Portfolio

ridgeRidge no sector· rebalanceo 2023-09-29

Ver run completo

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 rebalanceos
2023-09-29históricoir a última45 / 72 rebalanceos
202012
01-3102-2803-3104-3005-2906-3007-3108-3109-3010-3011-3012-31
202112
01-2902-2603-3104-3005-2806-3007-3008-3109-3010-2911-3012-31
202212
01-3102-2803-3104-2905-3106-3007-2908-3109-3010-3111-3012-30
202312
01-3102-2803-3104-2805-3106-3007-3108-3109-2910-3111-3012-29
202412
01-3102-2903-2804-3005-3106-2807-3108-3009-3010-3111-2912-31
202512
01-3102-2803-3104-3005-3006-3007-3108-2909-3010-3111-2812-31

Snapshot (histórico)

Long book

15

gross 50.0%

Short book

15

gross -50.0%

Sectores cubiertos

7

30 posiciones

Sortino del run

-0.38

Realizado en los 63 días posteriores

exposición media por posición

Long avg

9.07%

Short avg

16.28%

bajar = bueno para el short

Spread long − short

-7.21%

Long book

15 posiciones
#TickerCompañíaSectorScorePesoRet realizado 63d
1CHRWC.H. Robinson Worldwide, Inc.Industrials0.1593.33%2.46%
2BXBlackstone Inc.Financial Services0.1353.33%18.86%
3MSCIMSCI Inc.Financial Services0.1293.33%9.47%
4EXPDExpeditors International of Washington, Inc.Industrials0.1263.33%10.80%
5OTISOtis Worldwide CorporationIndustrials0.1043.33%11.05%
6PRUPrudential Financial, Inc.Financial Services0.1033.33%12.64%
7PMPhilip Morris International Inc.Consumer Defensive0.1023.33%5.81%
8TROWT. Rowe Price Group, Inc.Financial Services0.1013.33%4.31%
9CFCF Industries Holdings, Inc.Basic Materials0.0973.33%-2.03%
10AAPLApple Inc.Technology0.0943.33%6.75%
11PYPLPayPal Holdings, Inc.Financial Services0.0933.33%4.84%
12MMM3M CompanyIndustrials0.0923.33%21.39%
13MAMastercard IncorporatedFinancial Services0.0923.33%6.51%
14ADSKAutodesk, Inc.Technology0.0923.33%11.35%
15CSGPCoStar Group, Inc.Real Estate0.0923.33%11.77%

Short book

15 posiciones
#TickerCompañíaSectorScorePesoRet realizado 63d
1RCLRoyal Caribbean Cruises Ltd.Consumer Cyclical-0.175-3.33%27.01%
2UALUnited Airlines Holdings, Inc.Industrials-0.169-3.33%-2.19%
3CCLCarnival Corporation & plcConsumer Cyclical-0.151-3.33%23.71%
4VICIVICI Properties Inc.Real Estate-0.129-3.33%14.40%
5AALAmerican Airlines Group Inc.Industrials-0.126-3.33%5.27%
6BGBunge Global S.A.Consumer Defensive-0.123-3.33%-4.36%
7CCitigroup Inc.Financial Services-0.112-3.33%28.29%
8NCLHNorwegian Cruise Line Holdings Ltd.Consumer Cyclical-0.111-3.33%10.83%
9DALDelta Air Lines, Inc.Industrials-0.108-3.33%10.69%
10LVSLas Vegas Sands Corp.Consumer Cyclical-0.106-3.33%12.04%
11LWLamb Weston Holdings, Inc.Consumer Defensive-0.103-3.33%14.75%
12DGDollar General CorporationConsumer Defensive-0.098-3.33%30.80%
13BAThe Boeing CompanyIndustrials-0.095-3.33%29.29%
14JPMJPMorgan Chase & Co.Financial Services-0.093-3.33%18.71%
15AXONAxon Enterprise, Inc.Industrials-0.089-3.33%24.91%

Sector exposure en el rebalanceo seleccionado

2023-09-29
SectorLongShortNetn longn short
Industrials13.3%16.7%-3.33%45
Financial Services20.0%6.7%13.33%62
Consumer Cyclical0.0%13.3%-13.33%04
Consumer Defensive3.3%10.0%-6.67%13
Real Estate3.3%3.3%0.00%11
Technology6.7%0.0%6.67%20
Basic Materials3.3%0.0%3.33%10