Portfolio
ridgeRidge no sector· 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
9
30 posiciones
Sortino del run
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
0.30%
Short avg
5.62%
bajar = bueno para el short
Spread long − short
-5.32%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | ENPH | Enphase Energy, Inc. | Energy | 0.132 | 3.33% | -28.51% |
| 2 | OTIS | Otis Worldwide Corporation | Industrials | 0.130 | 3.33% | 4.56% |
| 3 | MCK | McKesson Corporation | Healthcare | 0.125 | 3.33% | -22.97% |
| 4 | MSCI | MSCI Inc. | Financial Services | 0.110 | 3.33% | 4.08% |
| 5 | IVZ | Invesco Ltd. | Financial Services | 0.105 | 3.33% | 6.99% |
| 6 | MA | Mastercard Incorporated | Financial Services | 0.104 | 3.33% | 10.65% |
| 7 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.104 | 3.33% | -5.63% |
| 8 | BXP | BXP, Inc. | Real Estate | 0.097 | 3.33% | 17.55% |
| 9 | GNRC | Generac Holdings Inc. | Industrials | 0.097 | 3.33% | 12.67% |
| 10 | ETSY | Etsy, Inc. | Consumer Cyclical | 0.096 | 3.33% | -22.60% |
| 11 | HAS | Hasbro, Inc. | Consumer Cyclical | 0.092 | 3.33% | 3.56% |
| 12 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.090 | 3.33% | 15.99% |
| 13 | PYPL | PayPal Holdings, Inc. | Financial Services | 0.090 | 3.33% | 18.03% |
| 14 | AAPL | Apple Inc. | Technology | 0.089 | 3.33% | 5.35% |
| 15 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.086 | 3.33% | -15.16% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | C | Citigroup Inc. | Financial Services | -0.107 | -3.33% | 2.85% |
| 2 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.107 | -3.33% | 16.70% |
| 3 | HUM | Humana Inc. | Healthcare | -0.102 | -3.33% | -29.58% |
| 4 | EG | Everest Re Group, Ltd. | Financial Services | -0.102 | -3.33% | 3.64% |
| 5 | CVS | CVS Health Corporation | Healthcare | -0.096 | -3.33% | -5.13% |
| 6 | JPM | JPMorgan Chase & Co. | Financial Services | -0.089 | -3.33% | 8.23% |
| 7 | LW | Lamb Weston Holdings, Inc. | Consumer Defensive | -0.088 | -3.33% | 27.03% |
| 8 | DXCM | DexCom, Inc. | Healthcare | -0.086 | -3.33% | 2.08% |
| 9 | MOH | Molina Healthcare, Inc. | Healthcare | -0.085 | -3.33% | -6.57% |
| 10 | ACGL | Arch Capital Group Ltd. | Financial Services | -0.084 | -3.33% | 7.96% |
| 11 | T | AT&T Inc. | Communication Services | -0.083 | -3.33% | 13.53% |
| 12 | GL | Globe Life Inc. | Financial Services | -0.081 | -3.33% | 14.30% |
| 13 | PGR | The Progressive Corporation | Financial Services | -0.080 | -3.33% | 12.15% |
| 14 | LLY | Eli Lilly and Company | Healthcare | -0.080 | -3.33% | 1.85% |
| 15 | SW | Smurfit Westrock Plc | Consumer Cyclical | -0.077 | -3.33% | 15.22% |
Sector exposure en el rebalanceo seleccionado
2024-07-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 13.3% | 23.3% | -10.00% | 4 | 7 |
| Healthcare | 6.7% | 16.7% | -10.00% | 2 | 5 |
| Consumer Cyclical | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Industrials | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Technology | 6.7% | 0.0% | 6.67% | 2 | 0 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Defensive | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Energy | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Real Estate | 3.3% | 0.0% | 3.33% | 1 | 0 |