Portfolio
ridgeRidge no sector· rebalanceo 2021-04-30
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
11
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
9.31%
Short avg
0.79%
bajar = bueno para el short
Spread long − short
8.51%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MSCI | MSCI Inc. | Financial Services | 0.198 | 3.33% | 23.00% |
| 2 | PM | Philip Morris International Inc. | Consumer Defensive | 0.176 | 3.33% | 5.47% |
| 3 | SPGI | S&P Global Inc. | Financial Services | 0.151 | 3.33% | 9.95% |
| 4 | MA | Mastercard Incorporated | Financial Services | 0.148 | 3.33% | -0.98% |
| 5 | PSA | Public Storage | Real Estate | 0.146 | 3.33% | 11.89% |
| 6 | MNST | Monster Beverage Corporation | Consumer Defensive | 0.140 | 3.33% | -4.46% |
| 7 | META | Meta Platforms, Inc. | Communication Services | 0.120 | 3.33% | 8.71% |
| 8 | MCO | Moody's Corporation | Financial Services | 0.119 | 3.33% | 14.30% |
| 9 | XYL | Xylem Inc. | Industrials | 0.113 | 3.33% | 12.10% |
| 10 | V | Visa Inc. | Financial Services | 0.109 | 3.33% | 3.18% |
| 11 | EW | Edwards Lifesciences Corporation | Healthcare | 0.108 | 3.33% | 17.99% |
| 12 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.103 | 3.33% | 14.23% |
| 13 | AES | The AES Corporation | Utilities | 0.101 | 3.33% | -14.23% |
| 14 | ANET | Arista Networks, Inc. | Technology | 0.098 | 3.33% | 18.09% |
| 15 | DPZ | Domino's Pizza, Inc. | Consumer Cyclical | 0.095 | 3.33% | 20.35% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.266 | -3.33% | -21.65% |
| 2 | DISCK | Warner Bros. Discovery, Inc. | Communication Services | -0.252 | -3.33% | -13.89% |
| 3 | PENN | PENN Entertainment, Inc. | Consumer Cyclical | -0.214 | -3.33% | -28.37% |
| 4 | TSLA | Tesla, Inc. | Consumer Cyclical | -0.171 | -3.33% | 3.55% |
| 5 | F | Ford Motor Company | Consumer Cyclical | -0.162 | -3.33% | 17.90% |
| 6 | BKR | Baker Hughes Company | Energy | -0.162 | -3.33% | -3.19% |
| 7 | HOLX | Hologic, Inc. | Healthcare | -0.162 | -3.33% | 14.39% |
| 8 | PRGO | Perrigo Company plc | Healthcare | -0.158 | -3.33% | 13.66% |
| 9 | VTRS | Viatris Inc. | Healthcare | -0.140 | -3.33% | 6.06% |
| 10 | MOS | The Mosaic Company | Basic Materials | -0.139 | -3.33% | -15.56% |
| 11 | TWTR | Twitter, Inc. (delisted) | Communication Services | -0.130 | -3.33% | 23.63% |
| 12 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.129 | -3.33% | -5.34% |
| 13 | ETSY | Etsy, Inc. | Consumer Cyclical | -0.126 | -3.33% | -0.96% |
| 14 | KR | The Kroger Co. | Consumer Defensive | -0.123 | -3.33% | 9.76% |
| 15 | CNC | Centene Corporation | Healthcare | -0.121 | -3.33% | 11.90% |
Sector exposure en el rebalanceo seleccionado
2021-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Consumer Cyclical | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Healthcare | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Communication Services | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Consumer Defensive | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Technology | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Utilities | 3.3% | 0.0% | 3.33% | 1 | 0 |