Portfolio
ridgeRidge no sector· 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
9
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
6.61%
Short avg
4.35%
bajar = bueno para el short
Spread long − short
2.26%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.163 | 3.33% | 11.70% |
| 2 | CINF | Cincinnati Financial Corporation | Financial Services | 0.142 | 3.33% | 9.27% |
| 3 | LNC | Lincoln National Corporation | Financial Services | 0.133 | 3.33% | 19.54% |
| 4 | AMD | Advanced Micro Devices, Inc. | Technology | 0.131 | 3.33% | -12.23% |
| 5 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.131 | 3.33% | 9.40% |
| 6 | OTIS | Otis Worldwide Corporation | Industrials | 0.121 | 3.33% | 5.24% |
| 7 | QRVO | Qorvo, Inc. | Technology | 0.118 | 3.33% | 8.71% |
| 8 | TER | Teradyne, Inc. | Technology | 0.111 | 3.33% | 4.63% |
| 9 | LRCX | Lam Research Corporation | Technology | 0.111 | 3.33% | 12.76% |
| 10 | EBAY | eBay Inc. | Consumer Cyclical | 0.110 | 3.33% | 4.02% |
| 11 | CLX | The Clorox Company | Consumer Defensive | 0.108 | 3.33% | -0.64% |
| 12 | AAPL | Apple Inc. | Technology | 0.106 | 3.33% | 4.36% |
| 13 | MA | Mastercard Incorporated | Financial Services | 0.106 | 3.33% | 10.82% |
| 14 | PM | Philip Morris International Inc. | Consumer Defensive | 0.104 | 3.33% | 7.67% |
| 15 | CRM | Salesforce, Inc. | Technology | 0.104 | 3.33% | 3.94% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.169 | -3.33% | -0.73% |
| 2 | CTRA | — | Unknown | -0.153 | -3.33% | 21.19% |
| 3 | UAL | United Airlines Holdings, Inc. | Industrials | -0.141 | -3.33% | 4.94% |
| 4 | BG | Bunge Global S.A. | Consumer Defensive | -0.130 | -3.33% | 23.38% |
| 5 | VICI | VICI Properties Inc. | Real Estate | -0.117 | -3.33% | 0.91% |
| 6 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.112 | -3.33% | -13.74% |
| 7 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.109 | -3.33% | 5.22% |
| 8 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.099 | -3.33% | 17.28% |
| 9 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.098 | -3.33% | 6.61% |
| 10 | AAL | American Airlines Group Inc. | Industrials | -0.096 | -3.33% | 0.20% |
| 11 | ALB | Albemarle Corporation | Basic Materials | -0.095 | -3.33% | 1.79% |
| 12 | HUM | Humana Inc. | Healthcare | -0.094 | -3.33% | -10.77% |
| 13 | PFG | Principal Financial Group, Inc. | Financial Services | -0.090 | -3.33% | 14.87% |
| 14 | CAG | Conagra Brands, Inc. | Consumer Defensive | -0.088 | -3.33% | -13.07% |
| 15 | HBAN | Huntington Bancshares Incorporated | Financial Services | -0.086 | -3.33% | 7.16% |
Sector exposure en el rebalanceo seleccionado
2023-05-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 10.0% | 13.3% | -3.33% | 3 | 4 |
| Technology | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Consumer Defensive | 6.7% | 10.0% | -3.33% | 2 | 3 |
| Financial Services | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Industrials | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| 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 |