Portfolio
lightgbmLGBM beta neutral buffer· 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
72 rebalanceosSnapshot (histórico)
Long book
15
gross 14.9%
Short book
15
gross -85.1%
Sectores cubiertos
9
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
20.86%
Short avg
3.53%
bajar = bueno para el short
Spread long − short
17.33%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | INTC | Intel Corporation | Technology | 0.136 | 0.99% | -3.41% |
| 2 | WDAY | Workday, Inc. | Technology | 0.120 | 0.99% | -10.41% |
| 3 | CDNS | Cadence Design Systems, Inc. | Technology | 0.117 | 0.99% | 17.48% |
| 4 | MCHP | Microchip Technology Incorporated | Technology | 0.116 | 0.99% | 37.45% |
| 5 | ANET | Arista Networks, Inc. | Technology | 0.115 | 0.99% | 29.15% |
| 6 | KKR | KKR & Co. Inc. | Financial Services | 0.114 | 0.99% | 22.07% |
| 7 | PLTR | Palantir Technologies Inc. | Technology | 0.104 | 0.99% | 28.34% |
| 8 | SYF | Synchrony Financial | Financial Services | 0.102 | 0.99% | 26.10% |
| 9 | SWKS | Skyworks Solutions, Inc. | Technology | 0.101 | 0.99% | 4.72% |
| 10 | ALB | Albemarle Corporation | Basic Materials | 0.100 | 0.99% | 14.16% |
| 11 | AMD | Advanced Micro Devices, Inc. | Technology | 0.097 | 0.99% | 57.47% |
| 12 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.097 | 0.99% | 26.90% |
| 13 | AVGO | Broadcom Inc. | Technology | 0.092 | 0.99% | 38.27% |
| 14 | INTU | Intuit Inc. | Technology | 0.088 | 0.99% | 22.09% |
| 15 | MA | Mastercard Incorporated | Financial Services | 0.076 | 0.99% | 2.53% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | K | Kellanova | Consumer Defensive | -0.168 | -5.67% | -2.85% |
| 2 | ATO | Atmos Energy Corporation | Utilities | -0.108 | -5.67% | -2.21% |
| 3 | FSLR | First Solar, Inc. | Energy | -0.106 | -5.67% | 37.40% |
| 4 | KVUE | Kenvue Inc. | Consumer Defensive | -0.091 | -5.67% | -9.53% |
| 5 | PNW | Pinnacle West Capital Corporation | Utilities | -0.086 | -5.67% | -1.02% |
| 6 | ED | Consolidated Edison, Inc. | Utilities | -0.085 | -5.67% | -6.64% |
| 7 | SO | The Southern Company | Utilities | -0.083 | -5.67% | 4.63% |
| 8 | EVRG | Evergy, Inc. | Utilities | -0.078 | -5.67% | 5.48% |
| 9 | AEP | American Electric Power Company, Inc. | Utilities | -0.078 | -5.67% | 6.35% |
| 10 | BG | Bunge Global S.A. | Consumer Defensive | -0.074 | -5.67% | 0.25% |
| 11 | O | Realty Income Corporation | Real Estate | -0.072 | -5.67% | 0.37% |
| 12 | CMS | CMS Energy Corporation | Utilities | -0.071 | -5.67% | 2.25% |
| 13 | NEM | Newmont Corporation | Basic Materials | -0.070 | -5.67% | 19.99% |
| 14 | TKO | TKO Group Holdings, Inc. | Communication Services | -0.067 | -5.67% | 1.72% |
| 15 | DGX | Quest Diagnostics Incorporated | Healthcare | -0.067 | -5.67% | -3.26% |
Sector exposure en el rebalanceo seleccionado
2025-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Utilities | 0.0% | 39.7% | -39.72% | 0 | 7 |
| Consumer Defensive | 0.0% | 17.0% | -17.02% | 0 | 3 |
| Technology | 10.9% | 0.0% | 10.91% | 11 | 0 |
| Basic Materials | 1.0% | 5.7% | -4.68% | 1 | 1 |
| Communication Services | 0.0% | 5.7% | -5.67% | 0 | 1 |
| Energy | 0.0% | 5.7% | -5.67% | 0 | 1 |
| Healthcare | 0.0% | 5.7% | -5.67% | 0 | 1 |
| Real Estate | 0.0% | 5.7% | -5.67% | 0 | 1 |
| Financial Services | 3.0% | 0.0% | 2.98% | 3 | 0 |