Portfolio
ridgeRidge macro· rebalanceo 2020-11-30
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
6
30 posiciones
Sortino del run
-0.33
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
3.02%
Short avg
37.22%
bajar = bueno para el short
Spread long − short
-34.21%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ANET | Arista Networks, Inc. | Technology | 0.264 | 3.33% | -0.65% |
| 2 | INTU | Intuit Inc. | Technology | 0.244 | 3.33% | 5.48% |
| 3 | VRSN | VeriSign, Inc. | Technology | 0.221 | 3.33% | -5.34% |
| 4 | AVGO | Broadcom Inc. | Technology | 0.210 | 3.33% | 10.03% |
| 5 | ADSK | Autodesk, Inc. | Technology | 0.204 | 3.33% | -5.02% |
| 6 | MXIM | Maxim Integrated Products, Inc. | Technology | 0.202 | 3.33% | 2.51% |
| 7 | CDW | CDW Corporation | Technology | 0.190 | 3.33% | 13.98% |
| 8 | FFIV | F5, Inc. | Technology | 0.184 | 3.33% | 12.64% |
| 9 | TXN | Texas Instruments Incorporated | Technology | 0.183 | 3.33% | 0.46% |
| 10 | MA | Mastercard Incorporated | Financial Services | 0.180 | 3.33% | 3.21% |
| 11 | ANSS | ANSYS, Inc. | Technology | 0.174 | 3.33% | -10.73% |
| 12 | MSI | Motorola Solutions, Inc. | Technology | 0.173 | 3.33% | 2.97% |
| 13 | GRMN | Garmin Ltd. | Technology | 0.172 | 3.33% | 0.55% |
| 14 | IPGP | IPG Photonics Corporation | Technology | 0.170 | 3.33% | -0.58% |
| 15 | NRG | NRG Energy, Inc. | Utilities | 0.169 | 3.33% | 15.76% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NOV | NOV Inc. | Energy | -0.294 | -3.33% | 19.37% |
| 2 | MRO | Marathon Oil Corporation | Energy | -0.279 | -3.33% | 74.95% |
| 3 | FTI | TechnipFMC plc | Energy | -0.276 | -3.33% | 20.80% |
| 4 | FANG | Diamondback Energy, Inc. | Energy | -0.251 | -3.33% | 71.84% |
| 5 | OXY | Occidental Petroleum Corporation | Energy | -0.250 | -3.33% | 68.14% |
| 6 | HFC | HF Sinclair Corporation | Energy | -0.250 | -3.33% | 48.69% |
| 7 | KR | The Kroger Co. | Consumer Defensive | -0.237 | -3.33% | 3.74% |
| 8 | BKR | Baker Hughes Company | Energy | -0.231 | -3.33% | 23.11% |
| 9 | DVN | Devon Energy Corporation | Energy | -0.228 | -3.33% | 53.01% |
| 10 | XOM | Exxon Mobil Corporation | Energy | -0.225 | -3.33% | 43.89% |
| 11 | CTRA | — | Unknown | -0.223 | -3.33% | 7.59% |
| 12 | OKE | ONEOK, Inc. | Energy | -0.210 | -3.33% | 30.24% |
| 13 | EOG | EOG Resources, Inc. | Energy | -0.209 | -3.33% | 43.49% |
| 14 | KMI | Kinder Morgan, Inc. | Energy | -0.203 | -3.33% | 12.42% |
| 15 | MPC | Marathon Petroleum Corporation | Energy | -0.202 | -3.33% | 37.08% |
Sector exposure en el rebalanceo seleccionado
2020-11-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 43.3% | -43.33% | 0 | 13 |
| Technology | 43.3% | 0.0% | 43.33% | 13 | 0 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Financial Services | 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 |