Portfolio
lightgbmLGBM beta neutral buffer· rebalanceo 2025-11-28
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 28.6%
Short book
15
gross -71.4%
Sectores cubiertos
8
30 posiciones
Sortino del run
-0.50
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-4.11%
Short avg
12.04%
bajar = bueno para el short
Spread long − short
-16.14%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CDNS | Cadence Design Systems, Inc. | Technology | 0.158 | 1.91% | -1.36% |
| 2 | DDOG | Datadog, Inc. | Technology | 0.133 | 1.91% | -28.85% |
| 3 | CRWD | CrowdStrike Holdings, Inc. | Technology | 0.133 | 1.91% | -21.24% |
| 4 | SNPS | Synopsys, Inc. | Technology | 0.124 | 1.91% | -1.68% |
| 5 | WDAY | Workday, Inc. | Technology | 0.120 | 1.91% | -39.98% |
| 6 | AVGO | Broadcom Inc. | Technology | 0.103 | 1.91% | -19.36% |
| 7 | ANET | Arista Networks, Inc. | Technology | 0.095 | 1.91% | 5.11% |
| 8 | ADSK | Autodesk, Inc. | Technology | 0.093 | 1.91% | -16.82% |
| 9 | TER | Teradyne, Inc. | Technology | 0.092 | 1.91% | 53.05% |
| 10 | MCHP | Microchip Technology Incorporated | Technology | 0.088 | 1.91% | 27.46% |
| 11 | FICO | Fair Isaac Corporation | Technology | 0.087 | 1.91% | -18.91% |
| 12 | EG | Everest Re Group, Ltd. | Financial Services | 0.083 | 1.91% | 6.82% |
| 13 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.075 | 1.91% | 17.05% |
| 14 | SWKS | Skyworks Solutions, Inc. | Technology | 0.061 | 1.91% | -14.48% |
| 15 | AMD | Advanced Micro Devices, Inc. | Technology | 0.059 | 1.91% | -8.39% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EXE | Expand Energy Corporation | Energy | -0.094 | -4.76% | -13.82% |
| 2 | MU | Micron Technology, Inc. | Technology | -0.093 | -4.76% | 51.12% |
| 3 | NEM | Newmont Corporation | Basic Materials | -0.086 | -4.76% | 26.44% |
| 4 | DTE | DTE Energy Company | Utilities | -0.080 | -4.76% | 12.80% |
| 5 | CHTR | Charter Communications, Inc. | Communication Services | -0.080 | -4.76% | 16.38% |
| 6 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.078 | -4.76% | 11.59% |
| 7 | INCY | Incyte Corporation | Healthcare | -0.074 | -4.76% | -3.17% |
| 8 | WMB | The Williams Companies, Inc. | Energy | -0.074 | -4.76% | 21.81% |
| 9 | WEC | WEC Energy Group, Inc. | Utilities | -0.071 | -4.76% | 8.07% |
| 10 | TKO | TKO Group Holdings, Inc. | Communication Services | -0.070 | -4.76% | 11.23% |
| 11 | EQT | EQT Corporation | Energy | -0.068 | -4.76% | 1.57% |
| 12 | KO | The Coca-Cola Company | Consumer Defensive | -0.067 | -4.76% | 8.20% |
| 13 | ETR | Entergy Corporation | Utilities | -0.059 | -4.76% | 12.51% |
| 14 | NI | NiSource Inc. | Utilities | -0.057 | -4.76% | 10.76% |
| 15 | D | Dominion Energy, Inc. | Utilities | -0.050 | -4.76% | 5.05% |
Sector exposure en el rebalanceo seleccionado
2025-11-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 26.7% | 4.8% | 21.96% | 14 | 1 |
| Utilities | 0.0% | 23.8% | -23.79% | 0 | 5 |
| Energy | 0.0% | 14.3% | -14.27% | 0 | 3 |
| Communication Services | 0.0% | 9.5% | -9.52% | 0 | 2 |
| Healthcare | 0.0% | 9.5% | -9.52% | 0 | 2 |
| Basic Materials | 0.0% | 4.8% | -4.76% | 0 | 1 |
| Consumer Defensive | 0.0% | 4.8% | -4.76% | 0 | 1 |
| Financial Services | 1.9% | 0.0% | 1.91% | 1 | 0 |