Portfolio
lightgbmLGBM dual tail macro· 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
9
30 posiciones
Sortino del run
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
19.60%
Short avg
21.09%
bajar = bueno para el short
Spread long − short
-1.49%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | INTC | Intel Corporation | Technology | 0.411 | 3.33% | -0.77% |
| 2 | MCHP | Microchip Technology Incorporated | Technology | 0.404 | 3.33% | 41.87% |
| 3 | MGM | MGM Resorts International | Consumer Cyclical | 0.391 | 3.33% | 22.97% |
| 4 | ON | ON Semiconductor Corporation | Technology | 0.386 | 3.33% | 33.06% |
| 5 | ALB | Albemarle Corporation | Basic Materials | 0.385 | 3.33% | -4.83% |
| 6 | DELL | Dell Technologies Inc. | Technology | 0.384 | 3.33% | 30.10% |
| 7 | AMAT | Applied Materials, Inc. | Technology | 0.379 | 3.33% | 26.87% |
| 8 | MRNA | Moderna, Inc. | Healthcare | 0.376 | 3.33% | 10.87% |
| 9 | QCOM | QUALCOMM Incorporated | Technology | 0.373 | 3.33% | 6.47% |
| 10 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | 0.372 | 3.33% | 17.71% |
| 11 | LRCX | Lam Research Corporation | Technology | 0.372 | 3.33% | 30.78% |
| 12 | CDNS | Cadence Design Systems, Inc. | Technology | 0.371 | 3.33% | 18.36% |
| 13 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.371 | 3.33% | 27.14% |
| 14 | NXPI | NXP Semiconductors N.V. | Technology | 0.369 | 3.33% | 20.08% |
| 15 | KKR | KKR & Co. Inc. | Financial Services | 0.368 | 3.33% | 13.40% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | FSLR | First Solar, Inc. | Energy | 0.350 | -3.33% | 29.02% |
| 2 | BA | The Boeing Company | Industrials | 0.323 | -3.33% | 23.18% |
| 3 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.366 | -3.33% | 16.19% |
| 4 | DASH | DoorDash, Inc. | Communication Services | 0.355 | -3.33% | 26.93% |
| 5 | INCY | Incyte Corporation | Healthcare | 0.328 | -3.33% | 11.26% |
| 6 | DECK | Deckers Outdoor Corporation | Consumer Cyclical | 0.354 | -3.33% | -6.46% |
| 7 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.357 | -3.33% | 45.19% |
| 8 | ALGN | Align Technology, Inc. | Healthcare | 0.345 | -3.33% | 22.00% |
| 9 | META | Meta Platforms, Inc. | Communication Services | 0.342 | -3.33% | 19.77% |
| 10 | SMCI | Super Micro Computer, Inc. | Technology | 0.367 | -3.33% | 32.97% |
| 11 | NVDA | NVIDIA Corporation | Technology | 0.327 | -3.33% | 35.60% |
| 12 | MU | Micron Technology, Inc. | Technology | 0.366 | -3.33% | 31.65% |
| 13 | TECH | Bio-Techne Corporation | Healthcare | 0.350 | -3.33% | -7.40% |
| 14 | HAS | Hasbro, Inc. | Consumer Cyclical | 0.325 | -3.33% | 24.05% |
| 15 | GOOG | Alphabet Inc. | Communication Services | 0.330 | -3.33% | 12.47% |
Sector exposure en el rebalanceo seleccionado
2025-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 30.0% | 10.0% | 20.00% | 9 | 3 |
| Consumer Cyclical | 6.7% | 13.3% | -6.67% | 2 | 4 |
| Healthcare | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Communication Services | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Consumer Defensive | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Financial Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |