Portfolio
ridgeRidge macro· rebalanceo 2023-11-30
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
7.24%
Short avg
-1.28%
bajar = bueno para el short
Spread long − short
8.53%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.154 | 3.33% | -17.04% |
| 2 | MMM | 3M Company | Industrials | 0.151 | 3.33% | -5.77% |
| 3 | OTIS | Otis Worldwide Corporation | Industrials | 0.151 | 3.33% | 8.97% |
| 4 | ZBRA | Zebra Technologies Corporation | Technology | 0.141 | 3.33% | 16.52% |
| 5 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.136 | 3.33% | -0.80% |
| 6 | MSCI | MSCI Inc. | Financial Services | 0.134 | 3.33% | 4.48% |
| 7 | GNRC | Generac Holdings Inc. | Industrials | 0.133 | 3.33% | -10.52% |
| 8 | EPAM | EPAM Systems, Inc. | Technology | 0.125 | 3.33% | 16.88% |
| 9 | TER | Teradyne, Inc. | Technology | 0.121 | 3.33% | 10.15% |
| 10 | NTAP | NetApp, Inc. | Technology | 0.121 | 3.33% | 12.35% |
| 11 | POOL | Pool Corporation | Industrials | 0.120 | 3.33% | 13.42% |
| 12 | QCOM | QUALCOMM Incorporated | Technology | 0.120 | 3.33% | 22.43% |
| 13 | ADSK | Autodesk, Inc. | Technology | 0.120 | 3.33% | 9.48% |
| 14 | ENPH | Enphase Energy, Inc. | Energy | 0.115 | 3.33% | 16.07% |
| 15 | PRU | Prudential Financial, Inc. | Financial Services | 0.114 | 3.33% | 12.04% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.138 | -3.33% | 8.81% |
| 2 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.134 | -3.33% | 12.99% |
| 3 | VICI | VICI Properties Inc. | Real Estate | -0.123 | -3.33% | -3.97% |
| 4 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.118 | -3.33% | 2.54% |
| 5 | TTWO | Take-Two Interactive Software, Inc. | Communication Services | -0.117 | -3.33% | -9.22% |
| 6 | BKR | Baker Hughes Company | Energy | -0.117 | -3.33% | -10.60% |
| 7 | KDP | Keurig Dr Pepper Inc. | Consumer Defensive | -0.108 | -3.33% | -9.39% |
| 8 | WMT | Walmart Inc. | Consumer Defensive | -0.106 | -3.33% | 15.81% |
| 9 | BG | Bunge Global S.A. | Consumer Defensive | -0.106 | -3.33% | -17.02% |
| 10 | BKNG | Booking Holdings Inc. | Consumer Cyclical | -0.105 | -3.33% | 8.22% |
| 11 | HUM | Humana Inc. | Healthcare | -0.102 | -3.33% | -38.02% |
| 12 | SLB | SLB N.V. | Energy | -0.100 | -3.33% | -4.32% |
| 13 | C | Citigroup Inc. | Financial Services | -0.100 | -3.33% | 18.45% |
| 14 | CMCSA | Comcast Corporation | Communication Services | -0.099 | -3.33% | 0.28% |
| 15 | VZ | Verizon Communications Inc. | Communication Services | -0.098 | -3.33% | 6.15% |
Sector exposure en el rebalanceo seleccionado
2023-11-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| 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 |
| Communication Services | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Cyclical | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Energy | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Financial Services | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |