Portfolio
ridgeRidge· rebalanceo 2023-01-31
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
10
30 posiciones
Sortino del run
-0.33
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-6.09%
Short avg
-4.24%
bajar = bueno para el short
Spread long − short
-1.85%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CRM | Salesforce, Inc. | Technology | 0.169 | 3.33% | 11.42% |
| 2 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.151 | 3.33% | -14.91% |
| 3 | OTIS | Otis Worldwide Corporation | Industrials | 0.149 | 3.33% | 1.50% |
| 4 | TER | Teradyne, Inc. | Technology | 0.145 | 3.33% | -15.76% |
| 5 | NVDA | NVIDIA Corporation | Technology | 0.144 | 3.33% | 28.37% |
| 6 | MSCI | MSCI Inc. | Financial Services | 0.130 | 3.33% | -17.20% |
| 7 | LRCX | Lam Research Corporation | Technology | 0.129 | 3.33% | -2.64% |
| 8 | STX | Seagate Technology Holdings plc | Technology | 0.128 | 3.33% | -22.04% |
| 9 | GPN | Global Payments Inc. | Financial Services | 0.126 | 3.33% | -10.41% |
| 10 | NTAP | NetApp, Inc. | Technology | 0.125 | 3.33% | -6.43% |
| 11 | NOW | ServiceNow, Inc. | Technology | 0.124 | 3.33% | -8.06% |
| 12 | MCO | Moody's Corporation | Financial Services | 0.123 | 3.33% | -7.13% |
| 13 | POOL | Pool Corporation | Industrials | 0.123 | 3.33% | -12.11% |
| 14 | EBAY | eBay Inc. | Consumer Cyclical | 0.122 | 3.33% | -11.28% |
| 15 | AMAT | Applied Materials, Inc. | Technology | 0.121 | 3.33% | -4.69% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CTRA | — | Unknown | -0.258 | -3.33% | 0.50% |
| 2 | EQT | EQT Corporation | Energy | -0.217 | -3.33% | 0.07% |
| 3 | HST | Host Hotels & Resorts, Inc. | Real Estate | -0.151 | -3.33% | -13.67% |
| 4 | ADM | Archer-Daniels-Midland Company | Consumer Defensive | -0.136 | -3.33% | -10.01% |
| 5 | KR | The Kroger Co. | Consumer Defensive | -0.133 | -3.33% | 8.59% |
| 6 | OXY | Occidental Petroleum Corporation | Energy | -0.132 | -3.33% | -7.12% |
| 7 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.121 | -3.33% | -6.48% |
| 8 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.117 | -3.33% | 20.54% |
| 9 | MRO | Marathon Oil Corporation | Energy | -0.116 | -3.33% | -18.05% |
| 10 | MPC | Marathon Petroleum Corporation | Energy | -0.109 | -3.33% | -10.50% |
| 11 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.106 | -3.33% | -0.29% |
| 12 | LYV | Live Nation Entertainment, Inc. | Communication Services | -0.100 | -3.33% | -18.97% |
| 13 | CVX | Chevron Corporation | Energy | -0.098 | -3.33% | -7.98% |
| 14 | GIS | General Mills, Inc. | Consumer Defensive | -0.094 | -3.33% | 13.65% |
| 15 | CF | CF Industries Holdings, Inc. | Basic Materials | -0.092 | -3.33% | -13.93% |
Sector exposure en el rebalanceo seleccionado
2023-01-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 26.7% | 0.0% | 26.67% | 8 | 0 |
| Consumer Defensive | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Energy | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Financial Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Consumer Cyclical | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Industrials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |