Portfolio
lightgbmLGBM 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
9
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
7.74%
Short avg
16.43%
bajar = bueno para el short
Spread long − short
-8.70%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WDAY | Workday, Inc. | Technology | 0.186 | 3.33% | 0.63% |
| 2 | CRWD | CrowdStrike Holdings, Inc. | Technology | 0.165 | 3.33% | -0.34% |
| 3 | ANET | Arista Networks, Inc. | Technology | 0.149 | 3.33% | 38.74% |
| 4 | SNPS | Synopsys, Inc. | Technology | 0.147 | 3.33% | -5.59% |
| 5 | INTC | Intel Corporation | Technology | 0.145 | 3.33% | 38.41% |
| 6 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.145 | 3.33% | 21.08% |
| 7 | CDNS | Cadence Design Systems, Inc. | Technology | 0.133 | 3.33% | 12.67% |
| 8 | TDG | TransDigm Group Incorporated | Industrials | 0.132 | 3.33% | -7.13% |
| 9 | NOW | ServiceNow, Inc. | Technology | 0.128 | 3.33% | -9.49% |
| 10 | GRMN | Garmin Ltd. | Technology | 0.114 | 3.33% | 15.75% |
| 11 | INTU | Intuit Inc. | Technology | 0.107 | 3.33% | -13.11% |
| 12 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.106 | 3.33% | -6.18% |
| 13 | MSCI | MSCI Inc. | Financial Services | 0.105 | 3.33% | -2.11% |
| 14 | PSX | Phillips 66 | Energy | 0.103 | 3.33% | 10.92% |
| 15 | VLO | Valero Energy Corporation | Energy | 0.103 | 3.33% | 21.82% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | TPL | Texas Pacific Land Corporation | Energy | -0.148 | -3.33% | -13.34% |
| 2 | NVDA | NVIDIA Corporation | Technology | -0.143 | -3.33% | 19.66% |
| 3 | MU | Micron Technology, Inc. | Technology | -0.135 | -3.33% | 32.60% |
| 4 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.131 | -3.33% | 16.04% |
| 5 | TKO | TKO Group Holdings, Inc. | Communication Services | -0.120 | -3.33% | 14.36% |
| 6 | WDC | Western Digital Corporation | Technology | -0.114 | -3.33% | 63.29% |
| 7 | NEM | Newmont Corporation | Basic Materials | -0.114 | -3.33% | 36.32% |
| 8 | HPE | Hewlett Packard Enterprise Company | Technology | -0.106 | -3.33% | 18.67% |
| 9 | FANG | Diamondback Energy, Inc. | Energy | -0.102 | -3.33% | 2.77% |
| 10 | SMCI | Super Micro Computer, Inc. | Technology | -0.102 | -3.33% | 1.56% |
| 11 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.102 | -3.33% | -14.37% |
| 12 | INCY | Incyte Corporation | Healthcare | -0.100 | -3.33% | 21.02% |
| 13 | K | Kellanova | Consumer Defensive | -0.097 | -3.33% | 3.40% |
| 14 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.093 | -3.33% | 57.95% |
| 15 | BALL | Ball Corporation | Consumer Cyclical | -0.091 | -3.33% | -13.42% |
Sector exposure en el rebalanceo seleccionado
2025-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 33.3% | 16.7% | 16.67% | 10 | 5 |
| Energy | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Cyclical | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Defensive | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Healthcare | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Financial Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |