Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2025-03-31
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
72 rebalanceosSnapshot (histórico)
Long book
15
gross 32.0%
Short book
15
gross -68.0%
Sectores cubiertos
8
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
21.12%
Short avg
9.40%
bajar = bueno para el short
Spread long − short
11.72%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MCHP | Microchip Technology Incorporated | Technology | 0.023 | 2.14% | 41.87% |
| 2 | MA | Mastercard Incorporated | Financial Services | 0.021 | 2.14% | 2.50% |
| 3 | INTC | Intel Corporation | Technology | 0.019 | 2.14% | -0.77% |
| 4 | CDNS | Cadence Design Systems, Inc. | Technology | 0.018 | 2.14% | 18.36% |
| 5 | PLTR | Palantir Technologies Inc. | Technology | 0.018 | 2.14% | 44.48% |
| 6 | INTU | Intuit Inc. | Technology | 0.018 | 2.14% | 23.33% |
| 7 | NOW | ServiceNow, Inc. | Technology | 0.018 | 2.14% | 21.85% |
| 8 | ANSS | ANSYS, Inc. | Technology | 0.018 | 2.14% | 9.63% |
| 9 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.018 | 2.14% | 27.56% |
| 10 | AVGO | Broadcom Inc. | Technology | 0.018 | 2.14% | 47.33% |
| 11 | TER | Teradyne, Inc. | Technology | 0.018 | 2.14% | 13.28% |
| 12 | SWKS | Skyworks Solutions, Inc. | Technology | 0.018 | 2.14% | 20.05% |
| 13 | OTIS | Otis Worldwide Corporation | Industrials | 0.017 | 2.14% | -3.74% |
| 14 | AMD | Advanced Micro Devices, Inc. | Technology | 0.016 | 2.14% | 29.84% |
| 15 | ADI | Analog Devices, Inc. | Technology | 0.012 | 2.14% | 21.22% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BKNG | Booking Holdings Inc. | Consumer Cyclical | -0.022 | -4.53% | 19.80% |
| 2 | CLX | The Clorox Company | Consumer Defensive | -0.022 | -4.53% | -16.24% |
| 3 | K | Kellanova | Consumer Defensive | -0.019 | -4.53% | -2.38% |
| 4 | NTRS | Northern Trust Corporation | Financial Services | -0.019 | -4.53% | 30.59% |
| 5 | HBAN | Huntington Bancshares Incorporated | Financial Services | -0.019 | -4.53% | 16.13% |
| 6 | WFC | Wells Fargo & Company | Financial Services | -0.019 | -4.53% | 14.96% |
| 7 | TFC | Truist Financial Corporation | Financial Services | -0.019 | -4.53% | 10.64% |
| 8 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.019 | -4.53% | 10.08% |
| 9 | ETR | Entergy Corporation | Utilities | -0.018 | -4.53% | -4.48% |
| 10 | RL | Ralph Lauren Corporation | Consumer Cyclical | -0.018 | -4.53% | 18.50% |
| 11 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | -0.017 | -4.53% | 13.09% |
| 12 | MET | MetLife, Inc. | Financial Services | -0.017 | -4.53% | -0.50% |
| 13 | FSLR | First Solar, Inc. | Energy | -0.016 | -4.53% | 29.02% |
| 14 | OKE | ONEOK, Inc. | Energy | -0.015 | -4.53% | -17.92% |
| 15 | META | Meta Platforms, Inc. | Communication Services | -0.015 | -4.53% | 19.77% |
Sector exposure en el rebalanceo seleccionado
2025-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 2.1% | 27.2% | -25.05% | 1 | 6 |
| Technology | 27.8% | 0.0% | 27.76% | 13 | 0 |
| Communication Services | 0.0% | 9.1% | -9.06% | 0 | 2 |
| Consumer Cyclical | 0.0% | 9.1% | -9.06% | 0 | 2 |
| Consumer Defensive | 0.0% | 9.1% | -9.06% | 0 | 2 |
| Energy | 0.0% | 9.1% | -9.06% | 0 | 2 |
| Utilities | 0.0% | 4.5% | -4.53% | 0 | 1 |
| Industrials | 2.1% | 0.0% | 2.14% | 1 | 0 |