Portfolio
ridgeRidge no sector· rebalanceo 2021-02-26
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
8.03%
Short avg
12.98%
bajar = bueno para el short
Spread long − short
-4.94%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PM | Philip Morris International Inc. | Consumer Defensive | 0.192 | 3.33% | 14.02% |
| 2 | MSCI | MSCI Inc. | Financial Services | 0.187 | 3.33% | 11.01% |
| 3 | MA | Mastercard Incorporated | Financial Services | 0.184 | 3.33% | -0.52% |
| 4 | PSA | Public Storage | Real Estate | 0.147 | 3.33% | 20.52% |
| 5 | AIG | American International Group, Inc. | Financial Services | 0.146 | 3.33% | 16.03% |
| 6 | NRG | NRG Energy, Inc. | Utilities | 0.140 | 3.33% | -21.86% |
| 7 | V | Visa Inc. | Financial Services | 0.137 | 3.33% | 4.95% |
| 8 | SPGI | S&P Global Inc. | Financial Services | 0.134 | 3.33% | 11.91% |
| 9 | MCO | Moody's Corporation | Financial Services | 0.123 | 3.33% | 17.35% |
| 10 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.122 | 3.33% | 9.30% |
| 11 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.117 | 3.33% | 13.51% |
| 12 | DAL | Delta Air Lines, Inc. | Industrials | 0.113 | 3.33% | -0.80% |
| 13 | AXP | American Express Company | Financial Services | 0.110 | 3.33% | 14.67% |
| 14 | TDG | TransDigm Group Incorporated | Industrials | 0.108 | 3.33% | 8.35% |
| 15 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.105 | 3.33% | 2.08% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KR | The Kroger Co. | Consumer Defensive | -0.198 | -3.33% | 12.21% |
| 2 | NEM | Newmont Corporation | Basic Materials | -0.198 | -3.33% | 30.59% |
| 3 | LUMN | Lumen Technologies, Inc. | Communication Services | -0.163 | -3.33% | 13.77% |
| 4 | TSLA | Tesla, Inc. | Consumer Cyclical | -0.155 | -3.33% | -13.90% |
| 5 | CNC | Centene Corporation | Healthcare | -0.149 | -3.33% | 21.45% |
| 6 | PRGO | Perrigo Company plc | Healthcare | -0.145 | -3.33% | 9.36% |
| 7 | RVTY | Revvity, Inc. | Healthcare | -0.144 | -3.33% | 11.24% |
| 8 | ETR | Entergy Corporation | Utilities | -0.140 | -3.33% | 19.04% |
| 9 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.140 | -3.33% | 20.45% |
| 10 | BIO | Bio-Rad Laboratories, Inc. | Healthcare | -0.138 | -3.33% | 0.85% |
| 11 | LDOS | Leidos Holdings, Inc. | Technology | -0.137 | -3.33% | 10.94% |
| 12 | INCY | Incyte Corporation | Healthcare | -0.136 | -3.33% | 5.08% |
| 13 | AKAM | Akamai Technologies, Inc. | Technology | -0.134 | -3.33% | 17.43% |
| 14 | HII | Huntington Ingalls Industries, Inc. | Industrials | -0.132 | -3.33% | 19.75% |
| 15 | MOS | The Mosaic Company | Basic Materials | -0.128 | -3.33% | 16.44% |
Sector exposure en el rebalanceo seleccionado
2021-02-26| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 26.7% | 0.0% | 26.67% | 8 | 0 |
| Healthcare | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Basic Materials | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Cyclical | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Industrials | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Consumer Defensive | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Technology | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Utilities | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |