Portfolio
lightgbmLGBM 126d flexible 50 beta40· rebalanceo 2025-04-30
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
69 rebalanceosSnapshot (histórico)
Long book
40
gross 103.0%
Short book
28
gross -24.5%
Sectores cubiertos
12
69 posiciones
Sortino del run
0.51
Long book
40 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.272 | 3.80% | — |
| 2 | CDNS | Cadence Design Systems, Inc. | Technology | 0.226 | 3.77% | — |
| 3 | OTIS | Otis Worldwide Corporation | Industrials | 0.117 | 3.70% | — |
| 4 | NOW | ServiceNow, Inc. | Technology | 0.143 | 3.69% | — |
| 5 | INTU | Intuit Inc. | Technology | 0.143 | 3.68% | — |
| 6 | PANW | Palo Alto Networks, Inc. | Technology | 0.135 | 3.67% | — |
| 7 | GRMN | Garmin Ltd. | Technology | 0.174 | 3.66% | — |
| 8 | SNPS | Synopsys, Inc. | Technology | 0.134 | 3.66% | — |
| 9 | FFIV | F5, Inc. | Technology | 0.130 | 3.63% | — |
| 10 | CSCO | Cisco Systems, Inc. | Technology | 0.129 | 3.62% | — |
| 11 | NTAP | NetApp, Inc. | Technology | 0.117 | 3.56% | — |
| 12 | CRM | Salesforce, Inc. | Technology | 0.110 | 3.52% | — |
| 13 | ADSK | Autodesk, Inc. | Technology | 0.101 | 3.50% | — |
| 14 | ADBE | Adobe Inc. | Technology | 0.100 | 3.48% | — |
| 15 | TDG | TransDigm Group Incorporated | Industrials | 0.222 | 3.31% | — |
| 16 | AMD | Advanced Micro Devices, Inc. | Technology | 0.130 | 3.10% | — |
| 17 | MSCI | MSCI Inc. | Financial Services | 0.165 | 2.81% | — |
| 18 | SWKS | Skyworks Solutions, Inc. | Technology | 0.207 | 2.78% | — |
| 19 | AON | Aon plc | Financial Services | 0.129 | 2.75% | — |
| 20 | MA | Mastercard Incorporated | Financial Services | 0.159 | 2.65% | — |
| 21 | LRCX | Lam Research Corporation | Technology | 0.159 | 2.60% | — |
| 22 | MOS | The Mosaic Company | Basic Materials | -0.034 | 2.49% | — |
| 23 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.071 | 2.42% | — |
| 24 | MSFT | Microsoft Corporation | Technology | 0.064 | 2.08% | — |
| 25 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.019 | 2.06% | — |
| 26 | JKHY | Jack Henry & Associates, Inc. | Technology | 0.031 | 1.95% | — |
| 27 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.059 | 1.94% | — |
| 28 | DLTR | Dollar Tree, Inc. | Consumer Defensive | -0.113 | 1.80% | — |
| 29 | LIN | Linde plc | Basic Materials | 0.019 | 1.68% | — |
| 30 | EW | Edwards Lifesciences Corporation | Healthcare | -0.004 | 1.66% | — |
| 31 | ACN | Accenture plc | Technology | 0.055 | 1.65% | — |
| 32 | INTC | Intel Corporation | Technology | 0.160 | 1.58% | — |
| 33 | MKTX | MarketAxess Holdings Inc. | Financial Services | -0.050 | 1.54% | — |
| 34 | FTNT | Fortinet, Inc. | Technology | 0.089 | 1.50% | — |
| 35 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.048 | 1.48% | — |
| 36 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.128 | 1.42% | — |
| 37 | VRSN | VeriSign, Inc. | Technology | -0.052 | 1.42% | — |
| 38 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.062 | 1.34% | — |
