Portfolio
lightgbmLGBM macro· 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 50.0%
Short book
15
gross -50.0%
Sectores cubiertos
9
30 posiciones
Sortino del run
-0.26
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-12.91%
Short avg
16.12%
bajar = bueno para el short
Spread long − short
-29.03%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WDAY | Workday, Inc. | Technology | 0.156 | 3.33% | -33.42% |
| 2 | DDOG | Datadog, Inc. | Technology | 0.143 | 3.33% | -33.70% |
| 3 | CRWD | CrowdStrike Holdings, Inc. | Technology | 0.141 | 3.33% | -28.43% |
| 4 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.135 | 3.33% | 12.60% |
| 5 | PLTR | Palantir Technologies Inc. | Technology | 0.128 | 3.33% | -39.52% |
| 6 | MSCI | MSCI Inc. | Financial Services | 0.126 | 3.33% | -1.44% |
| 7 | TDG | TransDigm Group Incorporated | Industrials | 0.120 | 3.33% | -2.75% |
| 8 | CDNS | Cadence Design Systems, Inc. | Technology | 0.114 | 3.33% | -21.17% |
| 9 | MA | Mastercard Incorporated | Financial Services | 0.107 | 3.33% | 1.87% |
| 10 | NOW | ServiceNow, Inc. | Technology | 0.106 | 3.33% | -49.81% |
| 11 | PANW | Palo Alto Networks, Inc. | Technology | 0.104 | 3.33% | -27.38% |
| 12 | COST | Costco Wholesale Corporation | Consumer Defensive | 0.095 | 3.33% | 5.42% |
| 13 | EG | Everest Re Group, Ltd. | Financial Services | 0.091 | 3.33% | 6.81% |
| 14 | MCHP | Microchip Technology Incorporated | Technology | 0.091 | 3.33% | 23.49% |
| 15 | SNPS | Synopsys, Inc. | Technology | 0.090 | 3.33% | -6.19% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MU | Micron Technology, Inc. | Technology | -0.189 | -3.33% | 48.07% |
| 2 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.176 | -3.33% | 19.28% |
| 3 | NEM | Newmont Corporation | Basic Materials | -0.175 | -3.33% | 36.17% |
| 4 | TPL | Texas Pacific Land Corporation | Energy | -0.154 | -3.33% | 11.88% |
| 5 | INCY | Incyte Corporation | Healthcare | -0.127 | -3.33% | 1.01% |
| 6 | WDC | Western Digital Corporation | Technology | -0.125 | -3.33% | 53.43% |
| 7 | NVDA | NVIDIA Corporation | Technology | -0.108 | -3.33% | -17.20% |
| 8 | HPE | Hewlett Packard Enterprise Company | Technology | -0.102 | -3.33% | -4.65% |
| 9 | TKO | TKO Group Holdings, Inc. | Communication Services | -0.092 | -3.33% | 9.93% |
| 10 | VTRS | Viatris Inc. | Healthcare | -0.084 | -3.33% | 32.17% |
| 11 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.081 | -3.33% | 0.49% |
| 12 | IVZ | Invesco Ltd. | Financial Services | -0.076 | -3.33% | 13.82% |
| 13 | IBKR | Interactive Brokers Group, Inc. | Financial Services | -0.075 | -3.33% | 0.62% |
| 14 | IP | International Paper Company | Consumer Cyclical | -0.072 | -3.33% | 20.30% |
| 15 | BDX | Becton, Dickinson and Company | Healthcare | -0.065 | -3.33% | 16.45% |
Sector exposure en el rebalanceo seleccionado
2025-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 33.3% | 13.3% | 20.00% | 10 | 4 |
| Financial Services | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Healthcare | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Cyclical | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Defensive | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |