Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2025-10-31
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 31.0%
Short book
15
gross -69.0%
Sectores cubiertos
9
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-10.75%
Short avg
14.13%
bajar = bueno para el short
Spread long − short
-24.88%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DDOG | Datadog, Inc. | Technology | 0.137 | 2.07% | -33.70% |
| 2 | CRWD | CrowdStrike Holdings, Inc. | Technology | 0.133 | 2.07% | -28.43% |
| 3 | WDAY | Workday, Inc. | Technology | 0.128 | 2.07% | -33.42% |
| 4 | SNPS | Synopsys, Inc. | Technology | 0.124 | 2.07% | -6.19% |
| 5 | MCHP | Microchip Technology Incorporated | Technology | 0.120 | 2.07% | 23.49% |
| 6 | CDNS | Cadence Design Systems, Inc. | Technology | 0.118 | 2.07% | -21.17% |
| 7 | AVGO | Broadcom Inc. | Technology | 0.102 | 2.07% | -16.10% |
| 8 | EG | Everest Re Group, Ltd. | Financial Services | 0.088 | 2.07% | 6.81% |
| 9 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.086 | 2.07% | 12.60% |
| 10 | FICO | Fair Isaac Corporation | Technology | 0.084 | 2.07% | -17.40% |
| 11 | INTC | Intel Corporation | Technology | 0.079 | 2.07% | 20.73% |
| 12 | TER | Teradyne, Inc. | Technology | 0.078 | 2.07% | 38.59% |
| 13 | ORCL | Oracle Corporation | Technology | 0.077 | 2.07% | -56.15% |
| 14 | AMD | Advanced Micro Devices, Inc. | Technology | 0.074 | 2.07% | -26.01% |
| 15 | SWKS | Skyworks Solutions, Inc. | Technology | 0.074 | 2.07% | -24.89% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MU | Micron Technology, Inc. | Technology | -0.096 | -4.60% | 48.07% |
| 2 | KO | The Coca-Cola Company | Consumer Defensive | -0.093 | -4.60% | 13.63% |
| 3 | TKO | TKO Group Holdings, Inc. | Communication Services | -0.088 | -4.60% | 9.93% |
| 4 | NEM | Newmont Corporation | Basic Materials | -0.082 | -4.60% | 36.17% |
| 5 | INCY | Incyte Corporation | Healthcare | -0.071 | -4.60% | 1.01% |
| 6 | ETR | Entergy Corporation | Utilities | -0.069 | -4.60% | 0.63% |
| 7 | EQT | EQT Corporation | Energy | -0.065 | -4.60% | -0.52% |
| 8 | D | Dominion Energy, Inc. | Utilities | -0.060 | -4.60% | 7.47% |
| 9 | VTRS | Viatris Inc. | Healthcare | -0.060 | -4.60% | 32.17% |
| 10 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.059 | -4.60% | 9.94% |
| 11 | NI | NiSource Inc. | Utilities | -0.058 | -4.60% | 4.03% |
| 12 | STX | Seagate Technology Holdings plc | Technology | -0.057 | -4.60% | 45.78% |
| 13 | KVUE | Kenvue Inc. | Consumer Defensive | -0.055 | -4.60% | 12.26% |
| 14 | AMZN | Amazon.com, Inc. | Consumer Cyclical | -0.049 | -4.60% | -8.63% |
| 15 | ATO | Atmos Energy Corporation | Utilities | -0.048 | -4.60% | 0.06% |
Sector exposure en el rebalanceo seleccionado
2025-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 28.9% | 9.2% | 19.72% | 14 | 2 |
| Utilities | 0.0% | 18.4% | -18.40% | 0 | 4 |
| Healthcare | 0.0% | 13.8% | -13.80% | 0 | 3 |
| Consumer Defensive | 0.0% | 9.2% | -9.20% | 0 | 2 |
| Basic Materials | 0.0% | 4.6% | -4.60% | 0 | 1 |
| Communication Services | 0.0% | 4.6% | -4.60% | 0 | 1 |
| Consumer Cyclical | 0.0% | 4.6% | -4.60% | 0 | 1 |
| Energy | 0.0% | 4.6% | -4.60% | 0 | 1 |
| Financial Services | 2.1% | 0.0% | 2.07% | 1 | 0 |