Portfolio
lightgbmLGBM macro· 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 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
-10.66%
Short avg
14.03%
bajar = bueno para el short
Spread long − short
-24.70%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WDAY | Workday, Inc. | Technology | 0.155 | 3.33% | -39.98% |
| 2 | CDNS | Cadence Design Systems, Inc. | Technology | 0.152 | 3.33% | -1.36% |
| 3 | ANET | Arista Networks, Inc. | Technology | 0.139 | 3.33% | 5.11% |
| 4 | NOW | ServiceNow, Inc. | Technology | 0.132 | 3.33% | -36.74% |
| 5 | MSCI | MSCI Inc. | Financial Services | 0.131 | 3.33% | 2.64% |
| 6 | PANW | Palo Alto Networks, Inc. | Technology | 0.130 | 3.33% | -16.89% |
| 7 | PLTR | Palantir Technologies Inc. | Technology | 0.128 | 3.33% | -8.92% |
| 8 | CRWD | CrowdStrike Holdings, Inc. | Technology | 0.127 | 3.33% | -21.24% |
| 9 | HOOD | Robinhood Markets, Inc. | Financial Services | 0.116 | 3.33% | -40.49% |
| 10 | SNPS | Synopsys, Inc. | Technology | 0.112 | 3.33% | -1.68% |
| 11 | DDOG | Datadog, Inc. | Technology | 0.112 | 3.33% | -28.85% |
| 12 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.111 | 3.33% | 17.05% |
| 13 | TDG | TransDigm Group Incorporated | Industrials | 0.111 | 3.33% | -2.98% |
| 14 | CL | Colgate-Palmolive Company | Consumer Defensive | 0.102 | 3.33% | 18.15% |
| 15 | MA | Mastercard Incorporated | Financial Services | 0.102 | 3.33% | -3.80% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NEM | Newmont Corporation | Basic Materials | -0.202 | -3.33% | 26.44% |
| 2 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.163 | -3.33% | 15.78% |
| 3 | MU | Micron Technology, Inc. | Technology | -0.149 | -3.33% | 51.12% |
| 4 | INCY | Incyte Corporation | Healthcare | -0.129 | -3.33% | -3.17% |
| 5 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.123 | -3.33% | 12.82% |
| 6 | WDC | Western Digital Corporation | Technology | -0.123 | -3.33% | 46.94% |
| 7 | TPL | Texas Pacific Land Corporation | Energy | -0.107 | -3.33% | 63.45% |
| 8 | IVZ | Invesco Ltd. | Financial Services | -0.104 | -3.33% | 3.24% |
| 9 | APO | Apollo Global Management, Inc. | Financial Services | -0.095 | -3.33% | -17.55% |
| 10 | EXE | Expand Energy Corporation | Energy | -0.095 | -3.33% | -13.82% |
| 11 | CHTR | Charter Communications, Inc. | Communication Services | -0.093 | -3.33% | 16.38% |
| 12 | HPE | Hewlett Packard Enterprise Company | Technology | -0.090 | -3.33% | -1.16% |
| 13 | IBKR | Interactive Brokers Group, Inc. | Financial Services | -0.090 | -3.33% | 8.57% |
| 14 | DAL | Delta Air Lines, Inc. | Industrials | -0.086 | -3.33% | -0.24% |
| 15 | NVDA | NVIDIA Corporation | Technology | -0.083 | -3.33% | 1.72% |
Sector exposure en el rebalanceo seleccionado
2025-11-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 33.3% | 13.3% | 20.00% | 10 | 4 |
| Financial Services | 10.0% | 10.0% | 0.00% | 3 | 3 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Cyclical | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Defensive | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |