Portfolio
ridgeRidge no sector· rebalanceo 2021-01-29
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
11.64%
Short avg
20.04%
bajar = bueno para el short
Spread long − short
-8.40%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NRG | NRG Energy, Inc. | Utilities | 0.199 | 3.33% | -16.37% |
| 2 | PM | Philip Morris International Inc. | Consumer Defensive | 0.173 | 3.33% | 20.59% |
| 3 | PSA | Public Storage | Real Estate | 0.169 | 3.33% | 18.63% |
| 4 | MA | Mastercard Incorporated | Financial Services | 0.159 | 3.33% | 16.66% |
| 5 | MSCI | MSCI Inc. | Financial Services | 0.156 | 3.33% | 15.71% |
| 6 | SPGI | S&P Global Inc. | Financial Services | 0.128 | 3.33% | 20.44% |
| 7 | MO | Altria Group, Inc. | Consumer Defensive | 0.124 | 3.33% | 18.81% |
| 8 | AWK | American Water Works Company, Inc. | Utilities | 0.121 | 3.33% | -3.47% |
| 9 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.121 | 3.33% | 16.36% |
| 10 | COR | Cencora, Inc. | Healthcare | 0.119 | 3.33% | 15.10% |
| 11 | V | Visa Inc. | Financial Services | 0.118 | 3.33% | 16.08% |
| 12 | ANET | Arista Networks, Inc. | Technology | 0.117 | 3.33% | -0.46% |
| 13 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.111 | 3.33% | 6.88% |
| 14 | MCO | Moody's Corporation | Financial Services | 0.109 | 3.33% | 19.81% |
| 15 | INTU | Intuit Inc. | Technology | 0.100 | 3.33% | 9.77% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | HII | Huntington Ingalls Industries, Inc. | Industrials | -0.149 | -3.33% | 31.62% |
| 2 | KR | The Kroger Co. | Consumer Defensive | -0.147 | -3.33% | 10.92% |
| 3 | XRX | Xerox Holdings Corporation | Industrials | -0.138 | -3.33% | 7.52% |
| 4 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.138 | -3.33% | 31.80% |
| 5 | TGT | Target Corporation | Consumer Defensive | -0.134 | -3.33% | 14.42% |
| 6 | NOV | NOV Inc. | Energy | -0.131 | -3.33% | 22.85% |
| 7 | BIO | Bio-Rad Laboratories, Inc. | Healthcare | -0.121 | -3.33% | 3.05% |
| 8 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.114 | -3.33% | 20.76% |
| 9 | NEM | Newmont Corporation | Basic Materials | -0.113 | -3.33% | 8.34% |
| 10 | PWR | Quanta Services, Inc. | Industrials | -0.108 | -3.33% | 28.85% |
| 11 | MRO | Marathon Oil Corporation | Energy | -0.100 | -3.33% | 42.03% |
| 12 | BXP | BXP, Inc. | Real Estate | -0.098 | -3.33% | 19.00% |
| 13 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.096 | -3.33% | 12.43% |
| 14 | GE | GE Aerospace | Industrials | -0.095 | -3.33% | 22.59% |
| 15 | FDX | FedEx Corporation | Industrials | -0.095 | -3.33% | 24.40% |
Sector exposure en el rebalanceo seleccionado
2021-01-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 23.3% | 0.0% | 23.33% | 7 | 0 |
| Consumer Defensive | 6.7% | 10.0% | -3.33% | 2 | 3 |
| Industrials | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Real Estate | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Technology | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Utilities | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |