Portfolio
lightgbmLGBM dual tail· 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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
10
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
22.93%
Short avg
13.31%
bajar = bueno para el short
Spread long − short
9.62%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MCHP | Microchip Technology Incorporated | Technology | 0.233 | 3.33% | 41.87% |
| 2 | INTC | Intel Corporation | Technology | 0.233 | 3.33% | -0.77% |
| 3 | ON | ON Semiconductor Corporation | Technology | 0.233 | 3.33% | 33.06% |
| 4 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.233 | 3.33% | 16.19% |
| 5 | CDNS | Cadence Design Systems, Inc. | Technology | 0.231 | 3.33% | 18.36% |
| 6 | REGN | Regeneron Pharmaceuticals, Inc. | Healthcare | 0.230 | 3.33% | -11.76% |
| 7 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.230 | 3.33% | 27.14% |
| 8 | NUE | Nucor Corporation | Basic Materials | 0.229 | 3.33% | 15.29% |
| 9 | AXON | Axon Enterprise, Inc. | Industrials | 0.229 | 3.33% | 35.85% |
| 10 | KKR | KKR & Co. Inc. | Financial Services | 0.229 | 3.33% | 13.40% |
| 11 | NXPI | NXP Semiconductors N.V. | Technology | 0.229 | 3.33% | 20.08% |
| 12 | CEG | Constellation Energy Corporation | Utilities | 0.229 | 3.33% | 39.46% |
| 13 | APO | Apollo Global Management, Inc. | Financial Services | 0.229 | 3.33% | 3.49% |
| 14 | PLTR | Palantir Technologies Inc. | Technology | 0.229 | 3.33% | 44.48% |
| 15 | WDC | Western Digital Corporation | Technology | 0.229 | 3.33% | 47.74% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FSLR | First Solar, Inc. | Energy | 0.229 | -3.33% | 29.02% |
| 2 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.223 | -3.33% | 42.47% |
| 3 | DXCM | DexCom, Inc. | Healthcare | 0.223 | -3.33% | 21.63% |
| 4 | MRNA | Moderna, Inc. | Healthcare | 0.229 | -3.33% | 10.87% |
| 5 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.223 | -3.33% | 45.19% |
| 6 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.223 | -3.33% | 8.54% |
| 7 | DECK | Deckers Outdoor Corporation | Consumer Cyclical | 0.226 | -3.33% | -6.46% |
| 8 | DASH | DoorDash, Inc. | Communication Services | 0.220 | -3.33% | 26.93% |
| 9 | LLY | Eli Lilly and Company | Healthcare | 0.228 | -3.33% | -3.07% |
| 10 | ENPH | Enphase Energy, Inc. | Energy | 0.226 | -3.33% | -42.06% |
| 11 | NFLX | Netflix, Inc. | Communication Services | 0.217 | -3.33% | 32.50% |
| 12 | WST | West Pharmaceutical Services, Inc. | Healthcare | 0.229 | -3.33% | 0.58% |
| 13 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.228 | -3.33% | 8.54% |
| 14 | ALGN | Align Technology, Inc. | Healthcare | 0.223 | -3.33% | 22.00% |
| 15 | WBA | Walgreens Boots Alliance, Inc. | Healthcare | 0.226 | -3.33% | 2.91% |
Sector exposure en el rebalanceo seleccionado
2025-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 3.3% | 23.3% | -20.00% | 1 | 7 |
| Technology | 23.3% | 0.0% | 23.33% | 7 | 0 |
| Consumer Cyclical | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Communication Services | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Financial Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Consumer Defensive | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Utilities | 3.3% | 0.0% | 3.33% | 1 | 0 |