Portfolio
lightgbmLGBM· rebalanceo 2025-06-30
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
0.29
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
4.67%
Short avg
12.71%
bajar = bueno para el short
Spread long − short
-8.04%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | INTC | Intel Corporation | Technology | 0.160 | 3.33% | 38.41% |
| 2 | SNPS | Synopsys, Inc. | Technology | 0.144 | 3.33% | -5.59% |
| 3 | MCHP | Microchip Technology Incorporated | Technology | 0.138 | 3.33% | -10.30% |
| 4 | WDAY | Workday, Inc. | Technology | 0.134 | 3.33% | 0.63% |
| 5 | CRWD | CrowdStrike Holdings, Inc. | Technology | 0.132 | 3.33% | -0.34% |
| 6 | CDNS | Cadence Design Systems, Inc. | Technology | 0.131 | 3.33% | 12.67% |
| 7 | ANET | Arista Networks, Inc. | Technology | 0.103 | 3.33% | 38.74% |
| 8 | SWKS | Skyworks Solutions, Inc. | Technology | 0.101 | 3.33% | 0.69% |
| 9 | SYF | Synchrony Financial | Financial Services | 0.095 | 3.33% | 4.58% |
| 10 | KKR | KKR & Co. Inc. | Financial Services | 0.094 | 3.33% | -1.78% |
| 11 | INTU | Intuit Inc. | Technology | 0.092 | 3.33% | -13.11% |
| 12 | FICO | Fair Isaac Corporation | Technology | 0.088 | 3.33% | -20.83% |
| 13 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.087 | 3.33% | 21.08% |
| 14 | ADSK | Autodesk, Inc. | Technology | 0.085 | 3.33% | 1.91% |
| 15 | EG | Everest Re Group, Ltd. | Financial Services | 0.082 | 3.33% | 3.29% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | K | Kellanova | Consumer Defensive | -0.134 | -3.33% | 3.40% |
| 2 | FSLR | First Solar, Inc. | Energy | -0.087 | -3.33% | 30.25% |
| 3 | D | Dominion Energy, Inc. | Utilities | -0.081 | -3.33% | 7.06% |
| 4 | ETR | Entergy Corporation | Utilities | -0.079 | -3.33% | 12.80% |
| 5 | STX | Seagate Technology Holdings plc | Technology | -0.078 | -3.33% | 49.02% |
| 6 | TKO | TKO Group Holdings, Inc. | Communication Services | -0.069 | -3.33% | 14.36% |
| 7 | ATO | Atmos Energy Corporation | Utilities | -0.068 | -3.33% | 11.07% |
| 8 | NEM | Newmont Corporation | Basic Materials | -0.066 | -3.33% | 36.32% |
| 9 | VST | Vistra Corp. | Utilities | -0.066 | -3.33% | 5.79% |
| 10 | T | AT&T Inc. | Communication Services | -0.066 | -3.33% | -1.27% |
| 11 | KO | The Coca-Cola Company | Consumer Defensive | -0.061 | -3.33% | -7.00% |
| 12 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.061 | -3.33% | -14.37% |
| 13 | BG | Bunge Global S.A. | Consumer Defensive | -0.061 | -3.33% | 2.12% |
| 14 | NI | NiSource Inc. | Utilities | -0.060 | -3.33% | 8.45% |
| 15 | MU | Micron Technology, Inc. | Technology | -0.060 | -3.33% | 32.60% |
Sector exposure en el rebalanceo seleccionado
2025-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 40.0% | 6.7% | 33.33% | 12 | 2 |
| Utilities | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |