Portfolio
lightgbmLGBM no sector· 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
11
30 posiciones
Sortino del run
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
4.01%
Short avg
10.85%
bajar = bueno para el short
Spread long − short
-6.84%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KKR | KKR & Co. Inc. | Financial Services | 0.034 | 3.33% | -18.68% |
| 2 | MCHP | Microchip Technology Incorporated | Technology | 0.032 | 3.33% | -6.00% |
| 3 | META | Meta Platforms, Inc. | Communication Services | 0.032 | 3.33% | -11.74% |
| 4 | GOOG | Alphabet Inc. | Communication Services | 0.029 | 3.33% | 39.57% |
| 5 | GOOGL | Alphabet Inc. | Communication Services | 0.029 | 3.33% | 39.85% |
| 6 | GS | The Goldman Sachs Group, Inc. | Financial Services | 0.029 | 3.33% | 11.29% |
| 7 | MET | MetLife, Inc. | Financial Services | 0.024 | 3.33% | 7.49% |
| 8 | EG | Everest Re Group, Ltd. | Financial Services | 0.023 | 3.33% | -6.34% |
| 9 | AXON | Axon Enterprise, Inc. | Industrials | 0.022 | 3.33% | -0.48% |
| 10 | COIN | Coinbase Global, Inc. | Financial Services | 0.020 | 3.33% | 4.30% |
| 11 | SCHW | The Charles Schwab Corporation | Financial Services | 0.020 | 3.33% | -0.91% |
| 12 | ABNB | Airbnb, Inc. | Consumer Cyclical | 0.019 | 3.33% | -1.32% |
| 13 | EQT | EQT Corporation | Energy | 0.019 | 3.33% | 0.52% |
| 14 | AIG | American International Group, Inc. | Financial Services | 0.018 | 3.33% | 2.12% |
| 15 | NTRS | Northern Trust Corporation | Financial Services | 0.018 | 3.33% | 0.50% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NVDA | NVIDIA Corporation | Technology | -0.026 | -3.33% | 15.53% |
| 2 | APH | Amphenol Corporation | Technology | -0.023 | -3.33% | 28.92% |
| 3 | KO | The Coca-Cola Company | Consumer Defensive | -0.022 | -3.33% | 0.95% |
| 4 | K | Kellanova | Consumer Defensive | -0.020 | -3.33% | 4.67% |
| 5 | SW | Smurfit Westrock Plc | Consumer Cyclical | -0.019 | -3.33% | -19.75% |
| 6 | GEN | Gen Digital Inc. | Technology | -0.018 | -3.33% | -9.46% |
| 7 | MU | Micron Technology, Inc. | Technology | -0.017 | -3.33% | 75.95% |
| 8 | NEM | Newmont Corporation | Basic Materials | -0.014 | -3.33% | 27.72% |
| 9 | SBAC | SBA Communications Corporation | Real Estate | -0.014 | -3.33% | -17.39% |
| 10 | ETR | Entergy Corporation | Utilities | -0.014 | -3.33% | 7.53% |
| 11 | GLW | Corning Incorporated | Technology | -0.014 | -3.33% | 37.91% |
| 12 | UBER | Uber Technologies, Inc. | Technology | -0.014 | -3.33% | 10.46% |
| 13 | INCY | Incyte Corporation | Healthcare | -0.014 | -3.33% | 20.29% |
| 14 | TYL | Tyler Technologies, Inc. | Technology | -0.013 | -3.33% | -19.61% |
| 15 | NOC | Northrop Grumman Corporation | Industrials | -0.013 | -3.33% | -0.95% |
Sector exposure en el rebalanceo seleccionado
2025-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 26.7% | 0.0% | 26.67% | 8 | 0 |
| Technology | 3.3% | 23.3% | -20.00% | 1 | 7 |
| Communication Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Consumer Cyclical | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |