Portfolio
lightgbmLGBM 126d fundamental flexible· rebalanceo 2025-08-29
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
28
gross 49.9%
Short book
18
gross -20.4%
Sectores cubiertos
10
46 posiciones
Sortino del run
0.64
Long book
28 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | TDG | TransDigm Group Incorporated | Industrials | 0.243 | 3.81% | — |
| 2 | OTIS | Otis Worldwide Corporation | Industrials | 0.145 | 3.59% | — |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.161 | 3.54% | — |
| 4 | MA | Mastercard Incorporated | Financial Services | 0.160 | 3.53% | — |
| 5 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.171 | 3.06% | — |
| 6 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.111 | 2.06% | — |
| 7 | CFG | Citizens Financial Group, Inc. | Financial Services | 0.073 | 2.01% | — |
| 8 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.245 | 1.83% | — |
| 9 | NOW | ServiceNow, Inc. | Technology | 0.191 | 1.77% | — |
| 10 | PANW | Palo Alto Networks, Inc. | Technology | 0.162 | 1.72% | — |
| 11 | GRMN | Garmin Ltd. | Technology | 0.156 | 1.72% | — |
| 12 | INTU | Intuit Inc. | Technology | 0.183 | 1.71% | — |
| 13 | SWKS | Skyworks Solutions, Inc. | Technology | 0.229 | 1.71% | — |
| 14 | NTAP | NetApp, Inc. | Technology | 0.190 | 1.70% | — |
| 15 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.094 | 1.63% | — |
| 16 | CSCO | Cisco Systems, Inc. | Technology | 0.140 | 1.62% | — |
| 17 | FFIV | F5, Inc. | Technology | 0.110 | 1.61% | — |
| 18 | AMD | Advanced Micro Devices, Inc. | Technology | 0.156 | 1.59% | — |
| 19 | MCHP | Microchip Technology Incorporated | Technology | 0.262 | 1.57% | — |
| 20 | CRM | Salesforce, Inc. | Technology | 0.111 | 1.44% | — |
| 21 | ADBE | Adobe Inc. | Technology | 0.103 | 1.37% | — |
| 22 | MSFT | Microsoft Corporation | Technology | 0.119 | 1.18% | — |
| 23 | FTNT | Fortinet, Inc. | Technology | 0.038 | 0.98% | — |
| 24 | ANET | Arista Networks, Inc. | Technology | 0.134 | 0.96% | — |
| 25 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.023 | 0.72% | — |
| 26 | ACN | Accenture plc | Technology | 0.045 | 0.68% | — |
| 27 | MOS | The Mosaic Company | Basic Materials | -0.109 | 0.50% | — |
| 28 | EW | Edwards Lifesciences Corporation | Healthcare | -0.017 | 0.34% | — |
Short book
18 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | VZ | Verizon Communications Inc. | Communication Services | -0.135 | -1.63% | — |
| 2 | MRNA | Moderna, Inc. | Healthcare | -0.147 | -1.60% | — |
| 3 | BAX | Baxter International Inc. | Healthcare | -0.098 | -1.52% | — |
| 4 | KO | The Coca-Cola Company | Consumer Defensive | -0.163 | -1.41% | — |
| 5 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | 0.042 | -1.39% | — |
| 6 | ES | Eversource Energy | Utilities | -0.099 | -1.39% | — |
| 7 | LKQ | LKQ Corporation | Consumer Cyclical | -0.042 | -1.32% | — |
| 8 | VTRS | Viatris Inc. | Healthcare | -0.122 | -1.31% | — |
| 9 | KIM | Kimco Realty Corporation | Real Estate | -0.035 | -1.24% | — |
| 10 | PEG | Public Service Enterprise Group Incorporated | Utilities | -0.120 | -1.24% | — |
| 11 | BALL | Ball Corporation | Consumer Cyclical | -0.024 | -1.01% | — |
| 12 | SRE | Sempra | Utilities | -0.019 | -1.01% | — |
| 13 | KHC | The Kraft Heinz Company | Consumer Defensive | 0.093 | -0.91% | — |
| 14 | UNH | UnitedHealth Group Incorporated | Healthcare | 0.003 | -0.90% | — |
| 15 | FOX | Fox Corporation | Communication Services | -0.089 | -0.84% | — |
| 16 | C | Citigroup Inc. | Financial Services | -0.025 | -0.81% | — |
| 17 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.041 | -0.54% | — |
| 18 | DAY | Dayforce Inc | Technology | — | -0.35% | — |
Sector exposure en el rebalanceo seleccionado
2025-08-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 25.2% | 0.3% | 24.81% | 17 | 1 |
| Healthcare | 4.0% | 6.7% | -2.70% | 3 | 5 |
| Financial Services | 9.8% | 0.8% | 8.99% | 4 | 1 |
| Industrials | 7.4% | 0.0% | 7.40% | 2 | 0 |
| Consumer Defensive | 3.1% | 2.3% | 0.74% | 1 | 2 |
| Utilities | 0.0% | 3.6% | -3.64% | 0 | 3 |
| Communication Services | 0.0% | 2.5% | -2.47% | 0 | 2 |
| Consumer Cyclical | 0.0% | 2.3% | -2.33% | 0 | 2 |
| Real Estate | 0.0% | 1.8% | -1.78% | 0 | 2 |
| Basic Materials | 0.5% | 0.0% | 0.50% | 1 | 0 |