Portfolio
ridgeRidge no sector· rebalanceo 2023-12-29
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
8
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
0.19%
Short avg
4.32%
bajar = bueno para el short
Spread long − short
-4.13%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MSCI | MSCI Inc. | Financial Services | 0.146 | 3.33% | -2.61% |
| 2 | ENPH | Enphase Energy, Inc. | Energy | 0.142 | 3.33% | -10.13% |
| 3 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.127 | 3.33% | -18.58% |
| 4 | MMM | 3M Company | Industrials | 0.119 | 3.33% | 2.96% |
| 5 | MA | Mastercard Incorporated | Financial Services | 0.117 | 3.33% | 12.52% |
| 6 | OTIS | Otis Worldwide Corporation | Industrials | 0.117 | 3.33% | 10.91% |
| 7 | PRU | Prudential Financial, Inc. | Financial Services | 0.110 | 3.33% | 12.32% |
| 8 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.109 | 3.33% | 10.41% |
| 9 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.098 | 3.33% | -7.66% |
| 10 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.093 | 3.33% | -21.87% |
| 11 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.092 | 3.33% | 6.12% |
| 12 | SBAC | SBA Communications Corporation | Real Estate | 0.092 | 3.33% | -16.78% |
| 13 | BX | Blackstone Inc. | Financial Services | 0.089 | 3.33% | -0.57% |
| 14 | ABNB | Airbnb, Inc. | Consumer Cyclical | 0.088 | 3.33% | 16.96% |
| 15 | ZBRA | Zebra Technologies Corporation | Technology | 0.088 | 3.33% | 8.84% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.125 | -3.33% | 14.21% |
| 2 | UAL | United Airlines Holdings, Inc. | Industrials | -0.112 | -3.33% | 9.15% |
| 3 | JBL | Jabil Inc. | Technology | -0.105 | -3.33% | 7.61% |
| 4 | EG | Everest Re Group, Ltd. | Financial Services | -0.105 | -3.33% | 7.38% |
| 5 | KDP | Keurig Dr Pepper Inc. | Consumer Defensive | -0.102 | -3.33% | -5.98% |
| 6 | C | Citigroup Inc. | Financial Services | -0.101 | -3.33% | 16.05% |
| 7 | HUM | Humana Inc. | Healthcare | -0.098 | -3.33% | -42.01% |
| 8 | VICI | VICI Properties Inc. | Real Estate | -0.098 | -3.33% | -9.23% |
| 9 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.096 | -3.33% | -4.88% |
| 10 | UBER | Uber Technologies, Inc. | Technology | -0.096 | -3.33% | 27.44% |
| 11 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.091 | -3.33% | 5.38% |
| 12 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.089 | -3.33% | -11.91% |
| 13 | BG | Bunge Global S.A. | Consumer Defensive | -0.084 | -3.33% | 2.93% |
| 14 | GE | GE Aerospace | Industrials | -0.081 | -3.33% | 37.13% |
| 15 | WMT | Walmart Inc. | Consumer Defensive | -0.080 | -3.33% | 11.59% |
Sector exposure en el rebalanceo seleccionado
2023-12-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 20.0% | 6.7% | 13.33% | 6 | 2 |
| Industrials | 13.3% | 6.7% | 6.67% | 4 | 2 |
| Consumer Cyclical | 6.7% | 10.0% | -3.33% | 2 | 3 |
| Consumer Defensive | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Technology | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Real Estate | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Healthcare | 0.0% | 3.3% | -3.33% | 0 | 1 |