Portfolio
ridgeRidge no sector· rebalanceo 2024-04-30
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
8
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
8.42%
Short avg
4.00%
bajar = bueno para el short
Spread long − short
4.42%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ENPH | Enphase Energy, Inc. | Energy | 0.169 | 3.33% | 4.21% |
| 2 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.148 | 3.33% | -14.78% |
| 3 | OTIS | Otis Worldwide Corporation | Industrials | 0.128 | 3.33% | 3.49% |
| 4 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.123 | 3.33% | 19.27% |
| 5 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.121 | 3.33% | -1.25% |
| 6 | MA | Mastercard Incorporated | Financial Services | 0.120 | 3.33% | 4.64% |
| 7 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.116 | 3.33% | 12.77% |
| 8 | MMM | 3M Company | Industrials | 0.114 | 3.33% | 25.75% |
| 9 | TER | Teradyne, Inc. | Technology | 0.099 | 3.33% | 6.88% |
| 10 | IVZ | Invesco Ltd. | Financial Services | 0.096 | 3.33% | 17.31% |
| 11 | AAPL | Apple Inc. | Technology | 0.093 | 3.33% | 25.59% |
| 12 | ABNB | Airbnb, Inc. | Consumer Cyclical | 0.093 | 3.33% | -14.49% |
| 13 | MSCI | MSCI Inc. | Financial Services | 0.092 | 3.33% | 15.66% |
| 14 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.091 | 3.33% | 18.62% |
| 15 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.091 | 3.33% | 2.63% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | GL | Globe Life Inc. | Financial Services | -0.132 | -3.33% | 15.95% |
| 2 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.123 | -3.33% | 7.40% |
| 3 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.103 | -3.33% | 14.27% |
| 4 | MOH | Molina Healthcare, Inc. | Healthcare | -0.102 | -3.33% | 2.14% |
| 5 | EMR | Emerson Electric Co. | Industrials | -0.101 | -3.33% | 6.51% |
| 6 | HUM | Humana Inc. | Healthcare | -0.101 | -3.33% | 13.56% |
| 7 | C | Citigroup Inc. | Financial Services | -0.094 | -3.33% | 3.97% |
| 8 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.092 | -3.33% | -6.99% |
| 9 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.087 | -3.33% | -32.23% |
| 10 | CVS | CVS Health Corporation | Healthcare | -0.086 | -3.33% | 7.53% |
| 11 | BKR | Baker Hughes Company | Energy | -0.083 | -3.33% | 17.27% |
| 12 | CEG | Constellation Energy Corporation | Utilities | -0.082 | -3.33% | -3.71% |
| 13 | UBER | Uber Technologies, Inc. | Technology | -0.081 | -3.33% | -10.52% |
| 14 | UNH | UnitedHealth Group Incorporated | Healthcare | -0.080 | -3.33% | 17.24% |
| 15 | CNC | Centene Corporation | Healthcare | -0.079 | -3.33% | 7.54% |
Sector exposure en el rebalanceo seleccionado
2024-04-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 16.7% | 10.0% | 6.67% | 5 | 3 |
| Healthcare | 3.3% | 16.7% | -13.33% | 1 | 5 |
| Industrials | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Technology | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Consumer Cyclical | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |