Portfolio
lightgbmLGBM dual tail macro· rebalanceo 2021-07-30
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
7
30 posiciones
Sortino del run
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
4.70%
Short avg
14.98%
bajar = bueno para el short
Spread long − short
-10.28%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.217 | 3.33% | 8.69% |
| 2 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.217 | 3.33% | 3.23% |
| 3 | ALK | Alaska Air Group, Inc. | Industrials | 0.217 | 3.33% | -7.14% |
| 4 | LUV | Southwest Airlines Co. | Industrials | 0.217 | 3.33% | -5.08% |
| 5 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | 0.217 | 3.33% | -9.12% |
| 6 | CNC | Centene Corporation | Healthcare | 0.217 | 3.33% | 1.31% |
| 7 | MGM | MGM Resorts International | Consumer Cyclical | 0.217 | 3.33% | 23.25% |
| 8 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.217 | 3.33% | 3.20% |
| 9 | AAL | American Airlines Group Inc. | Industrials | 0.217 | 3.33% | -4.38% |
| 10 | UAL | United Airlines Holdings, Inc. | Industrials | 0.217 | 3.33% | 0.15% |
| 11 | DAL | Delta Air Lines, Inc. | Industrials | 0.217 | 3.33% | -0.79% |
| 12 | MET | MetLife, Inc. | Financial Services | 0.217 | 3.33% | 9.02% |
| 13 | LNC | Lincoln National Corporation | Financial Services | 0.217 | 3.33% | 17.72% |
| 14 | LYV | Live Nation Entertainment, Inc. | Communication Services | 0.217 | 3.33% | 24.56% |
| 15 | JNPR | Juniper Networks, Inc. | Technology | 0.214 | 3.33% | 5.93% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DRI | Darden Restaurants, Inc. | Consumer Cyclical | 0.209 | -3.33% | -1.75% |
| 2 | OXY | Occidental Petroleum Corporation | Energy | 0.208 | -3.33% | 26.27% |
| 3 | TPR | Tapestry, Inc. | Consumer Cyclical | 0.213 | -3.33% | -7.63% |
| 4 | GPS | The Gap, Inc. | Consumer Cyclical | 0.207 | -3.33% | -24.37% |
| 5 | F | Ford Motor Company | Consumer Cyclical | 0.213 | -3.33% | 20.53% |
| 6 | MPC | Marathon Petroleum Corporation | Energy | 0.209 | -3.33% | 20.10% |
| 7 | APA | APA Corporation | Energy | 0.213 | -3.33% | 36.29% |
| 8 | HES | Hess Corporation | Energy | 0.203 | -3.33% | 11.61% |
| 9 | PVH | PVH Corp. | Consumer Cyclical | 0.208 | -3.33% | 4.72% |
| 10 | NOV | NOV Inc. | Energy | 0.213 | -3.33% | 2.60% |
| 11 | UA | Under Armour, Inc. | Consumer Cyclical | 0.213 | -3.33% | 4.22% |
| 12 | PXD | Pioneer Natural Resources Company | Energy | 0.203 | -3.33% | 28.62% |
| 13 | BKR | Baker Hughes Company | Energy | 0.208 | -3.33% | 19.24% |
| 14 | MRO | Marathon Oil Corporation | Energy | 0.208 | -3.33% | 37.22% |
| 15 | DVN | Devon Energy Corporation | Energy | 0.208 | -3.33% | 47.02% |
Sector exposure en el rebalanceo seleccionado
2021-07-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 16.7% | 20.0% | -3.33% | 5 | 6 |
| Energy | 0.0% | 30.0% | -30.00% | 0 | 9 |
| Industrials | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Financial Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Technology | 3.3% | 0.0% | 3.33% | 1 | 0 |