Portfolio
lightgbmLGBM dual tail macro· 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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
9
30 posiciones
Sortino del run
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
13.52%
Short avg
11.91%
bajar = bueno para el short
Spread long − short
1.60%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | INTC | Intel Corporation | Technology | 0.407 | 3.33% | 20.41% |
| 2 | MCHP | Microchip Technology Incorporated | Technology | 0.401 | 3.33% | 6.51% |
| 3 | ON | ON Semiconductor Corporation | Technology | 0.391 | 3.33% | 14.02% |
| 4 | SWKS | Skyworks Solutions, Inc. | Technology | 0.390 | 3.33% | 6.74% |
| 5 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.379 | 3.33% | 4.89% |
| 6 | DOW | Dow Inc. | Basic Materials | 0.376 | 3.33% | -9.35% |
| 7 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | 0.375 | 3.33% | -0.81% |
| 8 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.370 | 3.33% | 31.28% |
| 9 | WDC | Western Digital Corporation | Technology | 0.369 | 3.33% | 45.25% |
| 10 | VLO | Valero Energy Corporation | Energy | 0.368 | 3.33% | 19.25% |
| 11 | CDNS | Cadence Design Systems, Inc. | Technology | 0.366 | 3.33% | 15.86% |
| 12 | APA | APA Corporation | Energy | 0.366 | 3.33% | 33.28% |
| 13 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.365 | 3.33% | -16.51% |
| 14 | MU | Micron Technology, Inc. | Technology | 0.365 | 3.33% | 18.89% |
| 15 | KKR | KKR & Co. Inc. | Financial Services | 0.364 | 3.33% | 13.09% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MRNA | Moderna, Inc. | Healthcare | 0.327 | -3.33% | -11.17% |
| 2 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.340 | -3.33% | 33.57% |
| 3 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.351 | -3.33% | -3.97% |
| 4 | PODD | Insulet Corporation | Healthcare | 0.356 | -3.33% | 5.95% |
| 5 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.357 | -3.33% | 15.01% |
| 6 | FSLR | First Solar, Inc. | Energy | 0.349 | -3.33% | 26.87% |
| 7 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.347 | -3.33% | 28.05% |
| 8 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.342 | -3.33% | 8.66% |
| 9 | COO | The Cooper Companies, Inc. | Healthcare | 0.328 | -3.33% | -2.52% |
| 10 | FANG | Diamondback Energy, Inc. | Energy | 0.300 | -3.33% | 9.26% |
| 11 | TECH | Bio-Techne Corporation | Healthcare | 0.359 | -3.33% | 9.58% |
| 12 | BA | The Boeing Company | Industrials | 0.340 | -3.33% | 11.56% |
| 13 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.347 | -3.33% | 30.42% |
| 14 | OXY | Occidental Petroleum Corporation | Energy | 0.347 | -3.33% | 15.36% |
| 15 | GEHC | GE HealthCare Technologies Inc. | Healthcare | 0.361 | -3.33% | 2.09% |
Sector exposure en el rebalanceo seleccionado
2025-05-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 23.3% | 0.0% | 23.33% | 7 | 0 |
| Consumer Cyclical | 3.3% | 16.7% | -13.33% | 1 | 5 |
| Healthcare | 3.3% | 16.7% | -13.33% | 1 | 5 |
| Energy | 6.7% | 10.0% | -3.33% | 2 | 3 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Defensive | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Financial Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |