Portfolio
ridgeRidge no sector· rebalanceo 2021-06-30
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
9
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-0.76%
Short avg
-7.43%
bajar = bueno para el short
Spread long − short
6.67%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MSCI | MSCI Inc. | Financial Services | 0.229 | 3.33% | 13.20% |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.212 | 3.33% | -10.49% |
| 3 | PM | Philip Morris International Inc. | Consumer Defensive | 0.184 | 3.33% | -4.02% |
| 4 | SPGI | S&P Global Inc. | Financial Services | 0.184 | 3.33% | 3.21% |
| 5 | MA | Mastercard Incorporated | Financial Services | 0.168 | 3.33% | -6.30% |
| 6 | V | Visa Inc. | Financial Services | 0.152 | 3.33% | -5.28% |
| 7 | NRG | NRG Energy, Inc. | Utilities | 0.149 | 3.33% | 1.54% |
| 8 | META | Meta Platforms, Inc. | Communication Services | 0.142 | 3.33% | -4.32% |
| 9 | ADBE | Adobe Inc. | Technology | 0.134 | 3.33% | -1.55% |
| 10 | ISRG | Intuitive Surgical, Inc. | Healthcare | 0.134 | 3.33% | 6.94% |
| 11 | XLNX | Xilinx, Inc. | Technology | 0.133 | 3.33% | 6.27% |
| 12 | MNST | Monster Beverage Corporation | Consumer Defensive | 0.132 | 3.33% | -2.58% |
| 13 | EA | Electronic Arts Inc. | Communication Services | 0.129 | 3.33% | 0.19% |
| 14 | ANET | Arista Networks, Inc. | Technology | 0.129 | 3.33% | -5.57% |
| 15 | MCO | Moody's Corporation | Financial Services | 0.128 | 3.33% | -2.66% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MOS | The Mosaic Company | Basic Materials | -0.238 | -3.33% | 11.89% |
| 2 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.216 | -3.33% | -20.65% |
| 3 | DISCK | Warner Bros. Discovery, Inc. | Communication Services | -0.214 | -3.33% | -19.07% |
| 4 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.191 | -3.33% | -12.92% |
| 5 | F | Ford Motor Company | Consumer Cyclical | -0.160 | -3.33% | -5.20% |
| 6 | TPR | Tapestry, Inc. | Consumer Cyclical | -0.160 | -3.33% | -13.17% |
| 7 | NUE | Nucor Corporation | Basic Materials | -0.159 | -3.33% | 2.27% |
| 8 | STX | Seagate Technology Holdings plc | Technology | -0.154 | -3.33% | -4.03% |
| 9 | MHK | Mohawk Industries, Inc. | Consumer Cyclical | -0.153 | -3.33% | -10.63% |
| 10 | HPQ | HP Inc. | Technology | -0.150 | -3.33% | -9.71% |
| 11 | WHR | Whirlpool Corporation | Consumer Cyclical | -0.147 | -3.33% | -6.78% |
| 12 | COF | Capital One Financial Corporation | Financial Services | -0.134 | -3.33% | 3.76% |
| 13 | DXC | DXC Technology Company | Technology | -0.133 | -3.33% | -18.38% |
| 14 | SNA | Snap-on Incorporated | Industrials | -0.128 | -3.33% | -6.14% |
| 15 | CINF | Cincinnati Financial Corporation | Financial Services | -0.125 | -3.33% | -2.65% |
Sector exposure en el rebalanceo seleccionado
2021-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 20.0% | 6.7% | 13.33% | 6 | 2 |
| Technology | 10.0% | 10.0% | 0.00% | 3 | 3 |
| Communication Services | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Consumer Cyclical | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Basic Materials | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Defensive | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Healthcare | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 3.3% | 0.0% | 3.33% | 1 | 0 |