Portfolio
ridgeRidge macro· rebalanceo 2024-03-28
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
10
30 posiciones
Sortino del run
-0.33
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
3.28%
Short avg
-1.51%
bajar = bueno para el short
Spread long − short
4.79%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MMM | 3M Company | Industrials | 0.165 | 3.33% | 7.46% |
| 2 | OTIS | Otis Worldwide Corporation | Industrials | 0.156 | 3.33% | -3.34% |
| 3 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.153 | 3.33% | 2.10% |
| 4 | TER | Teradyne, Inc. | Technology | 0.146 | 3.33% | 26.96% |
| 5 | ENPH | Enphase Energy, Inc. | Energy | 0.145 | 3.33% | -19.58% |
| 6 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.141 | 3.33% | 17.55% |
| 7 | MSCI | MSCI Inc. | Financial Services | 0.140 | 3.33% | -14.30% |
| 8 | AAPL | Apple Inc. | Technology | 0.132 | 3.33% | 24.42% |
| 9 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.127 | 3.33% | -14.49% |
| 10 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.126 | 3.33% | 20.51% |
| 11 | TXN | Texas Instruments Incorporated | Technology | 0.124 | 3.33% | 12.39% |
| 12 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.123 | 3.33% | 1.89% |
| 13 | ZBRA | Zebra Technologies Corporation | Technology | 0.122 | 3.33% | 1.72% |
| 14 | MA | Mastercard Incorporated | Financial Services | 0.120 | 3.33% | -8.77% |
| 15 | ADSK | Autodesk, Inc. | Technology | 0.120 | 3.33% | -5.39% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.164 | -3.33% | 10.72% |
| 2 | CCL | Carnival Corporation & plc | Consumer Cyclical | -0.121 | -3.33% | 8.51% |
| 3 | BKR | Baker Hughes Company | Energy | -0.116 | -3.33% | 5.04% |
| 4 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.112 | -3.33% | -27.72% |
| 5 | LLY | Eli Lilly and Company | Healthcare | -0.111 | -3.33% | 18.59% |
| 6 | META | Meta Platforms, Inc. | Communication Services | -0.106 | -3.33% | 2.77% |
| 7 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.102 | -3.33% | 7.77% |
| 8 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.102 | -3.33% | 6.11% |
| 9 | MDLZ | Mondelez International, Inc. | Consumer Defensive | -0.101 | -3.33% | -6.06% |
| 10 | HAL | Halliburton Company | Energy | -0.094 | -3.33% | -17.27% |
| 11 | CEG | Constellation Energy Corporation | Utilities | -0.090 | -3.33% | 9.92% |
| 12 | MOH | Molina Healthcare, Inc. | Healthcare | -0.088 | -3.33% | -32.46% |
| 13 | C | Citigroup Inc. | Financial Services | -0.088 | -3.33% | 0.82% |
| 14 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.087 | -3.33% | -19.25% |
| 15 | T | AT&T Inc. | Communication Services | -0.087 | -3.33% | 9.77% |
Sector exposure en el rebalanceo seleccionado
2024-03-28| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Consumer Cyclical | 3.3% | 10.0% | -6.67% | 1 | 3 |
| Financial Services | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Industrials | 13.3% | 0.0% | 13.33% | 4 | 0 |
| Energy | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Healthcare | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Communication Services | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |