Portfolio
ridgeRidge· rebalanceo 2020-09-30
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
10
30 posiciones
Sortino del run
-0.33
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
19.26%
Short avg
17.46%
bajar = bueno para el short
Spread long − short
1.80%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NRG | NRG Energy, Inc. | Utilities | 0.213 | 3.33% | 21.32% |
| 2 | ANET | Arista Networks, Inc. | Technology | 0.201 | 3.33% | 33.89% |
| 3 | DXC | DXC Technology Company | Technology | 0.201 | 3.33% | 31.40% |
| 4 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.189 | 3.33% | 24.65% |
| 5 | INTU | Intuit Inc. | Technology | 0.188 | 3.33% | 13.54% |
| 6 | TXN | Texas Instruments Incorporated | Technology | 0.182 | 3.33% | 13.17% |
| 7 | XLNX | Xilinx, Inc. | Technology | 0.179 | 3.33% | 29.16% |
| 8 | COF | Capital One Financial Corporation | Financial Services | 0.178 | 3.33% | 30.54% |
| 9 | ORCL | Oracle Corporation | Technology | 0.177 | 3.33% | 8.45% |
| 10 | AAL | American Airlines Group Inc. | Industrials | 0.172 | 3.33% | 22.60% |
| 11 | CDW | CDW Corporation | Technology | 0.171 | 3.33% | 6.80% |
| 12 | VRSN | VeriSign, Inc. | Technology | 0.171 | 3.33% | 4.33% |
| 13 | HPE | Hewlett Packard Enterprise Company | Technology | 0.168 | 3.33% | 25.95% |
| 14 | HPQ | HP Inc. | Technology | 0.165 | 3.33% | 26.62% |
| 15 | FIS | Fidelity National Information Services, Inc. | Technology | 0.164 | 3.33% | -3.51% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KR | The Kroger Co. | Consumer Defensive | -0.221 | -3.33% | -6.31% |
| 2 | FANG | Diamondback Energy, Inc. | Energy | -0.214 | -3.33% | 52.09% |
| 3 | CTRA | — | Unknown | -0.211 | -3.33% | -2.85% |
| 4 | PXD | Pioneer Natural Resources Company | Energy | -0.197 | -3.33% | 30.26% |
| 5 | NOV | NOV Inc. | Energy | -0.196 | -3.33% | 46.10% |
| 6 | AMZN | Amazon.com, Inc. | Consumer Cyclical | -0.189 | -3.33% | 1.11% |
| 7 | NEM | Newmont Corporation | Basic Materials | -0.186 | -3.33% | -4.13% |
| 8 | CI | Cigna Corporation | Healthcare | -0.179 | -3.33% | 21.81% |
| 9 | CAG | Conagra Brands, Inc. | Consumer Defensive | -0.177 | -3.33% | 1.86% |
| 10 | TGT | Target Corporation | Consumer Defensive | -0.177 | -3.33% | 11.12% |
| 11 | ETSY | Etsy, Inc. | Consumer Cyclical | -0.177 | -3.33% | 30.08% |
| 12 | TSCO | Tractor Supply Company | Consumer Cyclical | -0.175 | -3.33% | -0.73% |
| 13 | BBY | Best Buy Co., Inc. | Consumer Cyclical | -0.170 | -3.33% | -12.84% |
| 14 | HAL | Halliburton Company | Energy | -0.165 | -3.33% | 52.82% |
| 15 | MPC | Marathon Petroleum Corporation | Energy | -0.159 | -3.33% | 41.51% |
Sector exposure en el rebalanceo seleccionado
2020-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 40.0% | 0.0% | 40.00% | 12 | 0 |
| Energy | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Consumer Cyclical | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Financial Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 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 |