Portfolio
ridgeRidge no sector· rebalanceo 2020-08-31
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
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
13.70%
Short avg
-3.11%
bajar = bueno para el short
Spread long − short
16.81%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NRG | NRG Energy, Inc. | Utilities | 0.179 | 3.33% | -1.46% |
| 2 | COF | Capital One Financial Corporation | Financial Services | 0.178 | 3.33% | 26.97% |
| 3 | DXC | DXC Technology Company | Technology | 0.156 | 3.33% | 9.97% |
| 4 | MA | Mastercard Incorporated | Financial Services | 0.153 | 3.33% | -5.07% |
| 5 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.148 | 3.33% | 30.32% |
| 6 | PM | Philip Morris International Inc. | Consumer Defensive | 0.142 | 3.33% | -1.01% |
| 7 | AAL | American Airlines Group Inc. | Industrials | 0.119 | 3.33% | 8.55% |
| 8 | PSA | Public Storage | Real Estate | 0.115 | 3.33% | 6.36% |
| 9 | AES | The AES Corporation | Utilities | 0.115 | 3.33% | 14.73% |
| 10 | ZBH | Zimmer Biomet Holdings, Inc. | Healthcare | 0.114 | 3.33% | 4.10% |
| 11 | WY | Weyerhaeuser Company | Basic Materials | 0.103 | 3.33% | -5.00% |
| 12 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.101 | 3.33% | 24.03% |
| 13 | COTY | Coty Inc. | Consumer Defensive | 0.101 | 3.33% | 66.35% |
| 14 | AXP | American Express Company | Financial Services | 0.099 | 3.33% | 16.15% |
| 15 | YUM | Yum! Brands, Inc. | Consumer Cyclical | 0.097 | 3.33% | 10.52% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NEM | Newmont Corporation | Basic Materials | -0.212 | -3.33% | -10.33% |
| 2 | FTNT | Fortinet, Inc. | Technology | -0.170 | -3.33% | -6.20% |
| 3 | KR | The Kroger Co. | Consumer Defensive | -0.161 | -3.33% | -6.43% |
| 4 | CI | Cigna Corporation | Healthcare | -0.154 | -3.33% | 16.38% |
| 5 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.146 | -3.33% | -3.46% |
| 6 | DXCM | DexCom, Inc. | Healthcare | -0.140 | -3.33% | -25.33% |
| 7 | CAG | Conagra Brands, Inc. | Consumer Defensive | -0.132 | -3.33% | -3.37% |
| 8 | ATVI | Activision Blizzard, Inc. | Technology | -0.126 | -3.33% | -4.17% |
| 9 | BIO | Bio-Rad Laboratories, Inc. | Healthcare | -0.124 | -3.33% | 8.93% |
| 10 | AMZN | Amazon.com, Inc. | Consumer Cyclical | -0.122 | -3.33% | -8.32% |
| 11 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.122 | -3.33% | 3.40% |
| 12 | TSCO | Tractor Supply Company | Consumer Cyclical | -0.121 | -3.33% | -6.20% |
| 13 | CNC | Centene Corporation | Healthcare | -0.119 | -3.33% | 2.41% |
| 14 | HII | Huntington Ingalls Industries, Inc. | Industrials | -0.118 | -3.33% | 9.63% |
| 15 | ABMD | Abiomed, Inc. | Healthcare | -0.117 | -3.33% | -13.62% |
Sector exposure en el rebalanceo seleccionado
2020-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Healthcare | 3.3% | 20.0% | -16.67% | 1 | 6 |
| Consumer Cyclical | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Consumer Defensive | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Industrials | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Technology | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Basic Materials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Utilities | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |