Portfolio
ridgeRidge macro· rebalanceo 2020-03-31
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
9
30 posiciones
Sortino del run
-0.33
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
26.17%
Short avg
23.93%
bajar = bueno para el short
Spread long − short
2.23%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NRG | NRG Energy, Inc. | Utilities | 0.212 | 3.33% | 22.01% |
| 2 | XLNX | Xilinx, Inc. | Technology | 0.184 | 3.33% | 19.57% |
| 3 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.184 | 3.33% | 26.01% |
| 4 | ANET | Arista Networks, Inc. | Technology | 0.183 | 3.33% | 8.28% |
| 5 | AVGO | Broadcom Inc. | Technology | 0.183 | 3.33% | 34.51% |
| 6 | CDNS | Cadence Design Systems, Inc. | Technology | 0.170 | 3.33% | 39.74% |
| 7 | DXC | DXC Technology Company | Technology | 0.170 | 3.33% | 29.97% |
| 8 | ORCL | Oracle Corporation | Technology | 0.158 | 3.33% | 13.51% |
| 9 | CSCO | Cisco Systems, Inc. | Technology | 0.145 | 3.33% | 19.31% |
| 10 | INTU | Intuit Inc. | Technology | 0.140 | 3.33% | 32.95% |
| 11 | CRM | Salesforce, Inc. | Technology | 0.138 | 3.33% | 35.87% |
| 12 | KLAC | KLA Corporation | Technology | 0.133 | 3.33% | 38.84% |
| 13 | NTAP | NetApp, Inc. | Technology | 0.132 | 3.33% | 9.60% |
| 14 | FFIV | F5, Inc. | Technology | 0.129 | 3.33% | 28.04% |
| 15 | ADS | Bread Financial Holdings, Inc. | Financial Services | 0.128 | 3.33% | 34.30% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | TGT | Target Corporation | Consumer Defensive | -0.253 | -3.33% | 22.74% |
| 2 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.215 | -3.33% | 46.41% |
| 3 | KR | The Kroger Co. | Consumer Defensive | -0.215 | -3.33% | 10.07% |
| 4 | LEN | Lennar Corporation | Consumer Cyclical | -0.208 | -3.33% | 54.59% |
| 5 | CTRA | — | Unknown | -0.202 | -3.33% | 2.68% |
| 6 | T | AT&T Inc. | Communication Services | -0.190 | -3.33% | 8.75% |
| 7 | COST | Costco Wholesale Corporation | Consumer Defensive | -0.189 | -3.33% | 6.30% |
| 8 | HES | Hess Corporation | Energy | -0.183 | -3.33% | 44.90% |
| 9 | DG | Dollar General Corporation | Consumer Defensive | -0.181 | -3.33% | 22.25% |
| 10 | PXD | Pioneer Natural Resources Company | Energy | -0.180 | -3.33% | 34.90% |
| 11 | DISCK | Warner Bros. Discovery, Inc. | Communication Services | -0.178 | -3.33% | 8.73% |
| 12 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.176 | -3.33% | 8.00% |
| 13 | NEM | Newmont Corporation | Basic Materials | -0.173 | -3.33% | 28.23% |
| 14 | WMT | Walmart Inc. | Consumer Defensive | -0.172 | -3.33% | 5.18% |
| 15 | MPC | Marathon Petroleum Corporation | Energy | -0.169 | -3.33% | 55.28% |
Sector exposure en el rebalanceo seleccionado
2020-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 43.3% | 0.0% | 43.33% | 13 | 0 |
| Consumer Defensive | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Communication Services | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Energy | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Cyclical | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Financial Services | 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 |