Portfolio
ridgeRidge no sector· rebalanceo 2020-01-31
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
10
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-13.87%
Short avg
-17.52%
bajar = bueno para el short
Spread long − short
3.65%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.174 | 3.33% | 5.95% |
| 2 | MSCI | MSCI Inc. | Financial Services | 0.164 | 3.33% | 9.60% |
| 3 | YUM | Yum! Brands, Inc. | Consumer Cyclical | 0.148 | 3.33% | -24.29% |
| 4 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.146 | 3.33% | -16.45% |
| 5 | FDX | FedEx Corporation | Industrials | 0.142 | 3.33% | -21.14% |
| 6 | NRG | NRG Energy, Inc. | Utilities | 0.141 | 3.33% | -12.16% |
| 7 | MA | Mastercard Incorporated | Financial Services | 0.141 | 3.33% | -18.51% |
| 8 | VTRS | Viatris Inc. | Healthcare | 0.141 | 3.33% | -26.93% |
| 9 | BBWI | Bath & Body Works, Inc. | Consumer Cyclical | 0.131 | 3.33% | -61.01% |
| 10 | MGM | MGM Resorts International | Consumer Cyclical | 0.121 | 3.33% | -74.01% |
| 11 | SPGI | S&P Global Inc. | Financial Services | 0.119 | 3.33% | -3.17% |
| 12 | NFLX | Netflix, Inc. | Communication Services | 0.112 | 3.33% | 17.88% |
| 13 | EA | Electronic Arts Inc. | Communication Services | 0.110 | 3.33% | 10.64% |
| 14 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.109 | 3.33% | -19.60% |
| 15 | CLX | The Clorox Company | Consumer Defensive | 0.109 | 3.33% | 25.13% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | TGT | Target Corporation | Consumer Defensive | -0.220 | -3.33% | -0.16% |
| 2 | QRVO | Qorvo, Inc. | Technology | -0.132 | -3.33% | -13.33% |
| 3 | MKTX | MarketAxess Holdings Inc. | Financial Services | -0.128 | -3.33% | 25.31% |
| 4 | LDOS | Leidos Holdings, Inc. | Technology | -0.126 | -3.33% | -3.12% |
| 5 | NEM | Newmont Corporation | Basic Materials | -0.123 | -3.33% | 32.23% |
| 6 | CTRA | — | Unknown | -0.119 | -3.33% | 35.85% |
| 7 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.115 | -3.33% | -40.29% |
| 8 | LEN | Lennar Corporation | Consumer Cyclical | -0.108 | -3.33% | -29.64% |
| 9 | MLM | Martin Marietta Materials, Inc. | Basic Materials | -0.099 | -3.33% | -35.43% |
| 10 | COTY | Coty Inc. | Consumer Defensive | -0.096 | -3.33% | -67.33% |
| 11 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.093 | -3.33% | -48.96% |
| 12 | J | Jacobs Solutions Inc. | Industrials | -0.092 | -3.33% | -13.82% |
| 13 | HWM | Howmet Aerospace Inc. | Industrials | -0.091 | -3.33% | -92.17% |
| 14 | CAG | Conagra Brands, Inc. | Consumer Defensive | -0.091 | -3.33% | 2.05% |
| 15 | SWKS | Skyworks Solutions, Inc. | Technology | -0.090 | -3.33% | -14.00% |
Sector exposure en el rebalanceo seleccionado
2020-01-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 16.7% | 3.3% | 13.33% | 5 | 1 |
| Consumer Cyclical | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Consumer Defensive | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Technology | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Industrials | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Communication Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Healthcare | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 3.3% | 0.0% | 3.33% | 1 | 0 |