Portfolio
lightgbmLGBM 126d fundamental flexible· rebalanceo 2025-05-30
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 50.0%
Short book
26
gross -22.4%
Sectores cubiertos
11
54 posiciones
Sortino del run
0.64
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | OTIS | Otis Worldwide Corporation | Industrials | 0.132 | 3.61% | — |
| 2 | TDG | TransDigm Group Incorporated | Industrials | 0.251 | 3.52% | — |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.168 | 3.11% | — |
| 4 | MA | Mastercard Incorporated | Financial Services | 0.145 | 2.97% | — |
| 5 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.295 | 1.92% | — |
| 6 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.059 | 1.86% | — |
| 7 | NOW | ServiceNow, Inc. | Technology | 0.187 | 1.85% | — |
| 8 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.059 | 1.85% | — |
| 9 | GRMN | Garmin Ltd. | Technology | 0.164 | 1.84% | — |
| 10 | PANW | Palo Alto Networks, Inc. | Technology | 0.187 | 1.84% | — |
| 11 | INTU | Intuit Inc. | Technology | 0.138 | 1.81% | — |
| 12 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.041 | 1.80% | — |
| 13 | FFIV | F5, Inc. | Technology | 0.133 | 1.78% | — |
| 14 | CSCO | Cisco Systems, Inc. | Technology | 0.118 | 1.76% | — |
| 15 | NTAP | NetApp, Inc. | Technology | 0.140 | 1.76% | — |
| 16 | CRM | Salesforce, Inc. | Technology | 0.100 | 1.70% | — |
| 17 | ADBE | Adobe Inc. | Technology | 0.099 | 1.67% | — |
| 18 | MOS | The Mosaic Company | Basic Materials | -0.051 | 1.67% | — |
| 19 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.081 | 1.64% | — |
| 20 | AMD | Advanced Micro Devices, Inc. | Technology | 0.138 | 1.60% | — |
| 21 | SWKS | Skyworks Solutions, Inc. | Technology | 0.245 | 1.54% | — |
| 22 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.037 | 1.44% | — |
| 23 | EW | Edwards Lifesciences Corporation | Healthcare | 0.011 | 1.11% | — |
| 24 | MSFT | Microsoft Corporation | Technology | 0.082 | 1.07% | — |
| 25 | MCHP | Microchip Technology Incorporated | Technology | 0.310 | 1.05% | — |
| 26 | FTNT | Fortinet, Inc. | Technology | 0.083 | 0.91% | — |
| 27 | ACN | Accenture plc | Technology | 0.057 | 0.84% | — |
| 28 | VRSN | VeriSign, Inc. | Technology | -0.047 | 0.49% | — |
Short book
26 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VZ | Verizon Communications Inc. | Communication Services | -0.167 | -1.57% | — |
| 2 | ES | Eversource Energy | Utilities | -0.087 | -1.43% | — |
| 3 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.090 | -1.39% | — |
| 4 | BAX | Baxter International Inc. | Healthcare | -0.108 | -1.36% | — |
| 5 | KIM | Kimco Realty Corporation | Real Estate | -0.048 | -1.34% | — |
| 6 | MRNA | Moderna, Inc. | Healthcare | -0.151 | -1.27% | — |
| 7 | FOX | Fox Corporation | Communication Services | -0.074 | -1.19% | — |
| 8 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.194 | -0.97% | — |
| 9 | KO | The Coca-Cola Company | Consumer Defensive | -0.183 | -0.90% | — |
| 10 | LKQ | LKQ Corporation | Consumer Cyclical | -0.099 | -0.86% | — |
| 11 | PEG | Public Service Enterprise Group Incorporated | Utilities | -0.075 | -0.85% | — |
| 12 | VTRS | Viatris Inc. | Healthcare | -0.081 | -0.83% | — |
| 13 | BALL | Ball Corporation | Consumer Cyclical | -0.010 | -0.75% | — |
| 14 | SCHW | The Charles Schwab Corporation | Financial Services | -0.011 | -0.75% | — |
| 15 | DLR | Digital Realty Trust, Inc. | Real Estate | 0.009 | -0.72% | — |
| 16 | C | Citigroup Inc. | Financial Services | 0.001 | -0.71% | — |
| 17 | SRE | Sempra | Utilities | -0.007 | -0.70% | — |
| 18 | CCI | Crown Castle Inc. | Real Estate | 0.092 | -0.61% | — |
| 19 | UNH | UnitedHealth Group Incorporated | Healthcare | -0.004 | -0.61% | — |
| 20 | JPM | JPMorgan Chase & Co. | Financial Services | 0.072 | -0.56% | — |
| 21 | DAY | Dayforce Inc | Technology | -0.026 | -0.56% | — |
| 22 | BAC | Bank of America Corporation | Financial Services | 0.075 | -0.55% | — |
| 23 | STT | State Street Corporation | Financial Services | 0.057 | -0.54% | — |
| 24 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.106 | -0.54% | — |
| 25 | SLB | SLB N.V. | Energy | 0.009 | -0.54% | — |
| 26 | RF | Regions Financial Corporation | Financial Services | 0.150 | -0.34% | — |
Sector exposure en el rebalanceo seleccionado
2025-05-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 25.4% | 0.6% | 24.86% | 17 | 1 |
| Financial Services | 9.7% | 4.0% | 5.74% | 4 | 7 |
| Healthcare | 4.4% | 5.0% | -0.62% | 3 | 5 |
| Industrials | 7.1% | 0.0% | 7.13% | 2 | 0 |
| Consumer Defensive | 1.6% | 2.3% | -0.65% | 1 | 2 |
| Utilities | 0.0% | 3.0% | -2.98% | 0 | 3 |
| Communication Services | 0.0% | 2.8% | -2.76% | 0 | 2 |
| Real Estate | 0.0% | 2.7% | -2.68% | 0 | 3 |
| Basic Materials | 1.7% | 0.0% | 1.67% | 1 | 0 |
| Consumer Cyclical | 0.0% | 1.6% | -1.61% | 0 | 2 |
| Energy | 0.0% | 0.5% | -0.54% | 0 | 1 |