Portfolio
ridgeRidge no sector· rebalanceo 2022-05-31
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
12
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-3.00%
Short avg
-8.32%
bajar = bueno para el short
Spread long − short
5.33%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.171 | 3.33% | 12.47% |
| 2 | MA | Mastercard Incorporated | Financial Services | 0.153 | 3.33% | -9.45% |
| 3 | MTCH | Match Group, Inc. | Communication Services | 0.152 | 3.33% | -33.77% |
| 4 | META | Meta Platforms, Inc. | Communication Services | 0.152 | 3.33% | -14.65% |
| 5 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.151 | 3.33% | 26.60% |
| 6 | KLAC | KLA Corporation | Technology | 0.146 | 3.33% | -3.32% |
| 7 | MSCI | MSCI Inc. | Financial Services | 0.141 | 3.33% | 4.28% |
| 8 | LRCX | Lam Research Corporation | Technology | 0.140 | 3.33% | -14.08% |
| 9 | NOW | ServiceNow, Inc. | Technology | 0.133 | 3.33% | -8.92% |
| 10 | ADSK | Autodesk, Inc. | Technology | 0.128 | 3.33% | -2.76% |
| 11 | OTIS | Otis Worldwide Corporation | Industrials | 0.120 | 3.33% | -2.03% |
| 12 | TER | Teradyne, Inc. | Technology | 0.119 | 3.33% | -22.99% |
| 13 | ENPH | Enphase Energy, Inc. | Energy | 0.113 | 3.33% | 45.08% |
| 14 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.107 | 3.33% | -2.08% |
| 15 | AMAT | Applied Materials, Inc. | Technology | 0.106 | 3.33% | -19.37% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CTRA | — | Unknown | -0.188 | -3.33% | -10.73% |
| 2 | CF | CF Industries Holdings, Inc. | Basic Materials | -0.183 | -3.33% | 8.39% |
| 3 | MRNA | Moderna, Inc. | Healthcare | -0.160 | -3.33% | -8.08% |
| 4 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.154 | -3.33% | -15.04% |
| 5 | KR | The Kroger Co. | Consumer Defensive | -0.152 | -3.33% | -6.32% |
| 6 | MOS | The Mosaic Company | Basic Materials | -0.145 | -3.33% | -8.31% |
| 7 | MRO | Marathon Oil Corporation | Energy | -0.136 | -3.33% | -20.08% |
| 8 | PFE | Pfizer Inc. | Healthcare | -0.132 | -3.33% | -13.88% |
| 9 | COP | ConocoPhillips | Energy | -0.130 | -3.33% | -4.38% |
| 10 | DLTR | Dollar Tree, Inc. | Consumer Defensive | -0.130 | -3.33% | -17.12% |
| 11 | OXY | Occidental Petroleum Corporation | Energy | -0.125 | -3.33% | 1.01% |
| 12 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.121 | -3.33% | -4.49% |
| 13 | AIG | American International Group, Inc. | Financial Services | -0.119 | -3.33% | -10.50% |
| 14 | EIX | Edison International | Utilities | -0.115 | -3.33% | -1.74% |
| 15 | HST | Host Hotels & Resorts, Inc. | Real Estate | -0.113 | -3.33% | -13.61% |
Sector exposure en el rebalanceo seleccionado
2022-05-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Financial Services | 13.3% | 3.3% | 10.00% | 4 | 1 |
| Energy | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Communication Services | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Cyclical | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |