Portfolio
lightgbmLGBM no sector· 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
-0.71
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-0.35%
Short avg
-0.46%
bajar = bueno para el short
Spread long − short
0.11%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MCHP | Microchip Technology Incorporated | Technology | 0.032 | 3.33% | 23.49% |
| 2 | COF | Capital One Financial Corporation | Financial Services | 0.032 | 3.33% | 2.06% |
| 3 | META | Meta Platforms, Inc. | Communication Services | 0.030 | 3.33% | 4.87% |
| 4 | GOOGL | Alphabet Inc. | Communication Services | 0.029 | 3.33% | 16.09% |
| 5 | GOOG | Alphabet Inc. | Communication Services | 0.029 | 3.33% | 16.04% |
| 6 | KKR | KKR & Co. Inc. | Financial Services | 0.028 | 3.33% | -11.42% |
| 7 | AIG | American International Group, Inc. | Financial Services | 0.024 | 3.33% | -2.82% |
| 8 | EG | Everest Re Group, Ltd. | Financial Services | 0.023 | 3.33% | 6.81% |
| 9 | CRWD | CrowdStrike Holdings, Inc. | Technology | 0.023 | 3.33% | -28.43% |
| 10 | IBKR | Interactive Brokers Group, Inc. | Financial Services | 0.022 | 3.33% | 0.62% |
| 11 | AXON | Axon Enterprise, Inc. | Industrials | 0.021 | 3.33% | -51.96% |
| 12 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | 0.020 | 3.33% | -24.17% |
| 13 | LLY | Eli Lilly and Company | Healthcare | 0.020 | 3.33% | 21.25% |
| 14 | C | Citigroup Inc. | Financial Services | 0.019 | 3.33% | 14.99% |
| 15 | APO | Apollo Global Management, Inc. | Financial Services | 0.019 | 3.33% | 7.29% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NVDA | NVIDIA Corporation | Technology | -0.026 | -3.33% | -17.20% |
| 2 | APH | Amphenol Corporation | Technology | -0.023 | -3.33% | -8.32% |
| 3 | APP | AppLovin Corporation | Technology | -0.022 | -3.33% | -48.98% |
| 4 | GEN | Gen Digital Inc. | Technology | -0.018 | -3.33% | -13.15% |
| 5 | INCY | Incyte Corporation | Healthcare | -0.018 | -3.33% | 1.01% |
| 6 | GILD | Gilead Sciences, Inc. | Healthcare | -0.018 | -3.33% | 18.73% |
| 7 | KO | The Coca-Cola Company | Consumer Defensive | -0.016 | -3.33% | 13.63% |
| 8 | CEG | Constellation Energy Corporation | Utilities | -0.014 | -3.33% | -40.97% |
| 9 | NEM | Newmont Corporation | Basic Materials | -0.014 | -3.33% | 36.17% |
| 10 | BA | The Boeing Company | Industrials | -0.014 | -3.33% | 14.28% |
| 11 | GLW | Corning Incorporated | Technology | -0.014 | -3.33% | 22.95% |
| 12 | SW | Smurfit Westrock Plc | Consumer Cyclical | -0.013 | -3.33% | 20.60% |
| 13 | GIS | General Mills, Inc. | Consumer Defensive | -0.013 | -3.33% | 5.76% |
| 14 | NOC | Northrop Grumman Corporation | Industrials | -0.013 | -3.33% | 18.53% |
| 15 | UBER | Uber Technologies, Inc. | Technology | -0.012 | -3.33% | -29.94% |
Sector exposure en el rebalanceo seleccionado
2025-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 6.7% | 20.0% | -13.33% | 2 | 6 |
| Financial Services | 23.3% | 0.0% | 23.33% | 7 | 0 |
| Communication Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Healthcare | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Industrials | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Cyclical | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |