Portfolio
lightgbmLGBM no sector· 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
11
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
7.88%
Short avg
14.51%
bajar = bueno para el short
Spread long − short
-6.62%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | GOOGL | Alphabet Inc. | Communication Services | 0.032 | 3.33% | 16.04% |
| 2 | GOOG | Alphabet Inc. | Communication Services | 0.032 | 3.33% | 15.55% |
| 3 | INTC | Intel Corporation | Technology | 0.029 | 3.33% | -3.41% |
| 4 | SWKS | Skyworks Solutions, Inc. | Technology | 0.029 | 3.33% | 4.72% |
| 5 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.029 | 3.33% | 25.28% |
| 6 | KKR | KKR & Co. Inc. | Financial Services | 0.028 | 3.33% | 22.07% |
| 7 | META | Meta Platforms, Inc. | Communication Services | 0.026 | 3.33% | 27.13% |
| 8 | CCI | Crown Castle Inc. | Real Estate | 0.024 | 3.33% | 1.61% |
| 9 | MET | MetLife, Inc. | Financial Services | 0.024 | 3.33% | -1.62% |
| 10 | CRWD | CrowdStrike Holdings, Inc. | Technology | 0.022 | 3.33% | 3.36% |
| 11 | EG | Everest Re Group, Ltd. | Financial Services | 0.022 | 3.33% | -1.22% |
| 12 | AXON | Axon Enterprise, Inc. | Industrials | 0.022 | 3.33% | 17.85% |
| 13 | DAY | Dayforce Inc | Technology | 0.020 | 3.33% | -5.88% |
| 14 | LLY | Eli Lilly and Company | Healthcare | 0.020 | 3.33% | -3.88% |
| 15 | APO | Apollo Global Management, Inc. | Financial Services | 0.020 | 3.33% | 0.64% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | SMCI | Super Micro Computer, Inc. | Technology | -0.022 | -3.33% | 54.84% |
| 2 | K | Kellanova | Consumer Defensive | -0.020 | -3.33% | -2.85% |
| 3 | HOLX | Hologic, Inc. | Healthcare | -0.019 | -3.33% | 15.91% |
| 4 | CLX | The Clorox Company | Consumer Defensive | -0.019 | -3.33% | -11.81% |
| 5 | APD | Air Products and Chemicals, Inc. | Basic Materials | -0.019 | -3.33% | 4.10% |
| 6 | FSLR | First Solar, Inc. | Energy | -0.015 | -3.33% | 37.40% |
| 7 | PODD | Insulet Corporation | Healthcare | -0.015 | -3.33% | 12.97% |
| 8 | ATO | Atmos Energy Corporation | Utilities | -0.014 | -3.33% | -2.21% |
| 9 | NVDA | NVIDIA Corporation | Technology | -0.014 | -3.33% | 44.24% |
| 10 | GEN | Gen Digital Inc. | Technology | -0.014 | -3.33% | 12.18% |
| 11 | COO | The Cooper Companies, Inc. | Healthcare | -0.014 | -3.33% | -13.53% |
| 12 | UBER | Uber Technologies, Inc. | Technology | -0.014 | -3.33% | 7.18% |
| 13 | TYL | Tyler Technologies, Inc. | Technology | -0.013 | -3.33% | 7.50% |
| 14 | MU | Micron Technology, Inc. | Technology | -0.013 | -3.33% | 29.99% |
| 15 | HAS | Hasbro, Inc. | Consumer Cyclical | -0.010 | -3.33% | 21.67% |
Sector exposure en el rebalanceo seleccionado
2025-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 13.3% | 20.0% | -6.67% | 4 | 6 |
| Financial Services | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Healthcare | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Communication Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Cyclical | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |