Portfolio
ridgeRidge· rebalanceo 2023-09-29
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
12.01%
Short avg
11.30%
bajar = bueno para el short
Spread long − short
0.70%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.170 | 3.33% | 2.46% |
| 2 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.154 | 3.33% | 10.80% |
| 3 | BX | Blackstone Inc. | Financial Services | 0.132 | 3.33% | 18.86% |
| 4 | OTIS | Otis Worldwide Corporation | Industrials | 0.127 | 3.33% | 11.05% |
| 5 | AAPL | Apple Inc. | Technology | 0.127 | 3.33% | 6.75% |
| 6 | CF | CF Industries Holdings, Inc. | Basic Materials | 0.125 | 3.33% | -2.03% |
| 7 | MMM | 3M Company | Industrials | 0.122 | 3.33% | 21.39% |
| 8 | MSCI | MSCI Inc. | Financial Services | 0.122 | 3.33% | 9.47% |
| 9 | GNRC | Generac Holdings Inc. | Industrials | 0.121 | 3.33% | 18.27% |
| 10 | NTAP | NetApp, Inc. | Technology | 0.120 | 3.33% | 13.54% |
| 11 | ADSK | Autodesk, Inc. | Technology | 0.118 | 3.33% | 11.35% |
| 12 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.117 | 3.33% | 4.84% |
| 13 | RHI | Robert Half International Inc. | Industrials | 0.109 | 3.33% | 18.45% |
| 14 | QCOM | QUALCOMM Incorporated | Technology | 0.108 | 3.33% | 23.92% |
| 15 | POOL | Pool Corporation | Industrials | 0.102 | 3.33% | 10.97% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.204 | -3.33% | 27.01% |
| 2 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.174 | -3.33% | 23.71% |
| 3 | VICI | VICI Properties Inc. | Real Estate | -0.147 | -3.33% | 14.40% |
| 4 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.140 | -3.33% | 12.04% |
| 5 | BG | Bunge Global S.A. | Consumer Defensive | -0.139 | -3.33% | -4.36% |
| 6 | UAL | United Airlines Holdings, Inc. | Industrials | -0.136 | -3.33% | -2.19% |
| 7 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.127 | -3.33% | 10.83% |
| 8 | IPG | The Interpublic Group of Companies, Inc. | Communication Services | -0.118 | -3.33% | 15.44% |
| 9 | BKNG | Booking Holdings Inc. | Consumer Cyclical | -0.118 | -3.33% | 11.78% |
| 10 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.108 | -3.33% | 14.75% |
| 11 | OMC | Omnicom Group Inc. | Communication Services | -0.106 | -3.33% | 18.16% |
| 12 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.102 | -3.33% | 32.89% |
| 13 | SLB | SLB N.V. | Energy | -0.101 | -3.33% | -10.39% |
| 14 | KDP | Keurig Dr Pepper Inc. | Consumer Defensive | -0.100 | -3.33% | 6.70% |
| 15 | BKR | Baker Hughes Company | Energy | -0.098 | -3.33% | -1.24% |
Sector exposure en el rebalanceo seleccionado
2023-09-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Industrials | 23.3% | 3.3% | 20.00% | 7 | 1 |
| Consumer Cyclical | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Technology | 13.3% | 0.0% | 13.33% | 4 | 0 |
| 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 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Basic Materials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |