Portfolio
ridgeRidge no sector· 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
-0.38
Realizado en los 63 días posteriores
exposición media por posiciónLong avg
-7.58%
Short avg
-7.12%
bajar = bueno para el short
Spread long − short
-0.46%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | MCK | McKesson Corporation | Healthcare | 0.135 | 3.33% | 3.34% |
| 2 | OTIS | Otis Worldwide Corporation | Industrials | 0.112 | 3.33% | 1.16% |
| 3 | AAPL | Apple Inc. | Technology | 0.111 | 3.33% | -1.68% |
| 4 | MA | Mastercard Incorporated | Financial Services | 0.111 | 3.33% | 3.56% |
| 5 | MSCI | MSCI Inc. | Financial Services | 0.110 | 3.33% | -6.95% |
| 6 | EQT | EQT Corporation | Energy | 0.110 | 3.33% | 3.90% |
| 7 | MCHP | Microchip Technology Incorporated | Technology | 0.107 | 3.33% | -18.06% |
| 8 | COR | Cencora, Inc. | Healthcare | 0.102 | 3.33% | 1.77% |
| 9 | MTD | Mettler-Toledo International Inc. | Healthcare | 0.099 | 3.33% | 1.08% |
| 10 | LRCX | Lam Research Corporation | Technology | 0.095 | 3.33% | -2.03% |
| 11 | MRNA | Moderna, Inc. | Healthcare | 0.095 | 3.33% | -25.49% |
| 12 | FDS | FactSet Research Systems Inc. | Financial Services | 0.094 | 3.33% | -10.04% |
| 13 | INTC | Intel Corporation | Technology | 0.093 | 3.33% | -14.26% |
| 14 | ANET | Arista Networks, Inc. | Technology | 0.092 | 3.33% | -19.53% |
| 15 | TSLA | Tesla, Inc. | Consumer Cyclical | 0.086 | 3.33% | -30.41% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.099 | -3.33% | 4.87% |
| 2 | MOH | Molina Healthcare, Inc. | Healthcare | -0.098 | -3.33% | 7.02% |
| 3 | HII | Huntington Ingalls Industries, Inc. | Industrials | -0.097 | -3.33% | 0.31% |
| 4 | JPM | JPMorgan Chase & Co. | Financial Services | -0.097 | -3.33% | 0.63% |
| 5 | LDOS | Leidos Holdings, Inc. | Technology | -0.097 | -3.33% | -20.72% |
| 6 | ACGL | Arch Capital Group Ltd. | Financial Services | -0.096 | -3.33% | -8.31% |
| 7 | RCL | Royal Caribbean Cruises Ltd. | Consumer Cyclical | -0.094 | -3.33% | -13.15% |
| 8 | FSLR | First Solar, Inc. | Energy | -0.093 | -3.33% | -46.10% |
| 9 | AES | The AES Corporation | Utilities | -0.090 | -3.33% | -16.41% |
| 10 | WYNN | Wynn Resorts, Limited | Consumer Cyclical | -0.090 | -3.33% | -8.37% |
| 11 | TSN | Tyson Foods, Inc. | Consumer Defensive | -0.082 | -3.33% | -5.28% |
| 12 | GRMN | Garmin Ltd. | Technology | -0.082 | -3.33% | 4.23% |
| 13 | NEM | Newmont Corporation | Basic Materials | -0.081 | -3.33% | 7.69% |
| 14 | C | Citigroup Inc. | Financial Services | -0.080 | -3.33% | -0.45% |
| 15 | TGT | Target Corporation | Consumer Defensive | -0.080 | -3.33% | -12.79% |
Sector exposure en el rebalanceo seleccionado
2024-11-29| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 10.0% | 13.3% | -3.33% | 3 | 4 |
| Technology | 16.7% | 6.7% | 10.00% | 5 | 2 |
| Healthcare | 13.3% | 3.3% | 10.00% | 4 | 1 |
| Consumer Cyclical | 3.3% | 6.7% | -3.33% | 1 | 2 |
| Consumer Defensive | 0.0% | 6.7% | -6.67% | 0 | 2 |
| Energy | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Industrials | 3.3% | 3.3% | 0.00% | 1 | 1 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Utilities | 0.0% | 3.3% | -3.33% | 0 | 1 |