Portfolio
ridgeRidge no sector· rebalanceo 2025-03-31
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
12.26%
Short avg
4.45%
bajar = bueno para el short
Spread long − short
7.82%
Long book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | CAH | Cardinal Health, Inc. | Healthcare | 0.153 | 3.33% | 16.96% |
| 2 | MA | Mastercard Incorporated | Financial Services | 0.149 | 3.33% | 2.50% |
| 3 | OTIS | Otis Worldwide Corporation | Industrials | 0.124 | 3.33% | -3.74% |
| 4 | MSCI | MSCI Inc. | Financial Services | 0.119 | 3.33% | 3.02% |
| 5 | MCHP | Microchip Technology Incorporated | Technology | 0.115 | 3.33% | 41.87% |
| 6 | COR | Cencora, Inc. | Healthcare | 0.107 | 3.33% | 5.04% |
| 7 | MCK | McKesson Corporation | Healthcare | 0.102 | 3.33% | 4.71% |
| 8 | KLAC | KLA Corporation | Technology | 0.100 | 3.33% | 30.23% |
| 9 | FDS | FactSet Research Systems Inc. | Financial Services | 0.097 | 3.33% | -1.82% |
| 10 | LRCX | Lam Research Corporation | Technology | 0.095 | 3.33% | 30.78% |
| 11 | ABNB | Airbnb, Inc. | Consumer Cyclical | 0.095 | 3.33% | 11.09% |
| 12 | V | Visa Inc. | Financial Services | 0.089 | 3.33% | 2.41% |
| 13 | DAY | Dayforce Inc | Technology | 0.086 | 3.33% | -4.99% |
| 14 | CDNS | Cadence Design Systems, Inc. | Technology | 0.084 | 3.33% | 18.36% |
| 15 | MPWR | Monolithic Power Systems, Inc. | Technology | 0.083 | 3.33% | 27.56% |
Short book
15 posiciones| # | Ticker | Compañía | Sector | Score | Peso | Ret realizado 63d |
|---|---|---|---|---|---|---|
| 1 | NEM | Newmont Corporation | Basic Materials | -0.107 | -3.33% | 22.28% |
| 2 | K | Kellanova | Consumer Defensive | -0.102 | -3.33% | -2.38% |
| 3 | CINF | Cincinnati Financial Corporation | Financial Services | -0.087 | -3.33% | -0.31% |
| 4 | BK | The Bank of New York Mellon Corporation | Financial Services | -0.085 | -3.33% | 10.08% |
| 5 | D | Dominion Energy, Inc. | Utilities | -0.084 | -3.33% | 3.24% |
| 6 | NTRS | Northern Trust Corporation | Financial Services | -0.083 | -3.33% | 30.59% |
| 7 | AWK | American Water Works Company, Inc. | Utilities | -0.082 | -3.33% | -4.06% |
| 8 | T | AT&T Inc. | Communication Services | -0.082 | -3.33% | 0.44% |
| 9 | STT | State Street Corporation | Financial Services | -0.081 | -3.33% | 21.64% |
| 10 | STE | STERIS plc | Healthcare | -0.079 | -3.33% | 5.64% |
| 11 | WMT | Walmart Inc. | Consumer Defensive | -0.079 | -3.33% | 9.67% |
| 12 | MDT | Medtronic plc | Healthcare | -0.078 | -3.33% | 0.59% |
| 13 | CPB | Campbell Soup Company | Consumer Defensive | -0.072 | -3.33% | -21.27% |
| 14 | KO | The Coca-Cola Company | Consumer Defensive | -0.071 | -3.33% | -0.63% |
| 15 | AES | The AES Corporation | Utilities | -0.071 | -3.33% | -8.77% |
Sector exposure en el rebalanceo seleccionado
2025-03-31| Sector | Long | Short | Net | n long | n short |
|---|---|---|---|---|---|
| Financial Services | 13.3% | 13.3% | 0.00% | 4 | 4 |
| Technology | 20.0% | 0.0% | 20.00% | 6 | 0 |
| Healthcare | 10.0% | 6.7% | 3.33% | 3 | 2 |
| Consumer Defensive | 0.0% | 13.3% | -13.33% | 0 | 4 |
| Utilities | 0.0% | 10.0% | -10.00% | 0 | 3 |
| Basic Materials | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Communication Services | 0.0% | 3.3% | -3.33% | 0 | 1 |
| Consumer Cyclical | 3.3% | 0.0% | 3.33% | 1 | 0 |
| Industrials | 3.3% | 0.0% | 3.33% | 1 | 0 |