Portfolio
ridgeRidge no sector· rebalanceo 2020-12-31
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
11
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
8.73%
Short avg
17.81%
bajar = bueno para el short
Spread long − short
-9.08%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MA | Mastercard Incorporated | Financial Services | 0.178 | 3.33% | 5.14% |
| 2 | NRG | NRG Energy, Inc. | Utilities | 0.174 | 3.33% | 6.37% |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.172 | 3.33% | 0.74% |
| 4 | PM | Philip Morris International Inc. | Consumer Defensive | 0.166 | 3.33% | 9.71% |
| 5 | PSA | Public Storage | Real Estate | 0.157 | 3.33% | 15.62% |
| 6 | V | Visa Inc. | Financial Services | 0.138 | 3.33% | 0.57% |
| 7 | MCO | Moody's Corporation | Financial Services | 0.118 | 3.33% | 6.04% |
| 8 | SPGI | S&P Global Inc. | Financial Services | 0.117 | 3.33% | 9.56% |
| 9 | GPN | Global Payments Inc. | Financial Services | 0.112 | 3.33% | 0.60% |
| 10 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.107 | 3.33% | 8.78% |
| 11 | INTU | Intuit Inc. | Technology | 0.105 | 3.33% | 7.80% |
| 12 | EW | Edwards Lifesciences Corporation | Healthcare | 0.104 | 3.33% | -4.03% |
| 13 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.103 | 3.33% | 28.50% |
| 14 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.100 | 3.33% | 18.48% |
| 15 | LYB | LyondellBasell Industries N.V. | Basic Materials | 0.099 | 3.33% | 17.01% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KR | The Kroger Co. | Consumer Defensive | -0.160 | -3.33% | 14.35% |
| 2 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.142 | -3.33% | 18.46% |
| 3 | BIO | Bio-Rad Laboratories, Inc. | Healthcare | -0.134 | -3.33% | 2.11% |
| 4 | NEM | Newmont Corporation | Basic Materials | -0.124 | -3.33% | 0.43% |
| 5 | HII | Huntington Ingalls Industries, Inc. | Industrials | -0.123 | -3.33% | 24.04% |
| 6 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.119 | -3.33% | 13.80% |
| 7 | TGT | Target Corporation | Consumer Defensive | -0.115 | -3.33% | 14.90% |
| 8 | NOV | NOV Inc. | Energy | -0.108 | -3.33% | -2.22% |
| 9 | XRX | Xerox Holdings Corporation | Industrials | -0.108 | -3.33% | 11.97% |
| 10 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.102 | -3.33% | 33.66% |
| 11 | HPE | Hewlett Packard Enterprise Company | Technology | -0.095 | -3.33% | 32.75% |
| 12 | KIM | Kimco Realty Corporation | Real Estate | -0.093 | -3.33% | 31.21% |
| 13 | BIIB | Biogen Inc. | Healthcare | -0.093 | -3.33% | 11.21% |
| 14 | FDX | FedEx Corporation | Industrials | -0.092 | -3.33% | 11.10% |
| 15 | MRO | Marathon Oil Corporation | Energy | -0.092 | -3.33% | 49.33% |
Sector exposure en el rebalanceo seleccionado
2020-12-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 26.7% | 0.0% | 26.67% | 8 | 0 |
| Consumer Defensive | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Healthcare | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Industrials | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Real Estate | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Technology | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Cyclical | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Utilities | 3.3% | 0.0% | 3.33% | 1 | 0 |