Ridge no sector
ridgeridge_no_sector· 2026-05-25
Net equity
Snapshot
Cum return
-2.16%
Ann ret
-0.37%
Sharpe
-0.28
Sortino
-0.38
Max DD
-29.34%
Turnover
0.66
Vs benchmark (SPY)
Beta
0.06
IR
-0.80
Alpha anual
-0.80%
Hit rate vs SPY
33.8%
Drawdown
Returns mensuales
net return por rebalanceoHeatmap mensual
net return · totales anuales compuestos| año | E | F | M | A | M | J | J | A | S | O | N | D | total |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | 0.3 | 6.0 | -0.2 | 2.7 | 0.1 | -0.1 | 4.4 | 0.8 | 2.1 | -4.0 | 0.6 | -3.0 | 9.7% |
| 2021 | -4.8 | -0.7 | 2.1 | -2.1 | 2.7 | 2.2 | 0.3 | -1.0 | 0.6 | 1.7 | -2.1 | -5.9 | -7.2% |
| 2022 | -1.6 | -0.7 | -3.2 | -7.8 | 0.9 | 4.7 | -5.4 | -2.4 | -4.5 | 5.8 | -0.1 | 8.7 | -6.7% |
| 2023 | -1.7 | 3.4 | -0.2 | -0.5 | -2.4 | 2.0 | -0.3 | 0.2 | -0.0 | -0.0 | 1.5 | -1.9 | -0.0% |
| 2024 | 0.9 | 0.0 | -0.3 | 2.0 | -1.8 | 1.1 | -2.7 | 1.2 | -2.7 | -2.4 | 0.7 | -1.8 | -5.8% |
| 2025 | 1.9 | -1.2 | 1.5 | 2.9 | 1.8 | 2.9 | -0.3 | -1.1 | 2.0 | -0.9 | -0.4 | — | 9.4% |
−9%+9%
Contribución long vs short
descomposición del net returnLong book
2025-11-28| # | Ticker | Sector | Score | Peso | Ret 63d |
|---|---|---|---|---|---|
| 1 | IBKR | Financial Services | 0.133 | 3.33% | 5.81% |
| 2 | MA | Financial Services | 0.117 | 3.33% | 3.52% |
| 3 | MGM | Consumer Cyclical | 0.115 | 3.33% | 2.96% |
| 4 | MSCI | Financial Services | 0.112 | 3.33% | 1.00% |
| 5 | COF | Financial Services | 0.101 | 3.33% | 12.50% |
| 6 | KKR | Financial Services | 0.100 | 3.33% | 5.50% |
| 7 | GEV | Utilities | 0.097 | 3.33% | 17.79% |
| 8 | MCK | Healthcare | 0.095 | 3.33% | -3.90% |
| 9 | AAPL | Technology | 0.090 | 3.33% | -4.27% |
| 10 | MCHP | Technology | 0.088 | 3.33% | 21.72% |
| 11 | TPL | Energy | 0.086 | 3.33% | 4.70% |
| 12 | NTAP | Technology | 0.085 | 3.33% | -4.70% |
| 13 | BX | Financial Services | 0.085 | 3.33% | 8.50% |
| 14 | EXPE | Consumer Cyclical | 0.082 | 3.33% | 9.27% |
| 15 | OTIS | Industrials | 0.080 | 3.33% | 0.22% |
Short book
2025-11-28| # | Ticker | Sector | Score | Peso | Ret 63d |
|---|---|---|---|---|---|
| 1 | NEM | Basic Materials | -0.117 | -3.33% | 10.24% |
| 2 | FISV | Technology | -0.117 | -3.33% | 4.63% |
| 3 | MOH | Healthcare | -0.095 | -3.33% | 23.08% |
| 4 | MOS | Basic Materials | -0.088 | -3.33% | 1.15% |
| 5 | WDC | Technology | -0.088 | -3.33% | 14.87% |
| 6 | DG | Consumer Defensive | -0.075 | -3.33% | 25.14% |
| 7 | ORCL | Technology | -0.073 | -3.33% | -2.60% |
| 8 | T | Communication Services | -0.071 | -3.33% | -4.76% |
| 9 | J | Industrials | -0.068 | -3.33% | 2.13% |
| 10 | EBAY | Consumer Cyclical | -0.066 | -3.33% | 5.24% |
| 11 | CI | Healthcare | -0.065 | -3.33% | 2.60% |
| 12 | MDLZ | Consumer Defensive | -0.065 | -3.33% | -3.99% |
| 13 | STX | Technology | -0.063 | -3.33% | 6.73% |
| 14 | HUM | Healthcare | -0.063 | -3.33% | 9.56% |
| 15 | AWK | Utilities | -0.062 | -3.33% | -0.52% |
Resumen backtest
periodos71
start2020-01-31
end2025-11-28
vol anual9.63%
downside dev7.06%
hit rate47.9%
gross weight1.00
missing prices0
benchmarkSPY
bench sharpe0.72
tracking error19.62%
correlation0.11