Portfolio
lightgbmLGBM 126d fundamental flexible sector45· rebalanceo 2025-07-31
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
69 rebalanceosSnapshot (histórico)
Long book
29
gross 60.0%
Short book
19
gross -20.9%
Sectores cubiertos
10
48 posiciones
Sortino del run
0.79
Long book
29 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | TDG | TransDigm Group Incorporated | Industrials | 0.198 | 3.75% | — |
| 2 | OTIS | Otis Worldwide Corporation | Industrials | 0.141 | 3.58% | — |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.151 | 3.46% | — |
| 4 | MA | Mastercard Incorporated | Financial Services | 0.173 | 3.41% | — |
| 5 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.173 | 2.69% | — |
| 6 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.238 | 2.63% | — |
| 7 | NOW | ServiceNow, Inc. | Technology | 0.188 | 2.55% | — |
| 8 | GRMN | Garmin Ltd. | Technology | 0.154 | 2.49% | — |
| 9 | PANW | Palo Alto Networks, Inc. | Technology | 0.163 | 2.49% | — |
| 10 | INTU | Intuit Inc. | Technology | 0.159 | 2.44% | — |
| 11 | NTAP | NetApp, Inc. | Technology | 0.170 | 2.42% | — |
| 12 | SWKS | Skyworks Solutions, Inc. | Technology | 0.223 | 2.39% | — |
| 13 | FFIV | F5, Inc. | Technology | 0.104 | 2.37% | — |
| 14 | CSCO | Cisco Systems, Inc. | Technology | 0.127 | 2.34% | — |
| 15 | AMD | Advanced Micro Devices, Inc. | Technology | 0.128 | 2.26% | — |
| 16 | CRM | Salesforce, Inc. | Technology | 0.083 | 2.11% | — |
| 17 | ADBE | Adobe Inc. | Technology | 0.073 | 2.02% | — |
| 18 | INTC | Intel Corporation | Technology | 0.130 | 1.98% | — |
| 19 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.082 | 1.96% | — |
| 20 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.062 | 1.77% | — |
| 21 | MSFT | Microsoft Corporation | Technology | 0.098 | 1.54% | — |
| 22 | FTNT | Fortinet, Inc. | Technology | 0.075 | 1.53% | — |
| 23 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.064 | 1.38% | — |
| 24 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.003 | 1.08% | — |
| 25 | ACN | Accenture plc | Technology | 0.043 | 1.04% | — |
| 26 | ANET | Arista Networks, Inc. | Technology | 0.281 | 0.83% | — |
| 27 | MOS | The Mosaic Company | Basic Materials | -0.094 | 0.75% | — |
| 28 | EW | Edwards Lifesciences Corporation | Healthcare | -0.019 | 0.50% | — |
| 29 | VRSN | VeriSign, Inc. | Technology | 0.034 | 0.31% | — |
Short book
19 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VZ | Verizon Communications Inc. | Communication Services | -0.154 | -1.62% | — |
| 2 | MRNA | Moderna, Inc. | Healthcare | -0.137 | -1.51% | — |
| 3 | BAX | Baxter International Inc. | Healthcare | -0.117 | -1.49% | — |
| 4 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.196 | -1.42% | — |
| 5 | ES | Eversource Energy | Utilities | -0.051 | -1.40% | — |
| 6 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.012 | -1.35% | — |
| 7 | KO | The Coca-Cola Company | Consumer Defensive | -0.172 | -1.30% | — |
| 8 | LKQ | LKQ Corporation | Consumer Cyclical | -0.075 | -1.26% | — |
| 9 | KIM | Kimco Realty Corporation | Real Estate | -0.029 | -1.25% | — |
| 10 | FOX | Fox Corporation | Communication Services | -0.045 | -1.25% | — |
| 11 | VTRS | Viatris Inc. | Healthcare | -0.097 | -1.19% | — |
| 12 | PEG | Public Service Enterprise Group Incorporated | Utilities | -0.032 | -1.12% | — |
| 13 | BALL | Ball Corporation | Consumer Cyclical | -0.015 | -0.92% | — |
| 14 | SRE | Sempra | Utilities | -0.014 | -0.91% | — |
| 15 | UNH | UnitedHealth Group Incorporated | Healthcare | 0.000 | -0.85% | — |
| 16 | DAY | Dayforce Inc | Technology | -0.031 | -0.73% | — |
| 17 | C | Citigroup Inc. | Financial Services | -0.005 | -0.65% | — |
| 18 | SCHW | The Charles Schwab Corporation | Financial Services | 0.007 | -0.33% | — |
| 19 | DLR | Digital Realty Trust, Inc. | Real Estate | 0.025 | -0.32% | — |
Sector exposure en el rebalanceo seleccionado
2025-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 35.7% | 0.7% | 35.00% | 18 | 1 |
| Financial Services | 9.9% | 1.0% | 8.91% | 4 | 2 |
| Healthcare | 3.6% | 6.5% | -2.81% | 3 | 5 |
| Industrials | 7.3% | 0.0% | 7.32% | 2 | 0 |
| Consumer Defensive | 2.7% | 2.7% | 0.04% | 1 | 2 |
| Utilities | 0.0% | 3.4% | -3.44% | 0 | 3 |
| Communication Services | 0.0% | 2.9% | -2.86% | 0 | 2 |
| Consumer Cyclical | 0.0% | 2.2% | -2.18% | 0 | 2 |
| Real Estate | 0.0% | 1.6% | -1.58% | 0 | 2 |
| Basic Materials | 0.7% | 0.0% | 0.75% | 1 | 0 |