Portfolio
ridgeRidge no sector· 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
10
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-22.13%
Short avg
-20.90%
bajar = bueno para el short
Spread long − short
-1.23%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LNC | Lincoln National Corporation | Financial Services | 0.177 | 3.33% | -25.77% |
| 2 | MSCI | MSCI Inc. | Financial Services | 0.140 | 3.33% | -12.21% |
| 3 | AMZN | Amazon.com, Inc. | Consumer Cyclical | 0.126 | 3.33% | 0.77% |
| 4 | OTIS | Otis Worldwide Corporation | Industrials | 0.124 | 3.33% | -16.07% |
| 5 | MMM | 3M Company | Industrials | 0.116 | 3.33% | -19.62% |
| 6 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.116 | 3.33% | -14.09% |
| 7 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.114 | 3.33% | -20.30% |
| 8 | GNRC | Generac Holdings Inc. | Industrials | 0.110 | 3.33% | -62.33% |
| 9 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.110 | 3.33% | -28.53% |
| 10 | CLX | The Clorox Company | Consumer Defensive | 0.106 | 3.33% | -24.65% |
| 11 | QRVO | Qorvo, Inc. | Technology | 0.104 | 3.33% | -24.72% |
| 12 | AAPL | Apple Inc. | Technology | 0.104 | 3.33% | -13.73% |
| 13 | EXPE | Expedia Group, Inc. | Consumer Cyclical | 0.101 | 3.33% | -24.03% |
| 14 | DPZ | Domino's Pizza, Inc. | Consumer Cyclical | 0.096 | 3.33% | -16.24% |
| 15 | MTCH | Match Group, Inc. | Communication Services | 0.092 | 3.33% | -30.44% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | UAL | United Airlines Holdings, Inc. | Industrials | -0.167 | -3.33% | -42.56% |
| 2 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.166 | -3.33% | -45.62% |
| 3 | CTRA | — | Unknown | -0.148 | -3.33% | -0.24% |
| 4 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.141 | -3.33% | -22.42% |
| 5 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.138 | -3.33% | -36.16% |
| 6 | VICI | VICI Properties Inc. | Real Estate | -0.131 | -3.33% | -13.88% |
| 7 | AAL | American Airlines Group Inc. | Industrials | -0.130 | -3.33% | -37.27% |
| 8 | BG | Bunge Global S.A. | Consumer Defensive | -0.121 | -3.33% | -1.22% |
| 9 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.115 | -3.33% | -21.17% |
| 10 | AXON | Axon Enterprise, Inc. | Industrials | -0.114 | -3.33% | 9.56% |
| 11 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.107 | -3.33% | -13.91% |
| 12 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.105 | -3.33% | -21.06% |
| 13 | ALB | Albemarle Corporation | Basic Materials | -0.101 | -3.33% | -48.80% |
| 14 | KR | The Kroger Co. | Consumer Defensive | -0.098 | -3.33% | -7.09% |
| 15 | UHS | Universal Health Services, Inc. | Healthcare | -0.095 | -3.33% | -11.59% |
Sector exposure en el rebalanceo seleccionado
2023-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 10.0% | 16.7% | -6.67% | 3 | 5 |
| Industrials | 16.7% | 10.0% | 6.67% | 5 | 3 |
| Consumer Defensive | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Financial Services | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Technology | 6.7% | 0.0% | 6.67% | 2 | 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 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |