Portfolio
ridgeRidge no sector· rebalanceo 2021-11-30
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
8
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-20.10%
Short avg
12.40%
bajar = bueno para el short
Spread long − short
-32.50%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ENPH | Enphase Energy, Inc. | Energy | 0.247 | 3.33% | -39.84% |
| 2 | KLAC | KLA Corporation | Technology | 0.189 | 3.33% | -18.24% |
| 3 | MCHP | Microchip Technology Incorporated | Technology | 0.177 | 3.33% | -19.83% |
| 4 | LRCX | Lam Research Corporation | Technology | 0.167 | 3.33% | -24.15% |
| 5 | QCOM | QUALCOMM Incorporated | Technology | 0.163 | 3.33% | -5.57% |
| 6 | NXPI | NXP Semiconductors N.V. | Technology | 0.163 | 3.33% | -18.59% |
| 7 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.161 | 3.33% | -57.06% |
| 8 | ANSS | ANSYS, Inc. | Technology | 0.158 | 3.33% | -18.40% |
| 9 | MA | Mastercard Incorporated | Financial Services | 0.147 | 3.33% | 10.87% |
| 10 | AMD | Advanced Micro Devices, Inc. | Technology | 0.145 | 3.33% | -28.64% |
| 11 | MSCI | MSCI Inc. | Financial Services | 0.142 | 3.33% | -19.32% |
| 12 | TER | Teradyne, Inc. | Technology | 0.137 | 3.33% | -28.76% |
| 13 | SPGI | S&P Global Inc. | Financial Services | 0.130 | 3.33% | -11.25% |
| 14 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.128 | 3.33% | -25.43% |
| 15 | MNST | Monster Beverage Corporation | Consumer Defensive | 0.128 | 3.33% | 2.77% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MRNA | Moderna, Inc. | Healthcare | -0.260 | -3.33% | -78.61% |
| 2 | KR | The Kroger Co. | Consumer Defensive | -0.165 | -3.33% | 31.94% |
| 3 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.159 | -3.33% | 20.23% |
| 4 | COF | Capital One Financial Corporation | Financial Services | -0.147 | -3.33% | 0.49% |
| 5 | GS | The Goldman Sachs Group, Inc. | Financial Services | -0.140 | -3.33% | -11.56% |
| 6 | IRM | Iron Mountain Incorporated | Real Estate | -0.132 | -3.33% | 14.90% |
| 7 | PXD | Pioneer Natural Resources Company | Energy | -0.129 | -3.33% | 33.21% |
| 8 | WBD | Warner Bros. Discovery, Inc. | Communication Services | -0.126 | -3.33% | 25.34% |
| 9 | LH | Labcorp Holdings Inc. | Healthcare | -0.126 | -3.33% | -5.40% |
| 10 | PRU | Prudential Financial, Inc. | Financial Services | -0.124 | -3.33% | 10.07% |
| 11 | MOS | The Mosaic Company | Basic Materials | -0.123 | -3.33% | 50.65% |
| 12 | COP | ConocoPhillips | Energy | -0.117 | -3.33% | 34.98% |
| 13 | EOG | EOG Resources, Inc. | Energy | -0.117 | -3.33% | 33.97% |
| 14 | DVN | Devon Energy Corporation | Energy | -0.114 | -3.33% | 38.43% |
| 15 | PFE | Pfizer Inc. | Healthcare | -0.113 | -3.33% | -12.66% |
Sector exposure en el rebalanceo seleccionado
2021-11-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 30.0% | 0.0% | 30.00% | 9 | 0 |
| Financial Services | 13.3% | 10.0% | 3.33% | 4 | 3 |
| Energy | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Consumer Defensive | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Healthcare | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |