Portfolio
ridgeRidge no sector· 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
11
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-8.78%
Short avg
-14.13%
bajar = bueno para el short
Spread long − short
5.35%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LNC | Lincoln National Corporation | Financial Services | 0.166 | 3.33% | -5.63% |
| 2 | CINF | Cincinnati Financial Corporation | Financial Services | 0.146 | 3.33% | 2.44% |
| 3 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.144 | 3.33% | -0.59% |
| 4 | OTIS | Otis Worldwide Corporation | Industrials | 0.129 | 3.33% | -10.46% |
| 5 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.123 | 3.33% | -10.01% |
| 6 | GNRC | Generac Holdings Inc. | Industrials | 0.117 | 3.33% | -35.02% |
| 7 | EBAY | eBay Inc. | Consumer Cyclical | 0.113 | 3.33% | -3.23% |
| 8 | PM | Philip Morris International Inc. | Consumer Defensive | 0.110 | 3.33% | -6.05% |
| 9 | CLX | The Clorox Company | Consumer Defensive | 0.108 | 3.33% | -19.98% |
| 10 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.102 | 3.33% | -5.89% |
| 11 | MTCH | Match Group, Inc. | Communication Services | 0.102 | 3.33% | -10.72% |
| 12 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.100 | 3.33% | -6.85% |
| 13 | MA | Mastercard Incorporated | Financial Services | 0.099 | 3.33% | 0.63% |
| 14 | AAPL | Apple Inc. | Technology | 0.099 | 3.33% | -10.09% |
| 15 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.096 | 3.33% | -10.26% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.167 | -3.33% | -11.81% |
| 2 | UAL | United Airlines Holdings, Inc. | Industrials | -0.162 | -3.33% | -27.98% |
| 3 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.161 | -3.33% | -24.50% |
| 4 | CTRA | — | Unknown | -0.158 | -3.33% | 5.21% |
| 5 | BG | Bunge Global S.A. | Consumer Defensive | -0.138 | -3.33% | 10.00% |
| 6 | VICI | VICI Properties Inc. | Real Estate | -0.122 | -3.33% | -9.18% |
| 7 | HUM | Humana Inc. | Healthcare | -0.115 | -3.33% | 9.88% |
| 8 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.113 | -3.33% | -32.98% |
| 9 | AAL | American Airlines Group Inc. | Industrials | -0.113 | -3.33% | -35.04% |
| 10 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.108 | -3.33% | -13.80% |
| 11 | AXON | Axon Enterprise, Inc. | Industrials | -0.107 | -3.33% | 0.80% |
| 12 | ALB | Albemarle Corporation | Basic Materials | -0.104 | -3.33% | -34.25% |
| 13 | KR | The Kroger Co. | Consumer Defensive | -0.101 | -3.33% | -6.87% |
| 14 | PCG | PG&E Corporation | Utilities | -0.098 | -3.33% | -12.69% |
| 15 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.097 | -3.33% | -28.72% |
Sector exposure en el rebalanceo seleccionado
2023-06-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 10.0% | 16.7% | -6.67% | 3 | 5 |
| Industrials | 13.3% | 10.0% | 3.33% | 4 | 3 |
| Consumer Defensive | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Financial Services | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Technology | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |