Portfolio
ridgeRidge no sector· rebalanceo 2023-08-31
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
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-2.31%
Short avg
-2.05%
bajar = bueno para el short
Spread long − short
-0.26%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LNC | Lincoln National Corporation | Financial Services | 0.194 | 3.33% | -6.30% |
| 2 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.154 | 3.33% | -5.19% |
| 3 | MSCI | MSCI Inc. | Financial Services | 0.129 | 3.33% | -2.28% |
| 4 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.125 | 3.33% | 3.73% |
| 5 | AAPL | Apple Inc. | Technology | 0.106 | 3.33% | 1.07% |
| 6 | MA | Mastercard Incorporated | Financial Services | 0.104 | 3.33% | -0.15% |
| 7 | OTIS | Otis Worldwide Corporation | Industrials | 0.103 | 3.33% | 1.08% |
| 8 | PM | Philip Morris International Inc. | Consumer Defensive | 0.103 | 3.33% | -0.33% |
| 9 | MMM | 3M Company | Industrials | 0.097 | 3.33% | -5.31% |
| 10 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.096 | 3.33% | -8.58% |
| 11 | PRU | Prudential Financial, Inc. | Financial Services | 0.092 | 3.33% | 3.02% |
| 12 | MTCH | Match Group, Inc. | Communication Services | 0.091 | 3.33% | -32.99% |
| 13 | GNRC | Generac Holdings Inc. | Industrials | 0.091 | 3.33% | 2.79% |
| 14 | ADSK | Autodesk, Inc. | Technology | 0.088 | 3.33% | 2.21% |
| 15 | SBAC | SBA Communications Corporation | Real Estate | 0.087 | 3.33% | 12.61% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.171 | -3.33% | 0.19% |
| 2 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.164 | -3.33% | 12.52% |
| 3 | UAL | United Airlines Holdings, Inc. | Industrials | -0.163 | -3.33% | -21.15% |
| 4 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.148 | -3.33% | 0.12% |
| 5 | VICI | VICI Properties Inc. | Real Estate | -0.133 | -3.33% | -0.26% |
| 6 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.127 | -3.33% | -15.60% |
| 7 | C | Citigroup Inc. | Financial Services | -0.124 | -3.33% | 14.02% |
| 8 | AAL | American Airlines Group Inc. | Industrials | -0.123 | -3.33% | -12.00% |
| 9 | JPM | JPMorgan Chase & Co. | Financial Services | -0.112 | -3.33% | 7.34% |
| 10 | BG | Bunge Global S.A. | Consumer Defensive | -0.102 | -3.33% | -4.56% |
| 11 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.102 | -3.33% | 3.99% |
| 12 | DXCM | DexCom, Inc. | Healthcare | -0.099 | -3.33% | 13.49% |
| 13 | KR | The Kroger Co. | Consumer Defensive | -0.096 | -3.33% | -2.41% |
| 14 | FTNT | Fortinet, Inc. | Technology | -0.093 | -3.33% | -14.81% |
| 15 | DAL | Delta Air Lines, Inc. | Industrials | -0.090 | -3.33% | -11.65% |
Sector exposure en el rebalanceo seleccionado
2023-08-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Industrials | 16.7% | 10.0% | 6.67% | 5 | 3 |
| Financial Services | 16.7% | 6.7% | 10.00% | 5 | 2 |
| Consumer Cyclical | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Consumer Defensive | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Technology | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Real Estate | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Communication Services | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |