Portfolio
ridgeRidge no sector· 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
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
15.97%
Short avg
17.76%
bajar = bueno para el short
Spread long − short
-1.79%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MSCI | MSCI Inc. | Financial Services | 0.146 | 3.33% | 23.14% |
| 2 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.137 | 3.33% | -8.69% |
| 3 | BX | Blackstone Inc. | Financial Services | 0.132 | 3.33% | 27.94% |
| 4 | MA | Mastercard Incorporated | Financial Services | 0.128 | 3.33% | 19.96% |
| 5 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.124 | 3.33% | 22.15% |
| 6 | ADSK | Autodesk, Inc. | Technology | 0.119 | 3.33% | 25.40% |
| 7 | MMM | 3M Company | Industrials | 0.112 | 3.33% | 6.23% |
| 8 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.112 | 3.33% | 19.95% |
| 9 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.103 | 3.33% | 12.90% |
| 10 | ENPH | Enphase Energy, Inc. | Energy | 0.099 | 3.33% | 28.23% |
| 11 | RHI | Robert Half International Inc. | Industrials | 0.099 | 3.33% | 9.49% |
| 12 | POOL | Pool Corporation | Industrials | 0.097 | 3.33% | 16.11% |
| 13 | AAPL | Apple Inc. | Technology | 0.097 | 3.33% | 6.74% |
| 14 | FDS | FactSet Research Systems Inc. | Financial Services | 0.090 | 3.33% | 11.10% |
| 15 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.088 | 3.33% | 18.91% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.133 | -3.33% | 36.99% |
| 2 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.128 | -3.33% | 8.13% |
| 3 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.119 | -3.33% | 16.06% |
| 4 | UAL | United Airlines Holdings, Inc. | Industrials | -0.116 | -3.33% | 17.27% |
| 5 | BKNG | Booking Holdings Inc. | Consumer Cyclical | -0.109 | -3.33% | 25.26% |
| 6 | VICI | VICI Properties Inc. | Real Estate | -0.107 | -3.33% | 10.52% |
| 7 | C | Citigroup Inc. | Financial Services | -0.104 | -3.33% | 36.07% |
| 8 | GE | GE Aerospace | Industrials | -0.094 | -3.33% | 24.19% |
| 9 | DVA | DaVita Inc. | Healthcare | -0.091 | -3.33% | 36.19% |
| 10 | BA | The Boeing Company | Industrials | -0.091 | -3.33% | 10.04% |
| 11 | KDP | Keurig Dr Pepper Inc. | Consumer Defensive | -0.090 | -3.33% | 4.49% |
| 12 | JPM | JPMorgan Chase & Co. | Financial Services | -0.088 | -3.33% | 23.53% |
| 13 | DG | Dollar General Corporation | Consumer Defensive | -0.087 | -3.33% | 16.15% |
| 14 | BG | Bunge Global S.A. | Consumer Defensive | -0.085 | -3.33% | -15.28% |
| 15 | KHC | The Kraft Heinz Company | Consumer Defensive | -0.083 | -3.33% | 16.78% |
Sector exposure en el rebalanceo seleccionado
2023-10-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 20.0% | 6.7% | 13.33% | 6 | 2 |
| Industrials | 16.7% | 10.0% | 6.67% | 5 | 3 |
| Consumer Defensive | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Consumer Cyclical | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Technology | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Energy | 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 |