| 39 | MCHP | Microchip Technology Incorporated | Technology | 0.283 | 1.32% | — |
| 40 | ANSS | ANSYS, Inc. | Technology | — | 0.74% | — |
Short book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VZ | Verizon Communications Inc. | Communication Services | -0.191 | -1.54% | — |
| 2 | ES | Eversource Energy | Utilities | -0.073 | -1.46% | — |
| 3 | KIM | Kimco Realty Corporation | Real Estate | -0.050 | -1.42% | — |
| 4 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.090 | -1.32% | — |
| 5 | BAX | Baxter International Inc. | Healthcare | -0.084 | -1.27% | — |
| 6 | DAY | Dayforce Inc | Technology | -0.041 | -1.17% | — |
| 7 | FOX | Fox Corporation | Communication Services | -0.092 | -1.13% | — |
| 8 | SCHW | The Charles Schwab Corporation | Financial Services | -0.057 | -1.11% | — |
| 9 | DLR | Digital Realty Trust, Inc. | Real Estate | 0.005 | -1.08% | — |
| 10 | MRNA | Moderna, Inc. | Healthcare | -0.129 | -1.07% | — |
| 11 | C | Citigroup Inc. | Financial Services | 0.027 | -1.06% | — |
| 12 | SRE | Sempra | Utilities | 0.021 | -1.04% | — |
| 13 | CCI | Crown Castle Inc. | Real Estate | 0.078 | -0.92% | — |
| 14 | JPM | JPMorgan Chase & Co. | Financial Services | 0.062 | -0.84% | — |
| 15 | BAC | Bank of America Corporation | Financial Services | 0.045 | -0.82% | — |
| 16 | STT | State Street Corporation | Financial Services | 0.122 | -0.81% | — |
| 17 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.141 | -0.81% | — |
| 18 | SLB | SLB N.V. | Energy | 0.004 | -0.80% | — |
| 19 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.239 | -0.57% | — |
| 20 | KO | The Coca-Cola Company | Consumer Defensive | -0.141 | -0.55% | — |
| 21 | PEG | Public Service Enterprise Group Incorporated | Utilities | -0.102 | -0.53% | — |
| 22 | BALL | Ball Corporation | Consumer Cyclical | -0.104 | -0.53% | — |
| 23 | VTRS | Viatris Inc. | Healthcare | -0.107 | -0.52% | — |
| 24 | LKQ | LKQ Corporation | Consumer Cyclical | -0.100 | -0.52% | — |
| 25 | RF | Regions Financial Corporation | Financial Services | 0.128 | -0.51% | — |
| 26 | UNH | UnitedHealth Group Incorporated | Healthcare | -0.004 | -0.42% | — |
| 27 | OKE | ONEOK, Inc. | Energy | 0.033 | -0.37% | — |
| 28 | SJM | The J. M. Smucker Company | Consumer Defensive | -0.165 | -0.37% | — |
Sector exposure en el rebalanceo seleccionado
2025-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 68.0% | 1.2% | 66.80% | 24 | 1 |
| Market Hedge | 0.0% | 55.4% | -55.44% | 0 | 1 |
| Financial Services | 13.1% | 6.0% | 7.15% | 6 | 7 |
| Healthcare | 7.6% | 3.9% | 3.76% | 4 | 5 |
| Industrials | 7.0% | 0.0% | 7.01% | 2 | 0 |
| Consumer Defensive | 3.1% | 2.2% | 0.91% | 2 | 3 |
| Basic Materials | 4.2% | 0.0% | 4.17% | 2 | 0 |
| Real Estate | 0.0% | 3.4% | -3.41% | 0 | 3 |
| Utilities | 0.0% | 3.0% | -3.03% | 0 | 3 |
| Communication Services | 0.0% | 2.7% | -2.67% | 0 | 2 |
| Energy | 0.0% | 1.2% | -1.17% | 0 | 2 |
| Consumer Cyclical | 0.0% | 1.0% | -1.05% | 0 | 2 |