Portfolio
ridgeRidge· rebalanceo 2023-02-28
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
-0.33
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
6.42%
Short avg
-4.00%
bajar = bueno para el short
Spread long − short
10.42%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NVDA | NVIDIA Corporation | Technology | 0.173 | 3.33% | 51.10% |
| 2 | CRM | Salesforce, Inc. | Technology | 0.160 | 3.33% | 28.88% |
| 3 | OTIS | Otis Worldwide Corporation | Industrials | 0.156 | 3.33% | -6.54% |
| 4 | TER | Teradyne, Inc. | Technology | 0.153 | 3.33% | -1.06% |
| 5 | MSCI | MSCI Inc. | Financial Services | 0.135 | 3.33% | -8.83% |
| 6 | MA | Mastercard Incorporated | Financial Services | 0.134 | 3.33% | 3.36% |
| 7 | GE | GE Aerospace | Industrials | 0.133 | 3.33% | 18.88% |
| 8 | AMAT | Applied Materials, Inc. | Technology | 0.131 | 3.33% | 13.08% |
| 9 | LRCX | Lam Research Corporation | Technology | 0.131 | 3.33% | 23.16% |
| 10 | AAPL | Apple Inc. | Technology | 0.128 | 3.33% | 20.01% |
| 11 | STX | Seagate Technology Holdings plc | Technology | 0.120 | 3.33% | -5.35% |
| 12 | CINF | Cincinnati Financial Corporation | Financial Services | 0.119 | 3.33% | -21.03% |
| 13 | GPN | Global Payments Inc. | Financial Services | 0.118 | 3.33% | -13.13% |
| 14 | ZBRA | Zebra Technologies Corporation | Technology | 0.117 | 3.33% | -14.10% |
| 15 | ANSS | ANSYS, Inc. | Technology | 0.116 | 3.33% | 7.84% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CTRA | — | Unknown | -0.285 | -3.33% | -5.09% |
| 2 | EQT | EQT Corporation | Energy | -0.198 | -3.33% | 4.80% |
| 3 | OXY | Occidental Petroleum Corporation | Energy | -0.179 | -3.33% | -3.20% |
| 4 | CEG | Constellation Energy Corporation | Utilities | -0.142 | -3.33% | 12.59% |
| 5 | COP | ConocoPhillips | Energy | -0.140 | -3.33% | -5.63% |
| 6 | VICI | VICI Properties Inc. | Real Estate | -0.128 | -3.33% | -7.34% |
| 7 | KR | The Kroger Co. | Consumer Defensive | -0.125 | -3.33% | 4.93% |
| 8 | VLO | Valero Energy Corporation | Energy | -0.125 | -3.33% | -25.42% |
| 9 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.123 | -3.33% | -1.93% |
| 10 | ADM | Archer-Daniels-Midland Company | Consumer Defensive | -0.121 | -3.33% | -10.88% |
| 11 | HST | Host Hotels & Resorts, Inc. | Real Estate | -0.121 | -3.33% | -1.68% |
| 12 | MPC | Marathon Petroleum Corporation | Energy | -0.118 | -3.33% | -20.14% |
| 13 | HES | Hess Corporation | Energy | -0.111 | -3.33% | -8.14% |
| 14 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.109 | -3.33% | 12.44% |
| 15 | O | Realty Income Corporation | Real Estate | -0.106 | -3.33% | -5.38% |
Sector exposure en el rebalanceo seleccionado
2023-02-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 30.0% | 0.0% | 30.00% | 9 | 0 |
| Energy | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Financial Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Real Estate | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Cyclical | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Industrials | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |