Portfolio
ridgeRidge macro· rebalanceo 2024-05-31
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
-0.33
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
1.97%
Short avg
4.40%
bajar = bueno para el short
Spread long − short
-2.43%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ENPH | Enphase Energy, Inc. | Energy | 0.176 | 3.33% | -12.19% |
| 2 | OTIS | Otis Worldwide Corporation | Industrials | 0.170 | 3.33% | -3.50% |
| 3 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.162 | 3.33% | 1.76% |
| 4 | AAPL | Apple Inc. | Technology | 0.160 | 3.33% | 13.93% |
| 5 | TER | Teradyne, Inc. | Technology | 0.156 | 3.33% | -12.42% |
| 6 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.150 | 3.33% | 13.78% |
| 7 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.147 | 3.33% | 18.04% |
| 8 | ADSK | Autodesk, Inc. | Technology | 0.131 | 3.33% | 20.13% |
| 9 | LRCX | Lam Research Corporation | Technology | 0.126 | 3.33% | -19.85% |
| 10 | MSCI | MSCI Inc. | Financial Services | 0.126 | 3.33% | 15.91% |
| 11 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.125 | 3.33% | -0.10% |
| 12 | TXN | Texas Instruments Incorporated | Technology | 0.124 | 3.33% | 4.75% |
| 13 | MA | Mastercard Incorporated | Financial Services | 0.122 | 3.33% | 8.57% |
| 14 | AMD | Advanced Micro Devices, Inc. | Technology | 0.120 | 3.33% | -17.76% |
| 15 | KLAC | KLA Corporation | Technology | 0.119 | 3.33% | -1.52% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.131 | -3.33% | 5.59% |
| 2 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.129 | -3.33% | 13.82% |
| 3 | C | Citigroup Inc. | Financial Services | -0.122 | -3.33% | 0.20% |
| 4 | BKR | Baker Hughes Company | Energy | -0.116 | -3.33% | 6.18% |
| 5 | FANG | Diamondback Energy, Inc. | Energy | -0.114 | -3.33% | -0.51% |
| 6 | MPC | Marathon Petroleum Corporation | Energy | -0.112 | -3.33% | -0.05% |
| 7 | HAL | Halliburton Company | Energy | -0.106 | -3.33% | -14.68% |
| 8 | T | AT&T Inc. | Communication Services | -0.104 | -3.33% | 14.07% |
| 9 | PSX | Phillips 66 | Energy | -0.101 | -3.33% | -2.04% |
| 10 | JPM | JPMorgan Chase & Co. | Financial Services | -0.100 | -3.33% | 9.32% |
| 11 | MOH | Molina Healthcare, Inc. | Healthcare | -0.093 | -3.33% | 13.72% |
| 12 | SLB | SLB N.V. | Energy | -0.087 | -3.33% | -3.47% |
| 13 | LLY | Eli Lilly and Company | Healthcare | -0.085 | -3.33% | 14.18% |
| 14 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.084 | -3.33% | 7.93% |
| 15 | EG | Everest Re Group, Ltd. | Financial Services | -0.084 | -3.33% | 1.67% |
Sector exposure en el rebalanceo seleccionado
2024-05-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 26.7% | 0.0% | 26.67% | 8 | 0 |
| Energy | 3.3% | 20.0% | -16.67% | 1 | 6 |
| Financial Services | 6.7% | 13.3% | -6.67% | 2 | 4 |
| Healthcare | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Industrials | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Cyclical | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |