Portfolio
ridgeRidge no sector· rebalanceo 2022-12-30
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
10
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
15.86%
Short avg
1.50%
bajar = bueno para el short
Spread long − short
14.36%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EBAY | eBay Inc. | Consumer Cyclical | 0.211 | 3.33% | 5.61% |
| 2 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.195 | 3.33% | -3.51% |
| 3 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.186 | 3.33% | 0.90% |
| 4 | CRM | Salesforce, Inc. | Technology | 0.174 | 3.33% | 38.06% |
| 5 | NFLX | Netflix, Inc. | Communication Services | 0.174 | 3.33% | 16.18% |
| 6 | TER | Teradyne, Inc. | Technology | 0.166 | 3.33% | 18.30% |
| 7 | MTCH | Match Group, Inc. | Communication Services | 0.162 | 3.33% | -10.33% |
| 8 | NVDA | NVIDIA Corporation | Technology | 0.154 | 3.33% | 65.10% |
| 9 | MSCI | MSCI Inc. | Financial Services | 0.153 | 3.33% | 17.93% |
| 10 | GPN | Global Payments Inc. | Financial Services | 0.150 | 3.33% | 3.31% |
| 11 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.140 | 3.33% | 34.45% |
| 12 | MCO | Moody's Corporation | Financial Services | 0.135 | 3.33% | 9.74% |
| 13 | LRCX | Lam Research Corporation | Technology | 0.133 | 3.33% | 20.02% |
| 14 | IDXX | IDEXX Laboratories, Inc. | Healthcare | 0.128 | 3.33% | 17.57% |
| 15 | KLAC | KLA Corporation | Technology | 0.127 | 3.33% | 4.56% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CTRA | — | Unknown | -0.255 | -3.33% | 10.11% |
| 2 | EQT | EQT Corporation | Energy | -0.226 | -3.33% | 2.52% |
| 3 | MRO | Marathon Oil Corporation | Energy | -0.184 | -3.33% | 0.72% |
| 4 | CF | CF Industries Holdings, Inc. | Basic Materials | -0.179 | -3.33% | -11.28% |
| 5 | KR | The Kroger Co. | Consumer Defensive | -0.165 | -3.33% | 11.20% |
| 6 | OXY | Occidental Petroleum Corporation | Energy | -0.157 | -3.33% | 6.30% |
| 7 | ADM | Archer-Daniels-Midland Company | Consumer Defensive | -0.155 | -3.33% | -11.62% |
| 8 | MPC | Marathon Petroleum Corporation | Energy | -0.151 | -3.33% | 13.19% |
| 9 | COP | ConocoPhillips | Energy | -0.148 | -3.33% | -5.16% |
| 10 | WRB | W. R. Berkley Corporation | Financial Services | -0.141 | -3.33% | -14.25% |
| 11 | VLO | Valero Energy Corporation | Energy | -0.139 | -3.33% | 6.70% |
| 12 | XOM | Exxon Mobil Corporation | Energy | -0.139 | -3.33% | 8.46% |
| 13 | MOS | The Mosaic Company | Basic Materials | -0.138 | -3.33% | 8.94% |
| 14 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.136 | -3.33% | -5.55% |
| 15 | HST | Host Hotels & Resorts, Inc. | Real Estate | -0.131 | -3.33% | 2.20% |
Sector exposure en el rebalanceo seleccionado
2022-12-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Energy | 0.0% | 23.3% | -23.33% | 0 | 7 |
| Technology | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Financial Services | 13.3% | 3.3% | 10.00% | 4 | 1 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Communication Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Cyclical | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Healthcare | 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 |