Portfolio
lightgbmLGBM no sector· 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
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
5.88%
Short avg
5.91%
bajar = bueno para el short
Spread long − short
-0.03%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | GL | Globe Life Inc. | Financial Services | 0.011 | 3.33% | -9.18% |
| 2 | UDR | UDR, Inc. | Real Estate | 0.011 | 3.33% | -9.67% |
| 3 | WM | Waste Management, Inc. | Industrials | 0.011 | 3.33% | -4.20% |
| 4 | BR | Broadridge Financial Solutions, Inc. | Technology | 0.011 | 3.33% | -2.41% |
| 5 | PAYC | Paycom Software, Inc. | Technology | 0.003 | 3.33% | 3.37% |
| 6 | PANW | Palo Alto Networks, Inc. | Technology | 0.003 | 3.33% | 13.96% |
| 7 | ORCL | Oracle Corporation | Technology | 0.003 | 3.33% | 48.62% |
| 8 | DOW | Dow Inc. | Basic Materials | 0.003 | 3.33% | -16.17% |
| 9 | NXPI | NXP Semiconductors N.V. | Technology | 0.003 | 3.33% | 20.08% |
| 10 | DTE | DTE Energy Company | Utilities | 0.003 | 3.33% | -4.58% |
| 11 | DUK | Duke Energy Corporation | Utilities | 0.003 | 3.33% | -2.46% |
| 12 | NTAP | NetApp, Inc. | Technology | 0.003 | 3.33% | 19.08% |
| 13 | DXCM | DexCom, Inc. | Healthcare | 0.003 | 3.33% | 21.63% |
| 14 | ZTS | Zoetis Inc. | Healthcare | 0.003 | 3.33% | -1.43% |
| 15 | EBAY | eBay Inc. | Consumer Cyclical | 0.003 | 3.33% | 11.53% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NI | NiSource Inc. | Utilities | -0.014 | -3.33% | -1.78% |
| 2 | ETR | Entergy Corporation | Utilities | -0.014 | -3.33% | -4.48% |
| 3 | NVDA | NVIDIA Corporation | Technology | -0.006 | -3.33% | 35.60% |
| 4 | HES | Hess Corporation | Energy | -0.006 | -3.33% | -11.32% |
| 5 | LII | Lennox International Inc. | Industrials | -0.006 | -3.33% | 6.84% |
| 6 | TYL | Tyler Technologies, Inc. | Technology | -0.006 | -3.33% | -0.25% |
| 7 | K | Kellanova | Consumer Defensive | -0.006 | -3.33% | -2.38% |
| 8 | MCO | Moody's Corporation | Financial Services | -0.006 | -3.33% | 6.06% |
| 9 | NEM | Newmont Corporation | Basic Materials | -0.006 | -3.33% | 22.28% |
| 10 | ERIE | Erie Indemnity Company | Financial Services | -0.006 | -3.33% | -17.72% |
| 11 | APO | Apollo Global Management, Inc. | Financial Services | -0.006 | -3.33% | 3.49% |
| 12 | SMCI | Super Micro Computer, Inc. | Technology | -0.006 | -3.33% | 32.97% |
| 13 | ADP | Automatic Data Processing, Inc. | Industrials | -0.004 | -3.33% | 0.01% |
| 14 | TRV | The Travelers Companies, Inc. | Financial Services | -0.002 | -3.33% | -2.35% |
| 15 | STT | State Street Corporation | Financial Services | -0.002 | -3.33% | 21.64% |
Sector exposure en el rebalanceo seleccionado
2025-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 20.0% | 10.0% | 10.00% | 6 | 3 |
| Financial Services | 3.3% | 16.7% | -13.33% | 1 | 5 |
| Utilities | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Industrials | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Basic Materials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Healthcare | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Cyclical | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |