Portfolio
ridgeRidge· rebalanceo 2024-08-30
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
-0.33
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
5.60%
Short avg
13.50%
bajar = bueno para el short
Spread long − short
-7.90%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AAPL | Apple Inc. | Technology | 0.183 | 3.33% | 7.39% |
| 2 | OTIS | Otis Worldwide Corporation | Industrials | 0.161 | 3.33% | 7.27% |
| 3 | CHRW | C.H. Robinson Worldwide, Inc. | Industrials | 0.139 | 3.33% | 3.06% |
| 4 | MA | Mastercard Incorporated | Financial Services | 0.138 | 3.33% | 9.86% |
| 5 | LRCX | Lam Research Corporation | Technology | 0.136 | 3.33% | 2.81% |
| 6 | MCHP | Microchip Technology Incorporated | Technology | 0.135 | 3.33% | -7.62% |
| 7 | MSCI | MSCI Inc. | Financial Services | 0.131 | 3.33% | 6.27% |
| 8 | TER | Teradyne, Inc. | Technology | 0.130 | 3.33% | -9.34% |
| 9 | EXPD | Expeditors International of Washington, Inc. | Industrials | 0.129 | 3.33% | -0.94% |
| 10 | ADI | Analog Devices, Inc. | Technology | 0.126 | 3.33% | 2.00% |
| 11 | INTC | Intel Corporation | Technology | 0.125 | 3.33% | 17.44% |
| 12 | ZBRA | Zebra Technologies Corporation | Technology | 0.121 | 3.33% | 21.58% |
| 13 | TXN | Texas Instruments Incorporated | Technology | 0.115 | 3.33% | 0.63% |
| 14 | CDNS | Cadence Design Systems, Inc. | Technology | 0.114 | 3.33% | 19.12% |
| 15 | ON | ON Semiconductor Corporation | Technology | 0.112 | 3.33% | 4.41% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CTRA | — | Unknown | -0.179 | -3.33% | 9.51% |
| 2 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.127 | -3.33% | 43.63% |
| 3 | T | AT&T Inc. | Communication Services | -0.115 | -3.33% | 11.82% |
| 4 | C | Citigroup Inc. | Financial Services | -0.112 | -3.33% | 15.86% |
| 5 | META | Meta Platforms, Inc. | Communication Services | -0.111 | -3.33% | 14.80% |
| 6 | TAP | Molson Coors Beverage Company | Consumer Defensive | -0.107 | -3.33% | 8.27% |
| 7 | KR | The Kroger Co. | Consumer Defensive | -0.105 | -3.33% | 11.89% |
| 8 | WMT | Walmart Inc. | Consumer Defensive | -0.103 | -3.33% | 18.27% |
| 9 | BKR | Baker Hughes Company | Energy | -0.102 | -3.33% | 25.65% |
| 10 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.101 | -3.33% | 0.05% |
| 11 | FANG | Diamondback Energy, Inc. | Energy | -0.099 | -3.33% | -5.92% |
| 12 | OMC | Omnicom Group Inc. | Communication Services | -0.094 | -3.33% | 6.25% |
| 13 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.092 | -3.33% | 18.41% |
| 14 | TMUS | T-Mobile US, Inc. | Communication Services | -0.092 | -3.33% | 20.32% |
| 15 | VZ | Verizon Communications Inc. | Communication Services | -0.088 | -3.33% | 3.67% |
Sector exposure en el rebalanceo seleccionado
2024-08-30| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 33.3% | 0.0% | 33.33% | 10 | 0 |
| Communication Services | 0.0% | 16.7% | -16.67% | 0 | 5 |
| Consumer Defensive | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Financial Services | 6.7% | 6.7% | 0.00% | 2 | 2 |
| Industrials | 10.0% | 0.0% | 10.00% | 3 | 0 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Consumer Cyclical | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |