Portfolio
lightgbmLGBM· rebalanceo 2025-02-28
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
72 rebalanceosSnapshot (histórico)
Long book
15
gross 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
6
30 posiciones
Sortino del run
0.29
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
8.05%
Short avg
-2.87%
bajar = bueno para el short
Spread long − short
10.91%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MCHP | Microchip Technology Incorporated | Technology | 0.021 | 3.33% | 4.25% |
| 2 | BX | Blackstone Inc. | Financial Services | 0.020 | 3.33% | -12.58% |
| 3 | AVGO | Broadcom Inc. | Technology | 0.018 | 3.33% | 28.62% |
| 4 | INTC | Intel Corporation | Technology | 0.017 | 3.33% | -14.15% |
| 5 | OTIS | Otis Worldwide Corporation | Industrials | 0.017 | 3.33% | -6.25% |
| 6 | CDNS | Cadence Design Systems, Inc. | Technology | 0.016 | 3.33% | 19.07% |
| 7 | WDAY | Workday, Inc. | Technology | 0.016 | 3.33% | -2.72% |
| 8 | ADSK | Autodesk, Inc. | Technology | 0.016 | 3.33% | 8.19% |
| 9 | PLTR | Palantir Technologies Inc. | Technology | 0.016 | 3.33% | 45.92% |
| 10 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.016 | 3.33% | 14.68% |
| 11 | INTU | Intuit Inc. | Technology | 0.016 | 3.33% | 24.29% |
| 12 | NOW | ServiceNow, Inc. | Technology | 0.016 | 3.33% | 10.60% |
| 13 | SWKS | Skyworks Solutions, Inc. | Technology | 0.016 | 3.33% | 6.07% |
| 14 | ADI | Analog Devices, Inc. | Technology | 0.015 | 3.33% | -5.46% |
| 15 | JNPR | Juniper Networks, Inc. | Technology | 0.015 | 3.33% | 0.17% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WFC | Wells Fargo & Company | Financial Services | -0.019 | -3.33% | -2.50% |
| 2 | HBAN | Huntington Bancshares Incorporated | Financial Services | -0.019 | -3.33% | -2.83% |
| 3 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.019 | -3.33% | 1.33% |
| 4 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.019 | -3.33% | -0.59% |
| 5 | NTRS | Northern Trust Corporation | Financial Services | -0.019 | -3.33% | -2.08% |
| 6 | TFC | Truist Financial Corporation | Financial Services | -0.019 | -3.33% | -13.35% |
| 7 | BKNG | Booking Holdings Inc. | Consumer Cyclical | -0.018 | -3.33% | 11.52% |
| 8 | CLX | The Clorox Company | Consumer Defensive | -0.018 | -3.33% | -17.07% |
| 9 | MET | MetLife, Inc. | Financial Services | -0.017 | -3.33% | -7.80% |
| 10 | PFG | Principal Financial Group, Inc. | Financial Services | -0.014 | -3.33% | -12.24% |
| 11 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | -0.014 | -3.33% | 8.98% |
| 12 | RL | Ralph Lauren Corporation | Consumer Cyclical | -0.013 | -3.33% | 5.41% |
| 13 | AMP | Ameriprise Financial, Inc. | Financial Services | -0.013 | -3.33% | -3.85% |
| 14 | STT | State Street Corporation | Financial Services | -0.013 | -3.33% | 0.07% |
| 15 | RF | Regions Financial Corporation | Financial Services | -0.013 | -3.33% | -8.02% |
Sector exposure en el rebalanceo seleccionado
2025-02-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 43.3% | 0.0% | 43.33% | 13 | 0 |
| Financial Services | 3.3% | 36.7% | -33.33% | 1 | 11 |
| Consumer Cyclical | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |