Portfolio
lightgbmLGBM 126d fundamental flexible sector45· 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
28
gross 60.7%
Short book
28
gross -24.2%
Sectores cubiertos
11
56 posiciones
Sortino del run
0.79
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | OTIS | Otis Worldwide Corporation | Industrials | 0.117 | 3.70% | — |
| 2 | TDG | TransDigm Group Incorporated | Industrials | 0.222 | 3.31% | — |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.165 | 2.81% | — |
| 4 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.272 | 2.70% | — |
| 5 | MA | Mastercard Incorporated | Financial Services | 0.159 | 2.65% | — |
| 6 | NOW | ServiceNow, Inc. | Technology | 0.143 | 2.63% | — |
| 7 | INTU | Intuit Inc. | Technology | 0.143 | 2.62% | — |
| 8 | PANW | Palo Alto Networks, Inc. | Technology | 0.135 | 2.61% | — |
| 9 | GRMN | Garmin Ltd. | Technology | 0.174 | 2.61% | — |
| 10 | FFIV | F5, Inc. | Technology | 0.130 | 2.59% | — |
| 11 | CSCO | Cisco Systems, Inc. | Technology | 0.129 | 2.58% | — |
| 12 | NTAP | NetApp, Inc. | Technology | 0.117 | 2.54% | — |
| 13 | CRM | Salesforce, Inc. | Technology | 0.110 | 2.51% | — |
| 14 | MOS | The Mosaic Company | Basic Materials | -0.034 | 2.49% | — |
| 15 | ADBE | Adobe Inc. | Technology | 0.100 | 2.49% | — |
| 16 | AMD | Advanced Micro Devices, Inc. | Technology | 0.130 | 2.20% | — |
| 17 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.019 | 2.06% | — |
| 18 | SWKS | Skyworks Solutions, Inc. | Technology | 0.207 | 1.94% | — |
| 19 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.059 | 1.94% | — |
| 20 | EW | Edwards Lifesciences Corporation | Healthcare | -0.004 | 1.66% | — |
| 21 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.048 | 1.48% | — |
| 22 | MSFT | Microsoft Corporation | Technology | 0.064 | 1.47% | — |
| 23 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.128 | 1.42% | — |
| 24 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.062 | 1.34% | — |
| 25 | ACN | Accenture plc | Technology | 0.055 | 1.17% | — |
| 26 | INTC | Intel Corporation | Technology | 0.160 | 1.09% | — |
| 27 | FTNT | Fortinet, Inc. | Technology | 0.089 | 1.04% | — |
| 28 | VRSN | VeriSign, Inc. | Technology | -0.052 | 1.03% | — |
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 | FOX | Fox Corporation | Communication Services | -0.092 | -1.13% | — |
| 7 | SCHW | The Charles Schwab Corporation | Financial Services | -0.057 | -1.11% | — |
| 8 | DLR | Digital Realty Trust, Inc. | Real Estate | 0.005 | -1.08% | — |
| 9 | MRNA | Moderna, Inc. | Healthcare | -0.129 | -1.07% | — |
| 10 | C | Citigroup Inc. | Financial Services | 0.027 | -1.06% | — |
| 11 | SRE | Sempra | Utilities | 0.021 | -1.04% | — |
| 12 | CCI | Crown Castle Inc. | Real Estate | 0.078 | -0.92% | — |
| 13 | JPM | JPMorgan Chase & Co. | Financial Services | 0.062 | -0.84% | — |
| 14 | DAY | Dayforce Inc | Technology | -0.041 | -0.83% | — |
| 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 | 35.8% | 0.8% | 34.99% | 17 | 1 |
| Financial Services | 8.8% | 6.0% | 2.86% | 4 | 7 |
| Healthcare | 5.2% | 3.9% | 1.35% | 3 | 5 |
| Industrials | 7.0% | 0.0% | 7.01% | 2 | 0 |
| Consumer Defensive | 1.3% | 2.2% | -0.89% | 1 | 3 |
| 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 |
| Basic Materials | 2.5% | 0.0% | 2.49% | 1 | 0 |
| Energy | 0.0% | 1.2% | -1.17% | 0 | 2 |
| Consumer Cyclical | 0.0% | 1.0% | -1.05% | 0 | 2 |