Portfolio
ridgeRidge macro· rebalanceo 2021-07-30
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
7
30 posiciones
Sortino del run
-0.33
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
6.17%
Short avg
13.00%
bajar = bueno para el short
Spread long − short
-6.83%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ADSK | Autodesk, Inc. | Technology | 0.222 | 3.33% | -1.39% |
| 2 | MA | Mastercard Incorporated | Financial Services | 0.222 | 3.33% | -11.07% |
| 3 | ANSS | ANSYS, Inc. | Technology | 0.220 | 3.33% | 2.66% |
| 4 | NXPI | NXP Semiconductors N.V. | Technology | 0.215 | 3.33% | -3.70% |
| 5 | MCHP | Microchip Technology Incorporated | Technology | 0.214 | 3.33% | 2.48% |
| 6 | XLNX | Xilinx, Inc. | Technology | 0.210 | 3.33% | 18.91% |
| 7 | LRCX | Lam Research Corporation | Technology | 0.209 | 3.33% | -12.74% |
| 8 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.207 | 3.33% | 14.64% |
| 9 | AMD | Advanced Micro Devices, Inc. | Technology | 0.206 | 3.33% | 10.15% |
| 10 | ANET | Arista Networks, Inc. | Technology | 0.198 | 3.33% | 8.30% |
| 11 | PAYC | Paycom Software, Inc. | Technology | 0.198 | 3.33% | 31.47% |
| 12 | CDNS | Cadence Design Systems, Inc. | Technology | 0.187 | 3.33% | 16.15% |
| 13 | MSCI | MSCI Inc. | Financial Services | 0.184 | 3.33% | 8.63% |
| 14 | ADBE | Adobe Inc. | Technology | 0.183 | 3.33% | 4.98% |
| 15 | AAPL | Apple Inc. | Technology | 0.179 | 3.33% | 3.05% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CTRA | — | Unknown | -0.328 | -3.33% | 30.98% |
| 2 | BKR | Baker Hughes Company | Energy | -0.276 | -3.33% | 19.24% |
| 3 | WMB | The Williams Companies, Inc. | Energy | -0.264 | -3.33% | 13.60% |
| 4 | KMI | Kinder Morgan, Inc. | Energy | -0.257 | -3.33% | -1.81% |
| 5 | DVN | Devon Energy Corporation | Energy | -0.250 | -3.33% | 47.02% |
| 6 | TPR | Tapestry, Inc. | Consumer Cyclical | -0.242 | -3.33% | -7.63% |
| 7 | MRNA | Moderna, Inc. | Healthcare | -0.241 | -3.33% | -0.40% |
| 8 | OKE | ONEOK, Inc. | Energy | -0.239 | -3.33% | 22.87% |
| 9 | ENPH | Enphase Energy, Inc. | Energy | -0.234 | -3.33% | 23.51% |
| 10 | TGT | Target Corporation | Consumer Defensive | -0.210 | -3.33% | 1.27% |
| 11 | XOM | Exxon Mobil Corporation | Energy | -0.205 | -3.33% | 12.79% |
| 12 | GM | General Motors Company | Consumer Cyclical | -0.200 | -3.33% | -4.68% |
| 13 | PXD | Pioneer Natural Resources Company | Energy | -0.199 | -3.33% | 28.62% |
| 14 | HES | Hess Corporation | Energy | -0.195 | -3.33% | 11.61% |
| 15 | KR | The Kroger Co. | Consumer Defensive | -0.195 | -3.33% | -1.97% |
Sector exposure en el rebalanceo seleccionado
2021-07-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 43.3% | 0.0% | 43.33% | 13 | 0 |
| Energy | 0.0% | 30.0% | -30.00% | 0 | 9 |
| Consumer Cyclical | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Financial Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |