Portfolio
ridgeRidge no sector· rebalanceo 2020-10-30
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
15.03%
Short avg
26.05%
bajar = bueno para el short
Spread long − short
-11.02%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MSCI | MSCI Inc. | Financial Services | 0.181 | 3.33% | 15.74% |
| 2 | PSA | Public Storage | Real Estate | 0.167 | 3.33% | 0.26% |
| 3 | MA | Mastercard Incorporated | Financial Services | 0.155 | 3.33% | 13.91% |
| 4 | PM | Philip Morris International Inc. | Consumer Defensive | 0.143 | 3.33% | 12.78% |
| 5 | NRG | NRG Energy, Inc. | Utilities | 0.136 | 3.33% | 28.53% |
| 6 | SPGI | S&P Global Inc. | Financial Services | 0.122 | 3.33% | -0.92% |
| 7 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.108 | 3.33% | 29.39% |
| 8 | MCO | Moody's Corporation | Financial Services | 0.105 | 3.33% | 3.15% |
| 9 | INTU | Intuit Inc. | Technology | 0.105 | 3.33% | 18.51% |
| 10 | YUM | Yum! Brands, Inc. | Consumer Cyclical | 0.100 | 3.33% | 9.93% |
| 11 | AWK | American Water Works Company, Inc. | Utilities | 0.096 | 3.33% | 6.51% |
| 12 | EW | Edwards Lifesciences Corporation | Healthcare | 0.091 | 3.33% | 14.42% |
| 13 | V | Visa Inc. | Financial Services | 0.089 | 3.33% | 8.77% |
| 14 | ANET | Arista Networks, Inc. | Technology | 0.088 | 3.33% | 38.23% |
| 15 | AES | The AES Corporation | Utilities | 0.084 | 3.33% | 26.32% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KR | The Kroger Co. | Consumer Defensive | -0.124 | -3.33% | 6.35% |
| 2 | GE | GE Aerospace | Industrials | -0.117 | -3.33% | 39.92% |
| 3 | NEM | Newmont Corporation | Basic Materials | -0.116 | -3.33% | -8.75% |
| 4 | CVS | CVS Health Corporation | Healthcare | -0.112 | -3.33% | 23.85% |
| 5 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.106 | -3.33% | 13.44% |
| 6 | CI | Cigna Corporation | Healthcare | -0.105 | -3.33% | 22.71% |
| 7 | KIM | Kimco Realty Corporation | Real Estate | -0.100 | -3.33% | 45.51% |
| 8 | HII | Huntington Ingalls Industries, Inc. | Industrials | -0.097 | -3.33% | 8.21% |
| 9 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.091 | -3.33% | 65.87% |
| 10 | DISCK | Warner Bros. Discovery, Inc. | Communication Services | -0.090 | -3.33% | 60.38% |
| 11 | WDC | Western Digital Corporation | Technology | -0.089 | -3.33% | 44.35% |
| 12 | TGT | Target Corporation | Consumer Defensive | -0.086 | -3.33% | 18.56% |
| 13 | XRX | Xerox Holdings Corporation | Industrials | -0.086 | -3.33% | 27.35% |
| 14 | GEN | Gen Digital Inc. | Technology | -0.082 | -3.33% | 3.91% |
| 15 | LDOS | Leidos Holdings, Inc. | Technology | -0.081 | -3.33% | 19.12% |
Sector exposure en el rebalanceo seleccionado
2020-10-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Technology | 6.7% | 10.0% | -3.33% | 2 | 3 |
| Consumer Defensive | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Healthcare | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Industrials | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Utilities | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Real Estate | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Cyclical | 3.3% | 0.0% | 3.33% | 1 | 0 |