Portfolio
ridgeRidge no sector· 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
6
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-2.24%
Short avg
7.23%
bajar = bueno para el short
Spread long − short
-9.47%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ENPH | Enphase Energy, Inc. | Energy | 0.208 | 3.33% | -12.19% |
| 2 | OTIS | Otis Worldwide Corporation | Industrials | 0.137 | 3.33% | -3.50% |
| 3 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.136 | 3.33% | -17.45% |
| 4 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.130 | 3.33% | 1.76% |
| 5 | MA | Mastercard Incorporated | Financial Services | 0.122 | 3.33% | 8.57% |
| 6 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.121 | 3.33% | -0.10% |
| 7 | TER | Teradyne, Inc. | Technology | 0.119 | 3.33% | -12.42% |
| 8 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.112 | 3.33% | 13.78% |
| 9 | MSCI | MSCI Inc. | Financial Services | 0.111 | 3.33% | 15.91% |
| 10 | IVZ | Invesco Ltd. | Financial Services | 0.107 | 3.33% | 6.64% |
| 11 | AAPL | Apple Inc. | Technology | 0.106 | 3.33% | 13.93% |
| 12 | MRNA | Moderna, Inc. | Healthcare | 0.103 | 3.33% | -70.64% |
| 13 | TROW | T. Rowe Price Group, Inc. | Financial Services | 0.102 | 3.33% | -10.11% |
| 14 | MKTX | MarketAxess Holdings Inc. | Financial Services | 0.100 | 3.33% | 19.53% |
| 15 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.096 | 3.33% | 12.62% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.127 | -3.33% | 13.82% |
| 2 | C | Citigroup Inc. | Financial Services | -0.117 | -3.33% | 0.20% |
| 3 | GL | Globe Life Inc. | Financial Services | -0.106 | -3.33% | 24.60% |
| 4 | JPM | JPMorgan Chase & Co. | Financial Services | -0.103 | -3.33% | 9.32% |
| 5 | MOH | Molina Healthcare, Inc. | Healthcare | -0.103 | -3.33% | 13.72% |
| 6 | EMR | Emerson Electric Co. | Industrials | -0.100 | -3.33% | -6.13% |
| 7 | EG | Everest Re Group, Ltd. | Financial Services | -0.099 | -3.33% | 1.67% |
| 8 | HII | Huntington Ingalls Industries, Inc. | Industrials | -0.095 | -3.33% | 10.00% |
| 9 | LDOS | Leidos Holdings, Inc. | Technology | -0.093 | -3.33% | 7.09% |
| 10 | HUM | Humana Inc. | Healthcare | -0.088 | -3.33% | 0.06% |
| 11 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.088 | -3.33% | 5.59% |
| 12 | CVS | CVS Health Corporation | Healthcare | -0.087 | -3.33% | -3.69% |
| 13 | CNC | Centene Corporation | Healthcare | -0.083 | -3.33% | 12.04% |
| 14 | BKR | Baker Hughes Company | Energy | -0.082 | -3.33% | 6.18% |
| 15 | AIZ | Assurant, Inc. | Financial Services | -0.081 | -3.33% | 13.96% |
Sector exposure en el rebalanceo seleccionado
2024-05-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 20.0% | 20.0% | 0.00% | 6 | 6 |
| Healthcare | 6.7% | 13.3% | -6.67% | 2 | 4 |
| Industrials | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Technology | 10.0% | 3.3% | 6.67% | 3 | 1 |
| Consumer Cyclical | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Energy | 3.3% | 3.3% | 0.00% | 1 | 1 |