Portfolio
ridgeRidge macro· rebalanceo 2023-05-31
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
8
30 posiciones
Sortino del run
-0.33
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
8.41%
Short avg
5.10%
bajar = bueno para el short
Spread long − short
3.31%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AMD | Advanced Micro Devices, Inc. | Technology | 0.163 | 3.33% | -12.23% |
| 2 | LNC | Lincoln National Corporation | Financial Services | 0.158 | 3.33% | 19.54% |
| 3 | FIS | Fidelity National Information Services, Inc. | Technology | 0.157 | 3.33% | 2.50% |
| 4 | OTIS | Otis Worldwide Corporation | Industrials | 0.155 | 3.33% | 5.24% |
| 5 | CINF | Cincinnati Financial Corporation | Financial Services | 0.154 | 3.33% | 9.27% |
| 6 | TER | Teradyne, Inc. | Technology | 0.152 | 3.33% | 4.63% |
| 7 | QRVO | Qorvo, Inc. | Technology | 0.151 | 3.33% | 8.71% |
| 8 | LRCX | Lam Research Corporation | Technology | 0.148 | 3.33% | 12.76% |
| 9 | STX | Seagate Technology Holdings plc | Technology | 0.140 | 3.33% | 15.49% |
| 10 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.139 | 3.33% | 4.58% |
| 11 | AAPL | Apple Inc. | Technology | 0.138 | 3.33% | 4.36% |
| 12 | AMAT | Applied Materials, Inc. | Technology | 0.132 | 3.33% | 12.70% |
| 13 | ADBE | Adobe Inc. | Technology | 0.132 | 3.33% | 27.06% |
| 14 | NTAP | NetApp, Inc. | Technology | 0.128 | 3.33% | 7.04% |
| 15 | GNRC | Generac Holdings Inc. | Industrials | 0.127 | 3.33% | 4.52% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.177 | -3.33% | -0.73% |
| 2 | CTRA | — | Unknown | -0.157 | -3.33% | 21.19% |
| 3 | VICI | VICI Properties Inc. | Real Estate | -0.130 | -3.33% | 0.91% |
| 4 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.130 | -3.33% | 17.28% |
| 5 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.128 | -3.33% | 6.61% |
| 6 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.127 | -3.33% | -13.74% |
| 7 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.123 | -3.33% | 5.22% |
| 8 | BG | Bunge Global S.A. | Consumer Defensive | -0.120 | -3.33% | 23.38% |
| 9 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.099 | -3.33% | 28.92% |
| 10 | UAL | United Airlines Holdings, Inc. | Industrials | -0.098 | -3.33% | 4.94% |
| 11 | CAG | Conagra Brands, Inc. | Consumer Defensive | -0.097 | -3.33% | -13.07% |
| 12 | GIS | General Mills, Inc. | Consumer Defensive | -0.093 | -3.33% | -20.72% |
| 13 | WMT | Walmart Inc. | Consumer Defensive | -0.088 | -3.33% | 10.15% |
| 14 | HES | Hess Corporation | Energy | -0.085 | -3.33% | 18.32% |
| 15 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.085 | -3.33% | -12.11% |
Sector exposure en el rebalanceo seleccionado
2023-05-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 33.3% | 0.0% | 33.33% | 10 | 0 |
| Consumer Defensive | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Consumer Cyclical | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Industrials | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Financial Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| 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 |