Portfolio
ridgeRidge no sector· rebalanceo 2020-06-30
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
2.47%
Short avg
1.14%
bajar = bueno para el short
Spread long − short
1.34%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | DXC | DXC Technology Company | Technology | 0.169 | 3.33% | 10.07% |
| 2 | NRG | NRG Energy, Inc. | Utilities | 0.151 | 3.33% | -6.66% |
| 3 | APA | APA Corporation | Energy | 0.140 | 3.33% | -31.55% |
| 4 | MA | Mastercard Incorporated | Financial Services | 0.133 | 3.33% | 11.72% |
| 5 | CINF | Cincinnati Financial Corporation | Financial Services | 0.130 | 3.33% | 20.36% |
| 6 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.129 | 3.33% | 4.12% |
| 7 | HAL | Halliburton Company | Energy | 0.124 | 3.33% | -3.15% |
| 8 | MSCI | MSCI Inc. | Financial Services | 0.122 | 3.33% | 4.76% |
| 9 | PM | Philip Morris International Inc. | Consumer Defensive | 0.122 | 3.33% | 8.47% |
| 10 | COTY | Coty Inc. | Consumer Defensive | 0.120 | 3.33% | -47.00% |
| 11 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.116 | 3.33% | 12.46% |
| 12 | SLB | SLB N.V. | Energy | 0.111 | 3.33% | -12.32% |
| 13 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.110 | 3.33% | 10.48% |
| 14 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.107 | 3.33% | 24.16% |
| 15 | GPS | The Gap, Inc. | Consumer Cyclical | 0.103 | 3.33% | 31.16% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NEM | Newmont Corporation | Basic Materials | -0.211 | -3.33% | 3.74% |
| 2 | GEN | Gen Digital Inc. | Technology | -0.187 | -3.33% | 5.86% |
| 3 | TYL | Tyler Technologies, Inc. | Technology | -0.162 | -3.33% | -0.50% |
| 4 | FTNT | Fortinet, Inc. | Technology | -0.156 | -3.33% | -16.69% |
| 5 | KR | The Kroger Co. | Consumer Defensive | -0.146 | -3.33% | 1.51% |
| 6 | DXCM | DexCom, Inc. | Healthcare | -0.140 | -3.33% | 2.96% |
| 7 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.127 | -3.33% | 20.09% |
| 8 | CI | Cigna Corporation | Healthcare | -0.120 | -3.33% | -11.73% |
| 9 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.119 | -3.33% | 7.27% |
| 10 | BIO | Bio-Rad Laboratories, Inc. | Healthcare | -0.117 | -3.33% | 12.60% |
| 11 | BIIB | Biogen Inc. | Healthcare | -0.117 | -3.33% | 6.90% |
| 12 | LDOS | Leidos Holdings, Inc. | Technology | -0.115 | -3.33% | -4.17% |
| 13 | VRTX | Vertex Pharmaceuticals Incorporated | Healthcare | -0.111 | -3.33% | -5.07% |
| 14 | CVS | CVS Health Corporation | Healthcare | -0.110 | -3.33% | -9.25% |
| 15 | HRL | Hormel Foods Corporation | Consumer Defensive | -0.109 | -3.33% | 3.51% |
Sector exposure en el rebalanceo seleccionado
2020-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 0.0% | 23.3% | -23.33% | 0 | 7 |
| Technology | 6.7% | 13.3% | -6.67% | 2 | 4 |
| Consumer Defensive | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Financial Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Consumer Cyclical | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Energy | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 3.3% | 0.0% | 3.33% | 1 | 0 |