Portfolio
lightgbmLGBM dual tail· 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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
7
30 posiciones
Sortino del run
-0.62
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
1.10%
Short avg
11.54%
bajar = bueno para el short
Spread long − short
-10.44%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BAX | Baxter International Inc. | Healthcare | 0.236 | 3.33% | -20.05% |
| 2 | ON | ON Semiconductor Corporation | Technology | 0.236 | 3.33% | 11.33% |
| 3 | CRL | Charles River Laboratories International, Inc. | Healthcare | 0.236 | 3.33% | 15.71% |
| 4 | TECH | Bio-Techne Corporation | Healthcare | 0.236 | 3.33% | -1.74% |
| 5 | DOW | Dow Inc. | Basic Materials | 0.236 | 3.33% | 2.94% |
| 6 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.236 | 3.33% | -8.34% |
| 7 | MCHP | Microchip Technology Incorporated | Technology | 0.231 | 3.33% | 0.29% |
| 8 | TPR | Tapestry, Inc. | Consumer Cyclical | 0.231 | 3.33% | 11.90% |
| 9 | CNC | Centene Corporation | Healthcare | 0.230 | 3.33% | 14.10% |
| 10 | PAYC | Paycom Software, Inc. | Technology | 0.229 | 3.33% | -22.10% |
| 11 | SWK | Stanley Black & Decker, Inc. | Industrials | 0.229 | 3.33% | 2.06% |
| 12 | INTU | Intuit Inc. | Technology | 0.229 | 3.33% | -2.36% |
| 13 | TRMB | Trimble Inc. | Technology | 0.229 | 3.33% | -1.34% |
| 14 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.229 | 3.33% | 25.69% |
| 15 | PANW | Palo Alto Networks, Inc. | Technology | 0.229 | 3.33% | -11.57% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LLY | Eli Lilly and Company | Healthcare | 0.227 | -3.33% | 26.54% |
| 2 | MRNA | Moderna, Inc. | Healthcare | 0.210 | -3.33% | 6.62% |
| 3 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.216 | -3.33% | -2.14% |
| 4 | COO | The Cooper Companies, Inc. | Healthcare | 0.222 | -3.33% | 18.57% |
| 5 | WAT | Waters Corporation | Healthcare | 0.219 | -3.33% | 17.20% |
| 6 | BIIB | Biogen Inc. | Healthcare | 0.218 | -3.33% | 13.20% |
| 7 | INCY | Incyte Corporation | Healthcare | 0.218 | -3.33% | 13.03% |
| 8 | FSLR | First Solar, Inc. | Energy | 0.222 | -3.33% | 15.01% |
| 9 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.223 | -3.33% | -8.05% |
| 10 | TTD | The Trade Desk, Inc. | Communication Services | 0.223 | -3.33% | -26.18% |
| 11 | EQT | EQT Corporation | Energy | 0.216 | -3.33% | -4.37% |
| 12 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.222 | -3.33% | 7.38% |
| 13 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | 0.223 | -3.33% | 11.48% |
| 14 | MU | Micron Technology, Inc. | Technology | 0.223 | -3.33% | 45.01% |
| 15 | WBD | Warner Bros. Discovery, Inc. | Communication Services | 0.216 | -3.33% | 39.84% |
Sector exposure en el rebalanceo seleccionado
2025-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 16.7% | 23.3% | -6.67% | 5 | 7 |
| Technology | 20.0% | 3.3% | 16.67% | 6 | 1 |
| Consumer Cyclical | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Basic Materials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |