Portfolio
lightgbmLGBM dual tail macro· 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
72 rebalanceosSnapshot (histórico)
Long book
15
gross 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
7
30 posiciones
Sortino del run
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
10.90%
Short avg
3.90%
bajar = bueno para el short
Spread long − short
7.00%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ON | ON Semiconductor Corporation | Technology | 0.389 | 3.33% | -11.10% |
| 2 | MCHP | Microchip Technology Incorporated | Technology | 0.375 | 3.33% | -6.00% |
| 3 | DOW | Dow Inc. | Basic Materials | 0.373 | 3.33% | 10.26% |
| 4 | BAX | Baxter International Inc. | Healthcare | 0.371 | 3.33% | -12.92% |
| 5 | LRCX | Lam Research Corporation | Technology | 0.368 | 3.33% | 51.52% |
| 6 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.366 | 3.33% | -14.35% |
| 7 | AMAT | Applied Materials, Inc. | Technology | 0.366 | 3.33% | 25.91% |
| 8 | ANET | Arista Networks, Inc. | Technology | 0.365 | 3.33% | 29.83% |
| 9 | ADSK | Autodesk, Inc. | Technology | 0.364 | 3.33% | 1.25% |
| 10 | PODD | Insulet Corporation | Healthcare | 0.364 | 3.33% | 9.07% |
| 11 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.364 | 3.33% | 32.70% |
| 12 | INTC | Intel Corporation | Technology | 0.364 | 3.33% | 73.22% |
| 13 | PLTR | Palantir Technologies Inc. | Technology | 0.363 | 3.33% | 23.20% |
| 14 | EL | The Estée Lauder Companies Inc. | Consumer Defensive | 0.362 | 3.33% | 7.34% |
| 15 | TTD | The Trade Desk, Inc. | Communication Services | 0.361 | 3.33% | -56.41% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MRNA | Moderna, Inc. | Healthcare | 0.332 | -3.33% | 1.90% |
| 2 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.346 | -3.33% | 37.45% |
| 3 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.329 | -3.33% | -9.77% |
| 4 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.329 | -3.33% | 51.87% |
| 5 | EQT | EQT Corporation | Energy | 0.306 | -3.33% | 0.52% |
| 6 | INCY | Incyte Corporation | Healthcare | 0.328 | -3.33% | 20.29% |
| 7 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.331 | -3.33% | -2.57% |
| 8 | COO | The Cooper Companies, Inc. | Healthcare | 0.334 | -3.33% | -1.08% |
| 9 | FANG | Diamondback Energy, Inc. | Energy | 0.290 | -3.33% | -2.05% |
| 10 | TPL | Texas Pacific Land Corporation | Energy | 0.289 | -3.33% | -0.51% |
| 11 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | 0.355 | -3.33% | -32.04% |
| 12 | TPR | Tapestry, Inc. | Consumer Cyclical | 0.303 | -3.33% | 5.02% |
| 13 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.316 | -3.33% | -9.63% |
| 14 | DG | Dollar General Corporation | Consumer Defensive | 0.334 | -3.33% | -8.01% |
| 15 | GEHC | GE HealthCare Technologies Inc. | Healthcare | 0.329 | -3.33% | 7.16% |
Sector exposure en el rebalanceo seleccionado
2025-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 30.0% | 0.0% | 30.00% | 9 | 0 |
| Consumer Cyclical | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Healthcare | 6.7% | 13.3% | -6.67% | 2 | 4 |
| Energy | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Communication Services | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Consumer Defensive | 3.3% | 3.3% | 0.00% | 1 | 1 |