Portfolio
ridgeRidge no sector· rebalanceo 2020-02-28
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
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
5.07%
Short avg
-10.01%
bajar = bueno para el short
Spread long − short
15.08%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.175 | 3.33% | 31.42% |
| 2 | NRG | NRG Energy, Inc. | Utilities | 0.167 | 3.33% | 6.34% |
| 3 | FDX | FedEx Corporation | Industrials | 0.162 | 3.33% | -6.95% |
| 4 | PM | Philip Morris International Inc. | Consumer Defensive | 0.145 | 3.33% | -12.33% |
| 5 | YUM | Yum! Brands, Inc. | Consumer Cyclical | 0.145 | 3.33% | -1.68% |
| 6 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.143 | 3.33% | 0.09% |
| 7 | MSCI | MSCI Inc. | Financial Services | 0.142 | 3.33% | 6.30% |
| 8 | EBAY | eBay Inc. | Consumer Cyclical | 0.136 | 3.33% | 23.24% |
| 9 | CLX | The Clorox Company | Consumer Defensive | 0.130 | 3.33% | 17.71% |
| 10 | NFLX | Netflix, Inc. | Communication Services | 0.127 | 3.33% | 11.14% |
| 11 | EA | Electronic Arts Inc. | Communication Services | 0.120 | 3.33% | 13.86% |
| 12 | MA | Mastercard Incorporated | Financial Services | 0.109 | 3.33% | -1.60% |
| 13 | BKNG | Booking Holdings Inc. | Consumer Cyclical | 0.106 | 3.33% | -3.43% |
| 14 | DE | Deere & Company | Industrials | 0.104 | 3.33% | -8.89% |
| 15 | VTRS | Viatris Inc. | Healthcare | 0.103 | 3.33% | 0.78% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LEN | Lennar Corporation | Consumer Cyclical | -0.152 | -3.33% | -3.75% |
| 2 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.144 | -3.33% | -18.73% |
| 3 | TGT | Target Corporation | Consumer Defensive | -0.143 | -3.33% | 9.66% |
| 4 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.128 | -3.33% | -11.26% |
| 5 | LDOS | Leidos Holdings, Inc. | Technology | -0.126 | -3.33% | -3.37% |
| 6 | NEM | Newmont Corporation | Basic Materials | -0.121 | -3.33% | 25.89% |
| 7 | CAG | Conagra Brands, Inc. | Consumer Defensive | -0.119 | -3.33% | 21.25% |
| 8 | ETR | Entergy Corporation | Utilities | -0.115 | -3.33% | -17.97% |
| 9 | QRVO | Qorvo, Inc. | Technology | -0.110 | -3.33% | 4.04% |
| 10 | M | Macy's, Inc. | Consumer Cyclical | -0.110 | -3.33% | -67.22% |
| 11 | CVS | CVS Health Corporation | Healthcare | -0.108 | -3.33% | 3.31% |
| 12 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.108 | -3.33% | -36.01% |
| 13 | DVA | DaVita Inc. | Healthcare | -0.107 | -3.33% | -2.33% |
| 14 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.101 | -3.33% | -72.19% |
| 15 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.101 | -3.33% | 18.47% |
Sector exposure en el rebalanceo seleccionado
2020-02-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 10.0% | 16.7% | -6.67% | 3 | 5 |
| Consumer Defensive | 6.7% | 13.3% | -6.67% | 2 | 4 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Healthcare | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Technology | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Communication Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Industrials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Utilities | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |