Portfolio
ridgeRidge no sector· 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
12
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-6.77%
Short avg
-7.25%
bajar = bueno para el short
Spread long − short
0.48%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EBAY | eBay Inc. | Consumer Cyclical | 0.180 | 3.33% | -11.28% |
| 2 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.152 | 3.33% | -34.39% |
| 3 | CRM | Salesforce, Inc. | Technology | 0.144 | 3.33% | 11.42% |
| 4 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.138 | 3.33% | -14.91% |
| 5 | MTCH | Match Group, Inc. | Communication Services | 0.131 | 3.33% | -42.62% |
| 6 | PM | Philip Morris International Inc. | Consumer Defensive | 0.129 | 3.33% | -8.15% |
| 7 | OTIS | Otis Worldwide Corporation | Industrials | 0.127 | 3.33% | 1.50% |
| 8 | META | Meta Platforms, Inc. | Communication Services | 0.125 | 3.33% | 43.70% |
| 9 | MSCI | MSCI Inc. | Financial Services | 0.123 | 3.33% | -17.20% |
| 10 | GPN | Global Payments Inc. | Financial Services | 0.122 | 3.33% | -10.41% |
| 11 | NVDA | NVIDIA Corporation | Technology | 0.118 | 3.33% | 28.37% |
| 12 | MCO | Moody's Corporation | Financial Services | 0.115 | 3.33% | -7.13% |
| 13 | TER | Teradyne, Inc. | Technology | 0.114 | 3.33% | -15.76% |
| 14 | NFLX | Netflix, Inc. | Communication Services | 0.105 | 3.33% | -12.55% |
| 15 | POOL | Pool Corporation | Industrials | 0.101 | 3.33% | -12.11% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CTRA | — | Unknown | -0.264 | -3.33% | 0.50% |
| 2 | EQT | EQT Corporation | Energy | -0.207 | -3.33% | 0.07% |
| 3 | CF | CF Industries Holdings, Inc. | Basic Materials | -0.145 | -3.33% | -13.93% |
| 4 | HST | Host Hotels & Resorts, Inc. | Real Estate | -0.139 | -3.33% | -13.67% |
| 5 | KR | The Kroger Co. | Consumer Defensive | -0.123 | -3.33% | 8.59% |
| 6 | ADM | Archer-Daniels-Midland Company | Consumer Defensive | -0.119 | -3.33% | -10.01% |
| 7 | OXY | Occidental Petroleum Corporation | Energy | -0.112 | -3.33% | -7.12% |
| 8 | MOS | The Mosaic Company | Basic Materials | -0.110 | -3.33% | -14.19% |
| 9 | LUV | Southwest Airlines Co. | Industrials | -0.109 | -3.33% | -14.06% |
| 10 | MRO | Marathon Oil Corporation | Energy | -0.108 | -3.33% | -18.05% |
| 11 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.108 | -3.33% | -6.48% |
| 12 | AIG | American International Group, Inc. | Financial Services | -0.102 | -3.33% | -16.91% |
| 13 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.101 | -3.33% | 20.54% |
| 14 | PFE | Pfizer Inc. | Healthcare | -0.100 | -3.33% | -13.42% |
| 15 | CEG | Constellation Energy Corporation | Utilities | -0.088 | -3.33% | -10.64% |
Sector exposure en el rebalanceo seleccionado
2023-01-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Defensive | 3.3% | 13.3% | -10.00% | 1 | 4 |
| Financial Services | 13.3% | 3.3% | 10.00% | 4 | 1 |
| Communication Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Energy | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Industrials | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Technology | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Basic Materials | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Cyclical | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Healthcare | 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 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |