Portfolio
lightgbmLGBM macro· 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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
7
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
12.36%
Short avg
1.11%
bajar = bueno para el short
Spread long − short
11.24%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PSX | Phillips 66 | Energy | 0.122 | 3.33% | 15.47% |
| 2 | WDAY | Workday, Inc. | Technology | 0.120 | 3.33% | -10.41% |
| 3 | VLO | Valero Energy Corporation | Energy | 0.119 | 3.33% | 16.44% |
| 4 | ANET | Arista Networks, Inc. | Technology | 0.107 | 3.33% | 29.15% |
| 5 | CDNS | Cadence Design Systems, Inc. | Technology | 0.107 | 3.33% | 17.48% |
| 6 | CEG | Constellation Energy Corporation | Utilities | 0.107 | 3.33% | 34.93% |
| 7 | MA | Mastercard Incorporated | Financial Services | 0.099 | 3.33% | 2.53% |
| 8 | FTNT | Fortinet, Inc. | Technology | 0.097 | 3.33% | -6.80% |
| 9 | NEE | NextEra Energy, Inc. | Utilities | 0.091 | 3.33% | 7.19% |
| 10 | HCA | HCA Healthcare, Inc. | Healthcare | 0.090 | 3.33% | 4.17% |
| 11 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.090 | 3.33% | 12.50% |
| 12 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.090 | 3.33% | 26.90% |
| 13 | AVGO | Broadcom Inc. | Technology | 0.089 | 3.33% | 38.27% |
| 14 | TRGP | Targa Resources Corp. | Energy | 0.087 | 3.33% | 0.95% |
| 15 | INTC | Intel Corporation | Technology | 0.086 | 3.33% | -3.41% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | K | Kellanova | Consumer Defensive | -0.184 | -3.33% | -2.85% |
| 2 | TPL | Texas Pacific Land Corporation | Energy | -0.167 | -3.33% | -33.31% |
| 3 | FSLR | First Solar, Inc. | Energy | -0.136 | -3.33% | 37.40% |
| 4 | ATO | Atmos Energy Corporation | Utilities | -0.130 | -3.33% | -2.21% |
| 5 | TKO | TKO Group Holdings, Inc. | Communication Services | -0.127 | -3.33% | 1.72% |
| 6 | CHTR | Charter Communications, Inc. | Communication Services | -0.117 | -3.33% | -36.95% |
| 7 | KO | The Coca-Cola Company | Consumer Defensive | -0.110 | -3.33% | -2.77% |
| 8 | AEP | American Electric Power Company, Inc. | Utilities | -0.107 | -3.33% | 6.35% |
| 9 | DUK | Duke Energy Corporation | Utilities | -0.107 | -3.33% | 2.20% |
| 10 | VZ | Verizon Communications Inc. | Communication Services | -0.106 | -3.33% | 0.61% |
| 11 | ED | Consolidated Edison, Inc. | Utilities | -0.102 | -3.33% | -6.64% |
| 12 | PPL | PPL Corporation | Utilities | -0.102 | -3.33% | -0.37% |
| 13 | WDC | Western Digital Corporation | Technology | -0.100 | -3.33% | 55.67% |
| 14 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.097 | -3.33% | -7.65% |
| 15 | EVRG | Evergy, Inc. | Utilities | -0.095 | -3.33% | 5.48% |
Sector exposure en el rebalanceo seleccionado
2025-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 23.3% | 3.3% | 20.00% | 7 | 1 |
| Utilities | 6.7% | 20.0% | -13.33% | 2 | 6 |
| Energy | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Communication Services | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Healthcare | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Financial Services | 3.3% | 0.0% | 3.33% | 1 | 0 |