Portfolio
lightgbmLGBM 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
8
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
7.70%
Short avg
6.83%
bajar = bueno para el short
Spread long − short
0.87%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WDAY | Workday, Inc. | Technology | 0.184 | 3.33% | -7.92% |
| 2 | ANET | Arista Networks, Inc. | Technology | 0.160 | 3.33% | 41.43% |
| 3 | INTC | Intel Corporation | Technology | 0.151 | 3.33% | 20.41% |
| 4 | SNPS | Synopsys, Inc. | Technology | 0.150 | 3.33% | 23.90% |
| 5 | CDNS | Cadence Design Systems, Inc. | Technology | 0.134 | 3.33% | 15.86% |
| 6 | PANW | Palo Alto Networks, Inc. | Technology | 0.115 | 3.33% | -2.25% |
| 7 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.115 | 3.33% | 21.06% |
| 8 | MCHP | Microchip Technology Incorporated | Technology | 0.113 | 3.33% | 6.51% |
| 9 | TDG | TransDigm Group Incorporated | Industrials | 0.112 | 3.33% | -4.16% |
| 10 | AVGO | Broadcom Inc. | Technology | 0.111 | 3.33% | 18.40% |
| 11 | CRWD | CrowdStrike Holdings, Inc. | Technology | 0.109 | 3.33% | -14.74% |
| 12 | VLO | Valero Energy Corporation | Energy | 0.107 | 3.33% | 19.25% |
| 13 | TRGP | Targa Resources Corp. | Energy | 0.103 | 3.33% | 3.25% |
| 14 | NOW | ServiceNow, Inc. | Technology | 0.103 | 3.33% | -10.48% |
| 15 | FICO | Fair Isaac Corporation | Technology | 0.100 | 3.33% | -14.99% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | K | Kellanova | Consumer Defensive | -0.150 | -3.33% | -3.23% |
| 2 | NVDA | NVIDIA Corporation | Technology | -0.149 | -3.33% | 21.77% |
| 3 | TPL | Texas Pacific Land Corporation | Energy | -0.145 | -3.33% | -16.22% |
| 4 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.124 | -3.33% | 33.57% |
| 5 | WDC | Western Digital Corporation | Technology | -0.123 | -3.33% | 45.25% |
| 6 | SMCI | Super Micro Computer, Inc. | Technology | -0.105 | -3.33% | -1.02% |
| 7 | KO | The Coca-Cola Company | Consumer Defensive | -0.103 | -3.33% | -3.46% |
| 8 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.101 | -3.33% | -10.51% |
| 9 | TKO | TKO Group Holdings, Inc. | Communication Services | -0.096 | -3.33% | 15.22% |
| 10 | CME | CME Group Inc. | Financial Services | -0.095 | -3.33% | -8.65% |
| 11 | HPE | Hewlett Packard Enterprise Company | Technology | -0.091 | -3.33% | 27.64% |
| 12 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.088 | -3.33% | 15.01% |
| 13 | FSLR | First Solar, Inc. | Energy | -0.085 | -3.33% | 26.87% |
| 14 | CHTR | Charter Communications, Inc. | Communication Services | -0.084 | -3.33% | -40.08% |
| 15 | CMCSA | Comcast Corporation | Communication Services | -0.082 | -3.33% | 0.27% |
Sector exposure en el rebalanceo seleccionado
2025-05-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 40.0% | 13.3% | 26.67% | 12 | 4 |
| Communication Services | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Energy | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Cyclical | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Financial Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |