Portfolio
ridgeRidge macro· rebalanceo 2024-11-29
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
-0.33
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-10.48%
Short avg
-7.16%
bajar = bueno para el short
Spread long − short
-3.32%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | AAPL | Apple Inc. | Technology | 0.174 | 3.33% | -1.68% |
| 2 | MCK | McKesson Corporation | Healthcare | 0.161 | 3.33% | 3.34% |
| 3 | SMCI | Super Micro Computer, Inc. | Technology | 0.156 | 3.33% | -12.54% |
| 4 | MCHP | Microchip Technology Incorporated | Technology | 0.149 | 3.33% | -18.06% |
| 5 | OTIS | Otis Worldwide Corporation | Industrials | 0.149 | 3.33% | 1.16% |
| 6 | ADBE | Adobe Inc. | Technology | 0.139 | 3.33% | -14.89% |
| 7 | INTC | Intel Corporation | Technology | 0.139 | 3.33% | -14.26% |
| 8 | LRCX | Lam Research Corporation | Technology | 0.133 | 3.33% | -2.03% |
| 9 | MSCI | MSCI Inc. | Financial Services | 0.130 | 3.33% | -6.95% |
| 10 | SWKS | Skyworks Solutions, Inc. | Technology | 0.125 | 3.33% | -26.08% |
| 11 | CDNS | Cadence Design Systems, Inc. | Technology | 0.124 | 3.33% | -24.37% |
| 12 | KLAC | KLA Corporation | Technology | 0.124 | 3.33% | 4.07% |
| 13 | ANET | Arista Networks, Inc. | Technology | 0.123 | 3.33% | -19.53% |
| 14 | MA | Mastercard Incorporated | Financial Services | 0.121 | 3.33% | 3.56% |
| 15 | NTAP | NetApp, Inc. | Technology | 0.119 | 3.33% | -28.98% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CTRA | — | Unknown | -0.199 | -3.33% | -2.26% |
| 2 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.166 | -3.33% | -13.15% |
| 3 | FSLR | First Solar, Inc. | Energy | -0.122 | -3.33% | -46.10% |
| 4 | KR | The Kroger Co. | Consumer Defensive | -0.122 | -3.33% | 6.36% |
| 5 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.119 | -3.33% | -8.37% |
| 6 | WMT | Walmart Inc. | Consumer Defensive | -0.117 | -3.33% | 2.36% |
| 7 | FANG | Diamondback Energy, Inc. | Energy | -0.107 | -3.33% | -22.15% |
| 8 | TGT | Target Corporation | Consumer Defensive | -0.107 | -3.33% | -12.79% |
| 9 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.106 | -3.33% | -5.28% |
| 10 | OMC | Omnicom Group Inc. | Communication Services | -0.101 | -3.33% | -23.18% |
| 11 | META | Meta Platforms, Inc. | Communication Services | -0.100 | -3.33% | 5.83% |
| 12 | TMUS | T-Mobile US, Inc. | Communication Services | -0.099 | -3.33% | 7.47% |
| 13 | LVS | Las Vegas Sands Corp. | Consumer Cyclical | -0.099 | -3.33% | -18.60% |
| 14 | T | AT&T Inc. | Communication Services | -0.098 | -3.33% | 17.60% |
| 15 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.097 | -3.33% | 4.87% |
Sector exposure en el rebalanceo seleccionado
2024-11-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Technology | 36.7% | 0.0% | 36.67% | 11 | 0 |
| Communication Services | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Consumer Defensive | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Consumer Cyclical | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Financial Services | 6.7% | 3.3% | 3.33% | 2 | 1 |
| Energy | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Healthcare | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Unknown | 0.0% | 3.3% | -3.33% | 0 | 1 |