Portfolio
ridgeRidge macro· rebalanceo 2023-07-31
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
-22.34%
Short avg
-21.58%
bajar = bueno para el short
Spread long − short
-0.76%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LNC | Lincoln National Corporation | Financial Services | 0.173 | 3.33% | -25.77% |
| 2 | OTIS | Otis Worldwide Corporation | Industrials | 0.157 | 3.33% | -16.07% |
| 3 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.153 | 3.33% | -14.09% |
| 4 | MMM | 3M Company | Industrials | 0.153 | 3.33% | -19.62% |
| 5 | MSCI | MSCI Inc. | Financial Services | 0.146 | 3.33% | -12.21% |
| 6 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.143 | 3.33% | -20.30% |
| 7 | AAPL | Apple Inc. | Technology | 0.138 | 3.33% | -13.73% |
| 8 | FIS | Fidelity National Information Services, Inc. | Technology | 0.136 | 3.33% | -22.28% |
| 9 | QRVO | Qorvo, Inc. | Technology | 0.133 | 3.33% | -24.72% |
| 10 | GNRC | Generac Holdings Inc. | Industrials | 0.130 | 3.33% | -62.33% |
| 11 | ADSK | Autodesk, Inc. | Technology | 0.129 | 3.33% | -7.15% |
| 12 | NTAP | NetApp, Inc. | Technology | 0.126 | 3.33% | -9.60% |
| 13 | ZBRA | Zebra Technologies Corporation | Technology | 0.124 | 3.33% | -19.43% |
| 14 | TER | Teradyne, Inc. | Technology | 0.123 | 3.33% | -28.63% |
| 15 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.120 | 3.33% | -39.17% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.190 | -3.33% | -45.62% |
| 2 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.182 | -3.33% | -22.42% |
| 3 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.175 | -3.33% | -36.16% |
| 4 | CTRA | — | Unknown | -0.152 | -3.33% | -0.24% |
| 5 | VICI | VICI Properties Inc. | Real Estate | -0.136 | -3.33% | -13.88% |
| 6 | UAL | United Airlines Holdings, Inc. | Industrials | -0.136 | -3.33% | -42.56% |
| 7 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.130 | -3.33% | -21.06% |
| 8 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.126 | -3.33% | -21.17% |
| 9 | BG | Bunge Global S.A. | Consumer Defensive | -0.123 | -3.33% | -1.22% |
| 10 | OMC | Omnicom Group Inc. | Communication Services | -0.113 | -3.33% | -9.68% |
| 11 | IPG | The Interpublic Group of Companies, Inc. | Communication Services | -0.112 | -3.33% | -18.50% |
| 12 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.111 | -3.33% | -13.91% |
| 13 | KR | The Kroger Co. | Consumer Defensive | -0.102 | -3.33% | -7.09% |
| 14 | AAL | American Airlines Group Inc. | Industrials | -0.102 | -3.33% | -37.27% |
| 15 | GM | General Motors Company | Consumer Cyclical | -0.090 | -3.33% | -32.90% |
Sector exposure en el rebalanceo seleccionado
2023-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Industrials | 16.7% | 6.7% | 10.00% | 5 | 2 |
| Technology | 23.3% | 0.0% | 23.33% | 7 | 0 |
| Consumer Cyclical | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |