Portfolio
ridgeRidge no sector· 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
10
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
25.03%
Short avg
23.97%
bajar = bueno para el short
Spread long − short
1.06%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NRG | NRG Energy, Inc. | Utilities | 0.207 | 3.33% | 22.01% |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.166 | 3.33% | 66.35% |
| 3 | PM | Philip Morris International Inc. | Consumer Defensive | 0.153 | 3.33% | -0.02% |
| 4 | YUM | Yum! Brands, Inc. | Consumer Cyclical | 0.146 | 3.33% | 25.05% |
| 5 | WAT | Waters Corporation | Healthcare | 0.126 | 3.33% | -1.19% |
| 6 | LLY | Eli Lilly and Company | Healthcare | 0.122 | 3.33% | 18.46% |
| 7 | MSCI | MSCI Inc. | Financial Services | 0.116 | 3.33% | 23.06% |
| 8 | EA | Electronic Arts Inc. | Communication Services | 0.115 | 3.33% | 32.67% |
| 9 | BKR | Baker Hughes Company | Energy | 0.112 | 3.33% | 46.53% |
| 10 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.111 | 3.33% | 26.01% |
| 11 | PSA | Public Storage | Real Estate | 0.107 | 3.33% | 2.31% |
| 12 | VTRS | Viatris Inc. | Healthcare | 0.106 | 3.33% | 10.00% |
| 13 | CDNS | Cadence Design Systems, Inc. | Technology | 0.105 | 3.33% | 39.74% |
| 14 | DXC | DXC Technology Company | Technology | 0.102 | 3.33% | 29.97% |
| 15 | AVGO | Broadcom Inc. | Technology | 0.097 | 3.33% | 34.51% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LDOS | Leidos Holdings, Inc. | Technology | -0.144 | -3.33% | 7.17% |
| 2 | NEM | Newmont Corporation | Basic Materials | -0.138 | -3.33% | 28.23% |
| 3 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.132 | -3.33% | 46.41% |
| 4 | TGT | Target Corporation | Consumer Defensive | -0.130 | -3.33% | 22.74% |
| 5 | LEN | Lennar Corporation | Consumer Cyclical | -0.129 | -3.33% | 54.59% |
| 6 | DVA | DaVita Inc. | Healthcare | -0.111 | -3.33% | 10.50% |
| 7 | MGM | MGM Resorts International | Consumer Cyclical | -0.100 | -3.33% | 35.43% |
| 8 | CVS | CVS Health Corporation | Healthcare | -0.097 | -3.33% | 10.95% |
| 9 | GEN | Gen Digital Inc. | Technology | -0.094 | -3.33% | 5.80% |
| 10 | CI | Cigna Corporation | Healthcare | -0.094 | -3.33% | 9.60% |
| 11 | ETR | Entergy Corporation | Utilities | -0.094 | -3.33% | 13.21% |
| 12 | CERN | Cerner Corporation | Healthcare | -0.092 | -3.33% | 14.05% |
| 13 | PAYC | Paycom Software, Inc. | Technology | -0.092 | -3.33% | 53.57% |
| 14 | KR | The Kroger Co. | Consumer Defensive | -0.087 | -3.33% | 10.07% |
| 15 | QRVO | Qorvo, Inc. | Technology | -0.087 | -3.33% | 37.27% |
Sector exposure en el rebalanceo seleccionado
2020-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 13.3% | 13.3% | 0.00% | 4 | 4 |
| Healthcare | 10.0% | 13.3% | -3.33% | 3 | 4 |
| Consumer Cyclical | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Consumer Defensive | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Financial Services | 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 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |