Portfolio
lightgbmLGBM dual tail macro· 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
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
8.09%
Short avg
11.00%
bajar = bueno para el short
Spread long − short
-2.91%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | INTC | Intel Corporation | Technology | 0.407 | 3.33% | 38.41% |
| 2 | MCHP | Microchip Technology Incorporated | Technology | 0.401 | 3.33% | -10.30% |
| 3 | ON | ON Semiconductor Corporation | Technology | 0.391 | 3.33% | -8.34% |
| 4 | SWKS | Skyworks Solutions, Inc. | Technology | 0.390 | 3.33% | 0.69% |
| 5 | DOW | Dow Inc. | Basic Materials | 0.381 | 3.33% | -17.91% |
| 6 | KKR | KKR & Co. Inc. | Financial Services | 0.377 | 3.33% | -1.78% |
| 7 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | 0.375 | 3.33% | -9.12% |
| 8 | WDC | Western Digital Corporation | Technology | 0.370 | 3.33% | 63.29% |
| 9 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.370 | 3.33% | -19.79% |
| 10 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.370 | 3.33% | 3.86% |
| 11 | PODD | Insulet Corporation | Healthcare | 0.366 | 3.33% | 2.87% |
| 12 | CDNS | Cadence Design Systems, Inc. | Technology | 0.366 | 3.33% | 12.67% |
| 13 | ADSK | Autodesk, Inc. | Technology | 0.365 | 3.33% | 1.91% |
| 14 | APA | APA Corporation | Energy | 0.364 | 3.33% | 26.16% |
| 15 | ANET | Arista Networks, Inc. | Technology | 0.364 | 3.33% | 38.74% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MRNA | Moderna, Inc. | Healthcare | 0.327 | -3.33% | -10.50% |
| 2 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.354 | -3.33% | 16.04% |
| 3 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.351 | -3.33% | 39.13% |
| 4 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.357 | -3.33% | 57.95% |
| 5 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.347 | -3.33% | 0.95% |
| 6 | COO | The Cooper Companies, Inc. | Healthcare | 0.318 | -3.33% | -6.01% |
| 7 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.342 | -3.33% | -0.40% |
| 8 | FSLR | First Solar, Inc. | Energy | 0.349 | -3.33% | 30.25% |
| 9 | FANG | Diamondback Energy, Inc. | Energy | 0.318 | -3.33% | 2.77% |
| 10 | TECH | Bio-Techne Corporation | Healthcare | 0.359 | -3.33% | 6.74% |
| 11 | LLY | Eli Lilly and Company | Healthcare | 0.359 | -3.33% | -1.46% |
| 12 | DG | Dollar General Corporation | Consumer Defensive | 0.330 | -3.33% | -10.44% |
| 13 | OXY | Occidental Petroleum Corporation | Energy | 0.347 | -3.33% | 10.29% |
| 14 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.336 | -3.33% | 2.96% |
| 15 | TPR | Tapestry, Inc. | Consumer Cyclical | 0.322 | -3.33% | 26.79% |
Sector exposure en el rebalanceo seleccionado
2025-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 26.7% | 0.0% | 26.67% | 8 | 0 |
| Consumer Cyclical | 3.3% | 20.0% | -16.67% | 1 | 6 |
| Healthcare | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Energy | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Defensive | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Financial Services | 3.3% | 0.0% | 3.33% | 1 | 0 |