Portfolio
ridgeRidge no sector· rebalanceo 2022-07-29
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
-15.35%
Short avg
11.98%
bajar = bueno para el short
Spread long − short
-27.33%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ENPH | Enphase Energy, Inc. | Energy | 0.204 | 3.33% | 8.32% |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.194 | 3.33% | -2.65% |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.190 | 3.33% | -0.30% |
| 4 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.186 | 3.33% | -5.66% |
| 5 | MTCH | Match Group, Inc. | Communication Services | 0.173 | 3.33% | -52.08% |
| 6 | MA | Mastercard Incorporated | Financial Services | 0.167 | 3.33% | -6.04% |
| 7 | NOW | ServiceNow, Inc. | Technology | 0.149 | 3.33% | -7.63% |
| 8 | KLAC | KLA Corporation | Technology | 0.147 | 3.33% | -17.84% |
| 9 | NFLX | Netflix, Inc. | Communication Services | 0.143 | 3.33% | 26.79% |
| 10 | META | Meta Platforms, Inc. | Communication Services | 0.139 | 3.33% | -47.76% |
| 11 | GNRC | Generac Holdings Inc. | Industrials | 0.138 | 3.33% | -82.01% |
| 12 | LRCX | Lam Research Corporation | Technology | 0.134 | 3.33% | -21.08% |
| 13 | OTIS | Otis Worldwide Corporation | Industrials | 0.134 | 3.33% | -8.43% |
| 14 | ADSK | Autodesk, Inc. | Technology | 0.131 | 3.33% | -0.81% |
| 15 | MCO | Moody's Corporation | Financial Services | 0.130 | 3.33% | -13.13% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CTRA | — | Unknown | -0.209 | -3.33% | 4.00% |
| 2 | CF | CF Industries Holdings, Inc. | Basic Materials | -0.206 | -3.33% | 11.63% |
| 3 | MRO | Marathon Oil Corporation | Energy | -0.184 | -3.33% | 23.22% |
| 4 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.171 | -3.33% | -24.44% |
| 5 | MPC | Marathon Petroleum Corporation | Energy | -0.164 | -3.33% | 23.51% |
| 6 | BKR | Baker Hughes Company | Energy | -0.160 | -3.33% | 10.66% |
| 7 | MOS | The Mosaic Company | Basic Materials | -0.159 | -3.33% | 3.61% |
| 8 | COP | ConocoPhillips | Energy | -0.155 | -3.33% | 30.93% |
| 9 | ADM | Archer-Daniels-Midland Company | Consumer Defensive | -0.152 | -3.33% | 12.34% |
| 10 | KR | The Kroger Co. | Consumer Defensive | -0.145 | -3.33% | 0.63% |
| 11 | AIG | American International Group, Inc. | Financial Services | -0.144 | -3.33% | 11.29% |
| 12 | DVN | Devon Energy Corporation | Energy | -0.135 | -3.33% | 23.34% |
| 13 | PXD | Pioneer Natural Resources Company | Energy | -0.135 | -3.33% | 15.57% |
| 14 | EOG | EOG Resources, Inc. | Energy | -0.131 | -3.33% | 23.55% |
| 15 | OXY | Occidental Petroleum Corporation | Energy | -0.127 | -3.33% | 9.86% |
Sector exposure en el rebalanceo seleccionado
2022-07-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 3.3% | 26.7% | -23.33% | 1 | 8 |
| Financial Services | 13.3% | 3.3% | 10.00% | 4 | 1 |
| Technology | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Communication Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Industrials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Cyclical | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |