Portfolio
ridgeRidge macro· rebalanceo 2023-06-30
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
-7.93%
Short avg
-14.06%
bajar = bueno para el short
Spread long − short
6.13%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LNC | Lincoln National Corporation | Financial Services | 0.170 | 3.33% | -5.63% |
| 2 | OTIS | Otis Worldwide Corporation | Industrials | 0.162 | 3.33% | -10.46% |
| 3 | CINF | Cincinnati Financial Corporation | Financial Services | 0.152 | 3.33% | 2.44% |
| 4 | GNRC | Generac Holdings Inc. | Industrials | 0.145 | 3.33% | -35.02% |
| 5 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.141 | 3.33% | -5.89% |
| 6 | FIS | Fidelity National Information Services, Inc. | Technology | 0.135 | 3.33% | -5.75% |
| 7 | AAPL | Apple Inc. | Technology | 0.133 | 3.33% | -10.09% |
| 8 | NTAP | NetApp, Inc. | Technology | 0.131 | 3.33% | -0.21% |
| 9 | QRVO | Qorvo, Inc. | Technology | 0.129 | 3.33% | -8.08% |
| 10 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.128 | 3.33% | -10.26% |
| 11 | TER | Teradyne, Inc. | Technology | 0.128 | 3.33% | -10.14% |
| 12 | ZBRA | Zebra Technologies Corporation | Technology | 0.126 | 3.33% | -23.75% |
| 13 | POOL | Pool Corporation | Industrials | 0.116 | 3.33% | -5.96% |
| 14 | ADSK | Autodesk, Inc. | Technology | 0.116 | 3.33% | 2.56% |
| 15 | STX | Seagate Technology Holdings plc | Technology | 0.115 | 3.33% | 7.31% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.204 | -3.33% | -11.81% |
| 2 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.171 | -3.33% | -24.50% |
| 3 | CTRA | — | Unknown | -0.163 | -3.33% | 5.21% |
| 4 | BG | Bunge Global S.A. | Consumer Defensive | -0.137 | -3.33% | 10.00% |
| 5 | VICI | VICI Properties Inc. | Real Estate | -0.133 | -3.33% | -9.18% |
| 6 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.130 | -3.33% | -32.98% |
| 7 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.127 | -3.33% | -28.72% |
| 8 | UAL | United Airlines Holdings, Inc. | Industrials | -0.126 | -3.33% | -27.98% |
| 9 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.118 | -3.33% | -13.80% |
| 10 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.104 | -3.33% | -21.89% |
| 11 | KR | The Kroger Co. | Consumer Defensive | -0.103 | -3.33% | -6.87% |
| 12 | IPG | The Interpublic Group of Companies, Inc. | Communication Services | -0.102 | -3.33% | -29.76% |
| 13 | OMC | Omnicom Group Inc. | Communication Services | -0.095 | -3.33% | -25.52% |
| 14 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.091 | -3.33% | -6.71% |
| 15 | CEG | Constellation Energy Corporation | Utilities | -0.090 | -3.33% | 13.66% |
Sector exposure en el rebalanceo seleccionado
2023-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 26.7% | 0.0% | 26.67% | 8 | 0 |
| Industrials | 16.7% | 3.3% | 13.33% | 5 | 1 |
| Consumer Cyclical | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Consumer Defensive | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Financial Services | 6.7% | 0.0% | 6.67% | 2 | 0 |
| 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 |