Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2025-09-30
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 31.2%
Short book
15
gross -68.8%
Sectores cubiertos
9
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
1.17%
Short avg
8.59%
bajar = bueno para el short
Spread long − short
-7.41%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CRWD | CrowdStrike Holdings, Inc. | Technology | 0.145 | 2.08% | -6.44% |
| 2 | DDOG | Datadog, Inc. | Technology | 0.133 | 2.08% | -11.59% |
| 3 | MCHP | Microchip Technology Incorporated | Technology | 0.129 | 2.08% | 0.29% |
| 4 | SNPS | Synopsys, Inc. | Technology | 0.128 | 2.08% | -3.98% |
| 5 | WDAY | Workday, Inc. | Technology | 0.124 | 2.08% | -7.80% |
| 6 | INTC | Intel Corporation | Technology | 0.113 | 2.08% | 2.64% |
| 7 | TER | Teradyne, Inc. | Technology | 0.105 | 2.08% | 31.68% |
| 8 | EG | Everest Re Group, Ltd. | Financial Services | 0.101 | 2.08% | -3.46% |
| 9 | AVGO | Broadcom Inc. | Technology | 0.095 | 2.08% | 3.93% |
| 10 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.093 | 2.08% | -0.88% |
| 11 | SWKS | Skyworks Solutions, Inc. | Technology | 0.088 | 2.08% | -17.43% |
| 12 | INTU | Intuit Inc. | Technology | 0.086 | 2.08% | -2.36% |
| 13 | SYF | Synchrony Financial | Financial Services | 0.083 | 2.08% | 18.19% |
| 14 | CDNS | Cadence Design Systems, Inc. | Technology | 0.081 | 2.08% | -11.87% |
| 15 | AMD | Advanced Micro Devices, Inc. | Technology | 0.075 | 2.08% | 26.68% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NEM | Newmont Corporation | Basic Materials | -0.113 | -4.59% | 15.28% |
| 2 | TKO | TKO Group Holdings, Inc. | Communication Services | -0.106 | -4.59% | 5.39% |
| 3 | ETR | Entergy Corporation | Utilities | -0.087 | -4.59% | -0.37% |
| 4 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.086 | -4.59% | 11.48% |
| 5 | D | Dominion Energy, Inc. | Utilities | -0.082 | -4.59% | -2.76% |
| 6 | VTRS | Viatris Inc. | Healthcare | -0.074 | -4.59% | 22.19% |
| 7 | EQT | EQT Corporation | Energy | -0.071 | -4.59% | -4.37% |
| 8 | KO | The Coca-Cola Company | Consumer Defensive | -0.069 | -4.59% | 5.28% |
| 9 | KVUE | Kenvue Inc. | Consumer Defensive | -0.066 | -4.59% | 9.78% |
| 10 | NI | NiSource Inc. | Utilities | -0.064 | -4.59% | -2.42% |
| 11 | AMZN | Amazon.com, Inc. | Consumer Cyclical | -0.063 | -4.59% | 4.52% |
| 12 | INCY | Incyte Corporation | Healthcare | -0.062 | -4.59% | 13.03% |
| 13 | MU | Micron Technology, Inc. | Technology | -0.062 | -4.59% | 45.01% |
| 14 | STX | Seagate Technology Holdings plc | Technology | -0.057 | -4.59% | 7.24% |
| 15 | ATO | Atmos Energy Corporation | Utilities | -0.054 | -4.59% | -0.47% |
Sector exposure en el rebalanceo seleccionado
2025-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 27.1% | 9.2% | 17.88% | 13 | 2 |
| Utilities | 0.0% | 18.3% | -18.34% | 0 | 4 |
| Healthcare | 0.0% | 13.8% | -13.76% | 0 | 3 |
| Consumer Defensive | 0.0% | 9.2% | -9.17% | 0 | 2 |
| Basic Materials | 0.0% | 4.6% | -4.59% | 0 | 1 |
| Communication Services | 0.0% | 4.6% | -4.59% | 0 | 1 |
| Consumer Cyclical | 0.0% | 4.6% | -4.59% | 0 | 1 |
| Energy | 0.0% | 4.6% | -4.59% | 0 | 1 |
| Financial Services | 4.2% | 0.0% | 4.16% | 2 | 0 |