Portfolio
ridgeRidge no sector· rebalanceo 2023-03-31
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
9.72%
Short avg
10.90%
bajar = bueno para el short
Spread long − short
-1.17%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | EBAY | eBay Inc. | Consumer Cyclical | 0.168 | 3.33% | 2.27% |
| 2 | CRM | Salesforce, Inc. | Technology | 0.150 | 3.33% | 8.45% |
| 3 | NVDA | NVIDIA Corporation | Technology | 0.139 | 3.33% | 41.45% |
| 4 | AAPL | Apple Inc. | Technology | 0.131 | 3.33% | 14.23% |
| 5 | TER | Teradyne, Inc. | Technology | 0.130 | 3.33% | 1.31% |
| 6 | MSCI | MSCI Inc. | Financial Services | 0.128 | 3.33% | -16.06% |
| 7 | MA | Mastercard Incorporated | Financial Services | 0.126 | 3.33% | 7.59% |
| 8 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.120 | 3.33% | -8.93% |
| 9 | META | Meta Platforms, Inc. | Communication Services | 0.119 | 3.33% | 32.32% |
| 10 | GPN | Global Payments Inc. | Financial Services | 0.116 | 3.33% | -0.23% |
| 11 | LRCX | Lam Research Corporation | Technology | 0.112 | 3.33% | 18.95% |
| 12 | MCO | Moody's Corporation | Financial Services | 0.111 | 3.33% | 13.37% |
| 13 | OTIS | Otis Worldwide Corporation | Industrials | 0.110 | 3.33% | 4.30% |
| 14 | GOOGL | Alphabet Inc. | Communication Services | 0.107 | 3.33% | 15.41% |
| 15 | GE | GE Aerospace | Industrials | 0.107 | 3.33% | 11.43% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CTRA | — | Unknown | -0.236 | -3.33% | 1.05% |
| 2 | BG | Bunge Global S.A. | Consumer Defensive | -0.150 | -3.33% | 2.56% |
| 3 | UAL | United Airlines Holdings, Inc. | Industrials | -0.141 | -3.33% | 24.94% |
| 4 | HBAN | Huntington Bancshares Incorporated | Financial Services | -0.117 | -3.33% | -2.07% |
| 5 | HUM | Humana Inc. | Healthcare | -0.114 | -3.33% | -13.48% |
| 6 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.112 | -3.33% | 47.44% |
| 7 | PFG | Principal Financial Group, Inc. | Financial Services | -0.110 | -3.33% | 3.76% |
| 8 | EQT | EQT Corporation | Energy | -0.109 | -3.33% | 24.40% |
| 9 | CMA | Comerica Incorporated | Financial Services | -0.109 | -3.33% | 4.67% |
| 10 | CEG | Constellation Energy Corporation | Utilities | -0.108 | -3.33% | 18.80% |
| 11 | VICI | VICI Properties Inc. | Real Estate | -0.105 | -3.33% | -2.40% |
| 12 | DAL | Delta Air Lines, Inc. | Industrials | -0.104 | -3.33% | 34.40% |
| 13 | ALB | Albemarle Corporation | Basic Materials | -0.102 | -3.33% | 4.91% |
| 14 | MRK | Merck & Co., Inc. | Healthcare | -0.101 | -3.33% | 5.01% |
| 15 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.097 | -3.33% | 9.49% |
Sector exposure en el rebalanceo seleccionado
2023-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 16.7% | 10.0% | 6.67% | 5 | 3 |
| Technology | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Industrials | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Communication Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Consumer Cyclical | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 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 |