Portfolio
ridgeRidge macro· rebalanceo 2024-07-31
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
10
30 posiciones
Sortino del run
-0.33
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
3.23%
Short avg
11.02%
bajar = bueno para el short
Spread long − short
-7.79%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | OTIS | Otis Worldwide Corporation | Industrials | 0.172 | 3.33% | 4.56% |
| 2 | AAPL | Apple Inc. | Technology | 0.146 | 3.33% | 5.35% |
| 3 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.144 | 3.33% | 7.62% |
| 4 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.138 | 3.33% | -5.63% |
| 5 | MMM | 3M Company | Industrials | 0.137 | 3.33% | 1.40% |
| 6 | ZBRA | Zebra Technologies Corporation | Technology | 0.133 | 3.33% | 11.39% |
| 7 | MCK | McKesson Corporation | Healthcare | 0.132 | 3.33% | -22.97% |
| 8 | GNRC | Generac Holdings Inc. | Industrials | 0.131 | 3.33% | 12.67% |
| 9 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.130 | 3.33% | 15.99% |
| 10 | ON | ON Semiconductor Corporation | Technology | 0.126 | 3.33% | 2.38% |
| 11 | MSCI | MSCI Inc. | Financial Services | 0.122 | 3.33% | 4.08% |
| 12 | MCHP | Microchip Technology Incorporated | Technology | 0.121 | 3.33% | -10.45% |
| 13 | LRCX | Lam Research Corporation | Technology | 0.120 | 3.33% | -7.95% |
| 14 | FIS | Fidelity National Information Services, Inc. | Technology | 0.120 | 3.33% | 19.34% |
| 15 | MA | Mastercard Incorporated | Financial Services | 0.119 | 3.33% | 10.65% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CTRA | — | Unknown | -0.200 | -3.33% | -4.27% |
| 2 | T | AT&T Inc. | Communication Services | -0.128 | -3.33% | 13.53% |
| 3 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.118 | -3.33% | 34.38% |
| 4 | VZ | Verizon Communications Inc. | Communication Services | -0.110 | -3.33% | 2.60% |
| 5 | WMT | Walmart Inc. | Consumer Defensive | -0.105 | -3.33% | 15.67% |
| 6 | LLY | Eli Lilly and Company | Healthcare | -0.101 | -3.33% | 1.85% |
| 7 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.100 | -3.33% | 5.82% |
| 8 | FANG | Diamondback Energy, Inc. | Energy | -0.098 | -3.33% | -10.33% |
| 9 | DLR | Digital Realty Trust, Inc. | Real Estate | -0.098 | -3.33% | 18.68% |
| 10 | C | Citigroup Inc. | Financial Services | -0.097 | -3.33% | 2.85% |
| 11 | BKR | Baker Hughes Company | Energy | -0.097 | -3.33% | 0.17% |
| 12 | TMUS | T-Mobile US, Inc. | Communication Services | -0.095 | -3.33% | 17.79% |
| 13 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.095 | -3.33% | 27.03% |
| 14 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.093 | -3.33% | 16.70% |
| 15 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.092 | -3.33% | 22.75% |
Sector exposure en el rebalanceo seleccionado
2024-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 23.3% | 0.0% | 23.33% | 7 | 0 |
| Industrials | 16.7% | 0.0% | 16.67% | 5 | 0 |
| Financial Services | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Communication Services | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Defensive | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Consumer Cyclical | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Real Estate | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |