LGBM 126d flexible 50 beta40

lightgbmlgbm_126d_flexible_50_beta40· 2026-05-25

Net equity

Snapshot

Cum return

37.92%

Ann ret

5.84%

Sharpe

0.32

Sortino

0.51

Max DD

-20.76%

Turnover

0.15

Vs benchmark (SPY)

Beta

0.40

IR

-0.72

Alpha anual

-0.19%

Hit rate vs SPY

33.8%

Drawdown

Returns mensuales

net return por rebalanceo

Heatmap mensual

net return · totales anuales compuestos

año	E	F	M	A	M	J	J	A	S	O	N	D	total
2020	-1.8	-5.2	6.6	6.9	0.9	3.0	1.5	-1.0	1.6	5.1	4.5	0.1	23.8%
2021	3.0	-0.8	0.6	-0.5	6.4	4.8	2.6	-5.1	2.3	-0.5	1.5	-6.3	7.4%
2022	-1.5	-0.6	-5.0	-3.4	-0.3	5.3	-5.2	-1.6	-2.0	1.6	-1.1	4.4	-9.4%
2023	-2.4	7.6	-1.0	2.9	-1.3	-0.2	-0.8	-1.2	0.3	5.9	1.7	2.7	14.6%
2024	1.0	-3.3	-4.9	-2.0	2.9	-0.8	1.6	0.1	-0.0	-0.7	-1.2	2.5	-5.0%
2025	-2.6	0.5	2.6	3.2	2.5	-1.1	-1.1	1.1	—	—	—	—	5.2%

−8%+8%

Contribución long vs short

descomposición del net return

Long book

2025-08-29

#	Ticker	Sector	Score	Peso	Ret 63d
1	MPWR	Technology	0.245	3.94%	11.39%
2	NOW	Technology	0.191	3.82%	0.12%
3	TDG	Industrials	0.243	3.81%	-0.31%
4	CDNS	Technology	0.136	3.75%	2.67%
5	PANW	Technology	0.162	3.72%	8.55%
6	SWKS	Technology	0.229	3.72%	4.48%
7	GRMN	Technology	0.156	3.71%	9.32%
8	INTU	Technology	0.183	3.70%	2.65%
9	NTAP	Technology	0.190	3.68%	2.71%
10	OTIS	Industrials	0.145	3.59%	7.68%
11	MSCI	Financial Services	0.161	3.54%	-0.24%
12	MA	Financial Services	0.160	3.53%	-3.06%
13	CSCO	Technology	0.140	3.48%	1.39%
14	FFIV	Technology	0.110	3.45%	6.70%
15	SNPS	Technology	0.120	3.45%	-17.44%
16	MCHP	Technology	0.262	3.45%	0.80%
17	AMD	Technology	0.156	3.44%	1.04%
18	ADSK	Technology	0.093	3.36%	-1.07%
19	LRCX	Technology	0.112	3.34%	47.44%
20	INTC	Technology	0.158	3.20%	48.45%
21	ANET	Technology	0.134	3.16%	9.86%
22	CRM	Technology	0.111	3.09%	-6.63%
23	COST	Consumer Defensive	0.171	3.06%	-2.29%
24	AON	Financial Services	0.103	3.05%	-3.18%
25	COIN	Financial Services	0.102	3.01%	14.04%
26	ADBE	Technology	0.103	2.93%	-0.55%
27	WDAY	Technology	0.238	2.78%	1.45%
28	MTD	Healthcare	0.101	2.76%	1.08%
29	MSFT	Technology	0.119	2.58%	2.89%
30	DDOG	Technology	0.226	2.17%	13.37%
31	FTNT	Technology	0.038	2.13%	10.72%
32	ISRG	Healthcare	0.111	2.06%	-6.62%
33	CFG	Financial Services	0.073	2.01%	2.22%
34	IDXX	Healthcare	0.094	1.63%	-3.02%
35	ACN	Technology	0.045	1.46%	-4.87%
36	JKHY	Technology	0.073	0.94%	-8.68%
37	PYPL	Financial Services	0.023	0.72%	-3.75%
38	MOS	Basic Materials	-0.109	0.50%	2.43%
39	DLTR	Consumer Defensive	-0.068	0.36%	-18.89%
40	LIN	Basic Materials	0.030	0.34%	-1.23%
41	EW	Healthcare	-0.017	0.34%	-6.68%
42	MKTX	Financial Services	-0.012	0.31%	-5.20%

Short book

2025-08-29

#	Ticker	Sector	Score	Peso	Ret 63d
1	VZ	Communication Services	-0.135	-1.63%	0.07%
2	MRNA	Healthcare	-0.147	-1.60%	14.10%
3	BAX	Healthcare	-0.098	-1.52%	-3.31%
4	KO	Consumer Defensive	-0.163	-1.41%	-2.56%
5	VRTX	Healthcare	0.042	-1.39%	0.80%
6	ES	Utilities	-0.099	-1.39%	13.69%
7	LKQ	Consumer Cyclical	-0.042	-1.32%	-2.62%
8	VTRS	Healthcare	-0.122	-1.31%	-4.47%
9	KIM	Real Estate	-0.035	-1.24%	-2.23%
10	PEG	Utilities	-0.120	-1.24%	1.70%
11	BALL	Consumer Cyclical	-0.024	-1.01%	-1.16%
12	SRE	Utilities	-0.019	-1.01%	8.47%
13	KHC	Consumer Defensive	0.093	-0.91%	0.99%
14	UNH	Healthcare	0.003	-0.90%	13.50%
15	FOX	Communication Services	-0.089	-0.84%	1.11%
16	C	Financial Services	-0.025	-0.81%	4.15%
17	DAY	Technology	—	-0.73%	-0.79%
18	DLR	Real Estate	-0.041	-0.54%	5.96%

Resumen backtest

periodos68

start2020-01-31

end2025-08-29

vol anual10.87%

downside dev6.83%

hit rate51.5%

gross weight1.92

missing prices0

benchmarkSPY

bench sharpe0.72

tracking error13.63%

correlation0.68