Portfolio
lightgbmLGBM beta neutral buffer· 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
72 rebalanceosSnapshot (histórico)
Long book
15
gross 15.8%
Short book
15
gross -84.2%
Sectores cubiertos
7
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
15.07%
Short avg
6.15%
bajar = bueno para el short
Spread long − short
8.92%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | SNPS | Synopsys, Inc. | Technology | 0.146 | 1.06% | 23.90% |
| 2 | CDNS | Cadence Design Systems, Inc. | Technology | 0.145 | 1.06% | 15.86% |
| 3 | MCHP | Microchip Technology Incorporated | Technology | 0.139 | 1.06% | 6.51% |
| 4 | WDAY | Workday, Inc. | Technology | 0.136 | 1.06% | -7.92% |
| 5 | INTC | Intel Corporation | Technology | 0.132 | 1.06% | 20.41% |
| 6 | ANET | Arista Networks, Inc. | Technology | 0.117 | 1.06% | 41.43% |
| 7 | INTU | Intuit Inc. | Technology | 0.110 | 1.06% | -14.33% |
| 8 | SYF | Synchrony Financial | Financial Services | 0.109 | 1.06% | 26.75% |
| 9 | KKR | KKR & Co. Inc. | Financial Services | 0.104 | 1.06% | 13.09% |
| 10 | SWKS | Skyworks Solutions, Inc. | Technology | 0.100 | 1.06% | 6.74% |
| 11 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.099 | 1.06% | 21.06% |
| 12 | PLTR | Palantir Technologies Inc. | Technology | 0.092 | 1.06% | 17.37% |
| 13 | AVGO | Broadcom Inc. | Technology | 0.089 | 1.06% | 18.40% |
| 14 | AMD | Advanced Micro Devices, Inc. | Technology | 0.081 | 1.06% | 34.79% |
| 15 | MA | Mastercard Incorporated | Financial Services | 0.079 | 1.06% | 1.95% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | K | Kellanova | Consumer Defensive | -0.172 | -5.61% | -3.23% |
| 2 | KVUE | Kenvue Inc. | Consumer Defensive | -0.097 | -5.61% | -12.07% |
| 3 | ETR | Entergy Corporation | Utilities | -0.092 | -5.61% | 5.67% |
| 4 | FSLR | First Solar, Inc. | Energy | -0.087 | -5.61% | 26.87% |
| 5 | KO | The Coca-Cola Company | Consumer Defensive | -0.086 | -5.61% | -3.46% |
| 6 | ATO | Atmos Energy Corporation | Utilities | -0.082 | -5.61% | 7.28% |
| 7 | BG | Bunge Global S.A. | Consumer Defensive | -0.081 | -5.61% | 4.70% |
| 8 | D | Dominion Energy, Inc. | Utilities | -0.079 | -5.61% | 4.09% |
| 9 | NI | NiSource Inc. | Utilities | -0.074 | -5.61% | 6.84% |
| 10 | TKO | TKO Group Holdings, Inc. | Communication Services | -0.073 | -5.61% | 15.22% |
| 11 | DTE | DTE Energy Company | Utilities | -0.072 | -5.61% | 0.56% |
| 12 | NEM | Newmont Corporation | Basic Materials | -0.067 | -5.61% | 31.12% |
| 13 | EVRG | Evergy, Inc. | Utilities | -0.057 | -5.61% | 7.85% |
| 14 | PNW | Pinnacle West Capital Corporation | Utilities | -0.055 | -5.61% | -1.28% |
| 15 | CMS | CMS Energy Corporation | Utilities | -0.054 | -5.61% | 2.06% |
Sector exposure en el rebalanceo seleccionado
2025-05-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Utilities | 0.0% | 44.9% | -44.89% | 0 | 8 |
| Consumer Defensive | 0.0% | 22.4% | -22.44% | 0 | 4 |
| Technology | 12.7% | 0.0% | 12.67% | 12 | 0 |
| Basic Materials | 0.0% | 5.6% | -5.61% | 0 | 1 |
| Communication Services | 0.0% | 5.6% | -5.61% | 0 | 1 |
| Energy | 0.0% | 5.6% | -5.61% | 0 | 1 |
| Financial Services | 3.2% | 0.0% | 3.17% | 3 | 0 |