 1 | 1 |
| Basic Materials | 3.0% | 1.2% | 1.75% | 1 | 1 |
| Consumer Cyclical | 2.8% | 1.0% | 1.83% | 1 | 1 |
| Real Estate | 3.0% | 0.6% | 2.44% | 1 | 1 |
| Utilities | 1.8% | 0.0% | 1.78% | 1 | 0 |
| Communication Services | 0.0% | 0.6% | -0.57% | 0 | 1 |
| Consumer Defensive | 0.0% | 0.3% | -0.31% | 0 | 1 |