Portfolio
ridgeRidge no sector· rebalanceo 2022-06-30
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
11
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-5.70%
Short avg
-0.30%
bajar = bueno para el short
Spread long − short
-5.39%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.169 | 3.33% | 18.70% |
| 2 | MTCH | Match Group, Inc. | Communication Services | 0.165 | 3.33% | -40.37% |
| 3 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.164 | 3.33% | 22.68% |
| 4 | NOW | ServiceNow, Inc. | Technology | 0.160 | 3.33% | -24.90% |
| 5 | MSCI | MSCI Inc. | Financial Services | 0.157 | 3.33% | 1.21% |
| 6 | MA | Mastercard Incorporated | Financial Services | 0.155 | 3.33% | -11.11% |
| 7 | ENPH | Enphase Energy, Inc. | Energy | 0.155 | 3.33% | 34.90% |
| 8 | META | Meta Platforms, Inc. | Communication Services | 0.139 | 3.33% | -16.51% |
| 9 | CRM | Salesforce, Inc. | Technology | 0.132 | 3.33% | -15.65% |
| 10 | OTIS | Otis Worldwide Corporation | Industrials | 0.124 | 3.33% | -11.58% |
| 11 | KLAC | KLA Corporation | Technology | 0.123 | 3.33% | 2.48% |
| 12 | SEDG | SolarEdge Technologies, Inc. | Energy | 0.117 | 3.33% | -17.71% |
| 13 | LRCX | Lam Research Corporation | Technology | 0.116 | 3.33% | -7.19% |
| 14 | MCO | Moody's Corporation | Financial Services | 0.106 | 3.33% | -12.08% |
| 15 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.103 | 3.33% | -8.32% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CTRA | — | Unknown | -0.220 | -3.33% | 1.43% |
| 2 | CF | CF Industries Holdings, Inc. | Basic Materials | -0.212 | -3.33% | 12.49% |
| 3 | MOS | The Mosaic Company | Basic Materials | -0.208 | -3.33% | 3.23% |
| 4 | MRO | Marathon Oil Corporation | Energy | -0.186 | -3.33% | 0.51% |
| 5 | COP | ConocoPhillips | Energy | -0.169 | -3.33% | 13.63% |
| 6 | MPC | Marathon Petroleum Corporation | Energy | -0.161 | -3.33% | 16.79% |
| 7 | KR | The Kroger Co. | Consumer Defensive | -0.147 | -3.33% | -8.99% |
| 8 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.146 | -3.33% | -25.09% |
| 9 | PXD | Pioneer Natural Resources Company | Energy | -0.146 | -3.33% | 0.16% |
| 10 | DVN | Devon Energy Corporation | Energy | -0.145 | -3.33% | 11.00% |
| 11 | OXY | Occidental Petroleum Corporation | Energy | -0.143 | -3.33% | 1.84% |
| 12 | AIG | American International Group, Inc. | Financial Services | -0.140 | -3.33% | -8.52% |
| 13 | CVX | Chevron Corporation | Energy | -0.138 | -3.33% | -1.05% |
| 14 | MRNA | Moderna, Inc. | Healthcare | -0.135 | -3.33% | -23.75% |
| 15 | HST | Host Hotels & Resorts, Inc. | Real Estate | -0.134 | -3.33% | 1.76% |
Sector exposure en el rebalanceo seleccionado
2022-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 6.7% | 23.3% | -16.67% | 2 | 7 |
| Financial Services | 16.7% | 3.3% | 13.33% | 5 | 1 |
| Technology | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Communication Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Cyclical | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| 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 |