Portfolio
ridgeRidge no sector· 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
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
19.23%
Short avg
9.00%
bajar = bueno para el short
Spread long − short
10.22%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NRG | NRG Energy, Inc. | Utilities | 0.177 | 3.33% | 21.32% |
| 2 | COF | Capital One Financial Corporation | Financial Services | 0.167 | 3.33% | 30.54% |
| 3 | PM | Philip Morris International Inc. | Consumer Defensive | 0.161 | 3.33% | 12.46% |
| 4 | PSA | Public Storage | Real Estate | 0.144 | 3.33% | 2.95% |
| 5 | MA | Mastercard Incorporated | Financial Services | 0.128 | 3.33% | 3.99% |
| 6 | DXC | DXC Technology Company | Technology | 0.108 | 3.33% | 31.40% |
| 7 | AES | The AES Corporation | Utilities | 0.103 | 3.33% | 27.86% |
| 8 | ZBH | Zimmer Biomet Holdings, Inc. | Healthcare | 0.102 | 3.33% | 11.68% |
| 9 | STZ | Constellation Brands, Inc. | Consumer Defensive | 0.099 | 3.33% | 17.52% |
| 10 | YUM | Yum! Brands, Inc. | Consumer Cyclical | 0.092 | 3.33% | 17.19% |
| 11 | AXP | American Express Company | Financial Services | 0.090 | 3.33% | 18.08% |
| 12 | NWL | Newell Brands Inc. | Consumer Defensive | 0.089 | 3.33% | 23.23% |
| 13 | MSCI | MSCI Inc. | Financial Services | 0.089 | 3.33% | 21.87% |
| 14 | L | Loews Corporation | Financial Services | 0.087 | 3.33% | 25.70% |
| 15 | AAL | American Airlines Group Inc. | Industrials | 0.086 | 3.33% | 22.60% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NEM | Newmont Corporation | Basic Materials | -0.203 | -3.33% | -4.13% |
| 2 | FTNT | Fortinet, Inc. | Technology | -0.154 | -3.33% | 21.13% |
| 3 | ETSY | Etsy, Inc. | Consumer Cyclical | -0.151 | -3.33% | 30.08% |
| 4 | CI | Cigna Corporation | Healthcare | -0.144 | -3.33% | 21.81% |
| 5 | ABMD | Abiomed, Inc. | Healthcare | -0.143 | -3.33% | 21.89% |
| 6 | WST | West Pharmaceutical Services, Inc. | Healthcare | -0.140 | -3.33% | 2.75% |
| 7 | DXCM | DexCom, Inc. | Healthcare | -0.132 | -3.33% | -11.27% |
| 8 | AMZN | Amazon.com, Inc. | Consumer Cyclical | -0.132 | -3.33% | 1.11% |
| 9 | ODFL | Old Dominion Freight Line, Inc. | Industrials | -0.132 | -3.33% | 6.65% |
| 10 | TSCO | Tractor Supply Company | Consumer Cyclical | -0.130 | -3.33% | -0.73% |
| 11 | KR | The Kroger Co. | Consumer Defensive | -0.121 | -3.33% | -6.31% |
| 12 | CAG | Conagra Brands, Inc. | Consumer Defensive | -0.119 | -3.33% | 1.86% |
| 13 | NOW | ServiceNow, Inc. | Technology | -0.119 | -3.33% | 11.12% |
| 14 | CRM | Salesforce, Inc. | Technology | -0.113 | -3.33% | -13.01% |
| 15 | FANG | Diamondback Energy, Inc. | Energy | -0.111 | -3.33% | 52.09% |
Sector exposure en el rebalanceo seleccionado
2020-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Defensive | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Financial Services | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Healthcare | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Consumer Cyclical | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Technology | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Utilities | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |