Portfolio
ridgeRidge· rebalanceo 2023-10-31
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
17.14%
Short avg
16.60%
bajar = bueno para el short
Spread long − short
0.55%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.167 | 3.33% | -8.69% |
| 2 | ADSK | Autodesk, Inc. | Technology | 0.157 | 3.33% | 25.40% |
| 3 | MMM | 3M Company | Industrials | 0.149 | 3.33% | 6.23% |
| 4 | AAPL | Apple Inc. | Technology | 0.143 | 3.33% | 6.74% |
| 5 | MSCI | MSCI Inc. | Financial Services | 0.131 | 3.33% | 23.14% |
| 6 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.131 | 3.33% | 12.90% |
| 7 | ZBRA | Zebra Technologies Corporation | Technology | 0.127 | 3.33% | 21.91% |
| 8 | FIS | Fidelity National Information Services, Inc. | Technology | 0.127 | 3.33% | 24.30% |
| 9 | MA | Mastercard Incorporated | Financial Services | 0.122 | 3.33% | 19.96% |
| 10 | QCOM | QUALCOMM Incorporated | Technology | 0.122 | 3.33% | 25.14% |
| 11 | RHI | Robert Half International Inc. | Industrials | 0.120 | 3.33% | 9.49% |
| 12 | POOL | Pool Corporation | Industrials | 0.119 | 3.33% | 16.11% |
| 13 | OTIS | Otis Worldwide Corporation | Industrials | 0.118 | 3.33% | 17.32% |
| 14 | BX | Blackstone Inc. | Financial Services | 0.116 | 3.33% | 27.94% |
| 15 | EPAM | EPAM Systems, Inc. | Technology | 0.112 | 3.33% | 29.27% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.170 | -3.33% | 36.99% |
| 2 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.152 | -3.33% | 8.13% |
| 3 | BKNG | Booking Holdings Inc. | Consumer Cyclical | -0.140 | -3.33% | 25.26% |
| 4 | VICI | VICI Properties Inc. | Real Estate | -0.127 | -3.33% | 10.52% |
| 5 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.120 | -3.33% | 16.06% |
| 6 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.118 | -3.33% | 37.46% |
| 7 | CMCSA | Comcast Corporation | Communication Services | -0.114 | -3.33% | 8.15% |
| 8 | BG | Bunge Global S.A. | Consumer Defensive | -0.108 | -3.33% | -15.28% |
| 9 | C | Citigroup Inc. | Financial Services | -0.107 | -3.33% | 36.07% |
| 10 | PHM | PulteGroup, Inc. | Consumer Cyclical | -0.107 | -3.33% | 31.83% |
| 11 | MDLZ | Mondelez International, Inc. | Consumer Defensive | -0.100 | -3.33% | 14.60% |
| 12 | KDP | Keurig Dr Pepper Inc. | Consumer Defensive | -0.099 | -3.33% | 4.49% |
| 13 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | -0.098 | -3.33% | 22.16% |
| 14 | NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Cyclical | -0.098 | -3.33% | 30.32% |
| 15 | BKR | Baker Hughes Company | Energy | -0.096 | -3.33% | -17.82% |
Sector exposure en el rebalanceo seleccionado
2023-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Consumer Cyclical | 0.0% | 20.0% | -20.00% | 0 | 6 |
| Industrials | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Technology | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Consumer Defensive | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Financial Services | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |