Portfolio
lightgbmLGBM 126d fundamental flexible 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
26
gross 73.8%
Short book
19
gross -20.6%
Sectores cubiertos
11
45 posiciones
Sortino del run
0.79
Long book
26 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 | WAT | Waters Corporation | Healthcare | 0.006 | 3.47% | — |
| 5 | TDG | TransDigm Group Incorporated | Industrials | 0.004 | 3.40% | — |
| 6 | NOW | ServiceNow, Inc. | Technology | 0.006 | 3.22% | — |
| 7 | VRSN | VeriSign, Inc. | Technology | 0.006 | 3.21% | — |
| 8 | ADBE | Adobe Inc. | Technology | 0.006 | 3.13% | — |
| 9 | CRM | Salesforce, Inc. | Technology | 0.006 | 3.13% | — |
| 10 | MSFT | Microsoft Corporation | Technology | 0.006 | 3.10% | — |
| 11 | GRMN | Garmin Ltd. | Technology | 0.006 | 3.06% | — |
| 12 | ILMN | Illumina, Inc. | Healthcare | 0.006 | 3.03% | — |
| 13 | SBAC | SBA Communications Corporation | Real Estate | 0.004 | 3.00% | — |
| 14 | ECL | Ecolab Inc. | Basic Materials | 0.004 | 2.98% | — |
| 15 | INTU | Intuit Inc. | Technology | 0.006 | 2.95% | — |
| 16 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.006 | 2.92% | — |
| 17 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.006 | 2.81% | — |
| 18 | FFIV | F5, Inc. | Technology | 0.006 | 2.81% | — |
| 19 | EW | Edwards Lifesciences Corporation | Healthcare | 0.006 | 2.75% | — |
| 20 | CSCO | Cisco Systems, Inc. | Technology | 0.006 | 2.52% | — |
| 21 | INTC | Intel Corporation | Technology | 0.006 | 2.45% | — |
| 22 | AMD | Advanced Micro Devices, Inc. | Technology | 0.006 | 1.92% | — |
| 23 | NTAP | NetApp, Inc. | Technology | 0.006 | 1.84% | — |
| 24 | AEE | Ameren Corporation | Utilities | 0.000 | 1.78% | — |
| 25 | WDC | Western Digital Corporation | Technology | -0.004 | 1.54% | — |
| 26 | HPQ | HP Inc. | Technology | 0.000 | 0.96% | — |
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 | KMI | Kinder Morgan, Inc. | Energy | 0.004 | -1.31% | — |
| 8 | DD | DuPont de Nemours, Inc. | Basic Materials | 0.000 | -1.23% | — |
| 9 | BKR | Baker Hughes Company | Energy | -0.006 | -1.15% | — |
| 10 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.002 | -1.15% | — |
| 11 | MGM | MGM Resorts International | Consumer Cyclical | -0.014 | -0.98% | — |
| 12 | BA | The Boeing Company | Industrials | -0.006 | -0.97% | — |
| 13 | DXC | DXC Technology Company | Technology | 0.004 | -0.91% | — |
| 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 | 35.9% | 0.9% | 34.95% | 14 | 1 |
| Healthcare | 16.1% | 2.3% | 13.74% | 5 | 2 |
| Financial Services | 7.9% | 3.4% | 4.42% | 2 | 3 |
| Energy | 0.0% | 9.3% | -9.26% | 0 | 7 |
| Industrials | 3.4% | 1.0% | 2.43% | 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 |