Portfolio
ridgeRidge no sector· rebalanceo 2021-09-30
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
3.00%
Short avg
3.63%
bajar = bueno para el short
Spread long − short
-0.63%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MA | Mastercard Incorporated | Financial Services | 0.190 | 3.33% | -0.11% |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.167 | 3.33% | -33.89% |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.161 | 3.33% | 0.49% |
| 4 | DXCM | DexCom, Inc. | Healthcare | 0.149 | 3.33% | -2.38% |
| 5 | SPGI | S&P Global Inc. | Financial Services | 0.134 | 3.33% | 9.86% |
| 6 | MCHP | Microchip Technology Incorporated | Technology | 0.132 | 3.33% | 13.39% |
| 7 | ANSS | ANSYS, Inc. | Technology | 0.130 | 3.33% | 15.15% |
| 8 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | 0.128 | 3.33% | -18.28% |
| 9 | KLAC | KLA Corporation | Technology | 0.123 | 3.33% | 25.24% |
| 10 | XLNX | Xilinx, Inc. | Technology | 0.122 | 3.33% | 33.37% |
| 11 | NVDA | NVIDIA Corporation | Technology | 0.114 | 3.33% | 34.95% |
| 12 | MNST | Monster Beverage Corporation | Consumer Defensive | 0.113 | 3.33% | 6.63% |
| 13 | V | Visa Inc. | Financial Services | 0.112 | 3.33% | -5.97% |
| 14 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | 0.111 | 3.33% | -31.12% |
| 15 | BKNG | Booking Holdings Inc. | Consumer Cyclical | 0.111 | 3.33% | -2.33% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MRNA | Moderna, Inc. | Healthcare | -0.255 | -3.33% | -29.49% |
| 2 | TPR | Tapestry, Inc. | Consumer Cyclical | -0.179 | -3.33% | 7.21% |
| 3 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.169 | -3.33% | -8.93% |
| 4 | KR | The Kroger Co. | Consumer Defensive | -0.166 | -3.33% | 15.02% |
| 5 | DISCK | Warner Bros. Discovery, Inc. | Communication Services | -0.153 | -3.33% | -7.89% |
| 6 | LH | Labcorp Holdings Inc. | Healthcare | -0.143 | -3.33% | 11.71% |
| 7 | FCX | Freeport-McMoRan Inc. | Basic Materials | -0.136 | -3.33% | 24.16% |
| 8 | DGX | Quest Diagnostics Incorporated | Healthcare | -0.132 | -3.33% | 19.27% |
| 9 | NWL | Newell Brands Inc. | Consumer Defensive | -0.131 | -3.33% | -2.21% |
| 10 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.123 | -3.33% | 11.27% |
| 11 | UA | Under Armour, Inc. | Consumer Cyclical | -0.113 | -3.33% | -0.11% |
| 12 | HII | Huntington Ingalls Industries, Inc. | Industrials | -0.111 | -3.33% | -3.28% |
| 13 | COF | Capital One Financial Corporation | Financial Services | -0.111 | -3.33% | -13.40% |
| 14 | SCHW | The Charles Schwab Corporation | Financial Services | -0.110 | -3.33% | 12.46% |
| 15 | IRM | Iron Mountain Incorporated | Real Estate | -0.110 | -3.33% | 18.65% |
Sector exposure en el rebalanceo seleccionado
2021-09-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 16.7% | 6.7% | 10.00% | 5 | 2 |
| Consumer Cyclical | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Technology | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Consumer Defensive | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Healthcare | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Industrials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |