Portfolio
ridgeRidge macro· rebalanceo 2022-03-31
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
5
30 posiciones
Sortino del run
-0.33
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-19.03%
Short avg
-11.49%
bajar = bueno para el short
Spread long − short
-7.54%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | KLAC | KLA Corporation | Technology | 0.284 | 3.33% | -19.46% |
| 2 | LRCX | Lam Research Corporation | Technology | 0.252 | 3.33% | -29.81% |
| 3 | TER | Teradyne, Inc. | Technology | 0.244 | 3.33% | -29.20% |
| 4 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.241 | 3.33% | -44.99% |
| 5 | ADSK | Autodesk, Inc. | Technology | 0.234 | 3.33% | -18.59% |
| 6 | EPAM | EPAM Systems, Inc. | Technology | 0.224 | 3.33% | 7.90% |
| 7 | AMAT | Applied Materials, Inc. | Technology | 0.221 | 3.33% | -39.06% |
| 8 | MCHP | Microchip Technology Incorporated | Technology | 0.216 | 3.33% | -27.16% |
| 9 | FIS | Fidelity National Information Services, Inc. | Technology | 0.210 | 3.33% | -7.99% |
| 10 | ANSS | ANSYS, Inc. | Technology | 0.207 | 3.33% | -25.53% |
| 11 | PTC | PTC Inc. | Technology | 0.197 | 3.33% | 0.31% |
| 12 | NOW | ServiceNow, Inc. | Technology | 0.192 | 3.33% | -10.11% |
| 13 | PAYC | Paycom Software, Inc. | Technology | 0.188 | 3.33% | -11.36% |
| 14 | CDNS | Cadence Design Systems, Inc. | Technology | 0.185 | 3.33% | -8.82% |
| 15 | NXPI | NXP Semiconductors N.V. | Technology | 0.184 | 3.33% | -21.61% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CTRA | — | Unknown | -0.459 | -3.33% | -3.63% |
| 2 | COP | ConocoPhillips | Energy | -0.441 | -3.33% | -16.04% |
| 3 | MRO | Marathon Oil Corporation | Energy | -0.391 | -3.33% | -19.48% |
| 4 | FANG | Diamondback Energy, Inc. | Energy | -0.365 | -3.33% | -16.92% |
| 5 | MPC | Marathon Petroleum Corporation | Energy | -0.359 | -3.33% | -3.09% |
| 6 | DVN | Devon Energy Corporation | Energy | -0.348 | -3.33% | -13.46% |
| 7 | XOM | Exxon Mobil Corporation | Energy | -0.347 | -3.33% | 3.03% |
| 8 | EOG | EOG Resources, Inc. | Energy | -0.347 | -3.33% | -11.83% |
| 9 | PXD | Pioneer Natural Resources Company | Energy | -0.331 | -3.33% | -13.60% |
| 10 | CVX | Chevron Corporation | Energy | -0.329 | -3.33% | -13.25% |
| 11 | OXY | Occidental Petroleum Corporation | Energy | -0.319 | -3.33% | 1.88% |
| 12 | BKR | Baker Hughes Company | Energy | -0.309 | -3.33% | -25.07% |
| 13 | WMB | The Williams Companies, Inc. | Energy | -0.296 | -3.33% | -10.32% |
| 14 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.295 | -3.33% | -5.43% |
| 15 | APA | APA Corporation | Energy | -0.270 | -3.33% | -25.16% |
Sector exposure en el rebalanceo seleccionado
2022-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 46.7% | 0.0% | 46.67% | 14 | 0 |
| Energy | 0.0% | 43.3% | -43.33% | 0 | 13 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Financial Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |