Portfolio
lightgbmLGBM dual tail macro· rebalanceo 2021-08-31
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
5
30 posiciones
Sortino del run
-0.37
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-10.85%
Short avg
0.79%
bajar = bueno para el short
Spread long − short
-11.64%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.217 | 3.33% | 6.29% |
| 2 | LNC | Lincoln National Corporation | Financial Services | 0.217 | 3.33% | -5.52% |
| 3 | MGM | MGM Resorts International | Consumer Cyclical | 0.217 | 3.33% | -9.68% |
| 4 | UAL | United Airlines Holdings, Inc. | Industrials | 0.217 | 3.33% | -16.77% |
| 5 | MET | MetLife, Inc. | Financial Services | 0.217 | 3.33% | -6.34% |
| 6 | DAL | Delta Air Lines, Inc. | Industrials | 0.217 | 3.33% | -18.64% |
| 7 | AAL | American Airlines Group Inc. | Industrials | 0.217 | 3.33% | -18.76% |
| 8 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | 0.217 | 3.33% | -28.34% |
| 9 | ALK | Alaska Air Group, Inc. | Industrials | 0.217 | 3.33% | -21.22% |
| 10 | PRU | Prudential Financial, Inc. | Financial Services | 0.217 | 3.33% | -3.51% |
| 11 | PFG | Principal Financial Group, Inc. | Financial Services | 0.217 | 3.33% | 3.67% |
| 12 | LUV | Southwest Airlines Co. | Industrials | 0.217 | 3.33% | -15.22% |
| 13 | LYV | Live Nation Entertainment, Inc. | Communication Services | 0.217 | 3.33% | 17.46% |
| 14 | CCL | Carnival Corporation & plc | Consumer Cyclical | 0.217 | 3.33% | -36.17% |
| 15 | NOV | NOV Inc. | Energy | 0.217 | 3.33% | -9.99% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PXD | Pioneer Natural Resources Company | Energy | 0.200 | -3.33% | 19.45% |
| 2 | FANG | Diamondback Energy, Inc. | Energy | 0.200 | -3.33% | 33.28% |
| 3 | PENN | PENN Entertainment, Inc. | Consumer Cyclical | 0.213 | -3.33% | -53.42% |
| 4 | DRI | Darden Restaurants, Inc. | Consumer Cyclical | 0.209 | -3.33% | -9.39% |
| 5 | F | Ford Motor Company | Consumer Cyclical | 0.213 | -3.33% | 40.65% |
| 6 | GPS | The Gap, Inc. | Consumer Cyclical | 0.213 | -3.33% | -49.88% |
| 7 | EOG | EOG Resources, Inc. | Energy | 0.203 | -3.33% | 25.62% |
| 8 | HES | Hess Corporation | Energy | 0.200 | -3.33% | 6.07% |
| 9 | MPC | Marathon Petroleum Corporation | Energy | 0.213 | -3.33% | 7.08% |
| 10 | UA | Under Armour, Inc. | Consumer Cyclical | 0.213 | -3.33% | -3.57% |
| 11 | RL | Ralph Lauren Corporation | Consumer Cyclical | 0.213 | -3.33% | -1.50% |
| 12 | TPR | Tapestry, Inc. | Consumer Cyclical | 0.213 | -3.33% | -3.56% |
| 13 | BKR | Baker Hughes Company | Energy | 0.208 | -3.33% | 4.75% |
| 14 | GM | General Motors Company | Consumer Cyclical | 0.208 | -3.33% | 16.75% |
| 15 | CZR | Caesars Entertainment, Inc. | Consumer Cyclical | 0.208 | -3.33% | -20.42% |
Sector exposure en el rebalanceo seleccionado
2021-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 13.3% | 30.0% | -16.67% | 4 | 9 |
| Energy | 3.3% | 20.0% | -16.67% | 1 | 6 |
| Industrials | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Financial Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |