LGBM 126d fundamental flexible 50 long only uncapped

lightgbmlgbm_126d_fundamental_flexible_50_long_only_uncapped· 2026-05-25

Net equity

Snapshot

Cum return

245.39%

Ann ret

24.45%

Sharpe

0.80

Sortino

1.36

Max DD

-39.89%

Turnover

0.12

Vs benchmark (SPY)

Beta

1.45

0.71

Alpha anual

2.97%

Hit rate vs SPY

60.3%

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	-2.2	-15.3	15.9	14.0	1.7	9.2	7.4	-4.9	-1.1	20.0	5.6	2.7	60.0%
2021	9.5	4.7	4.1	1.5	9.1	5.2	6.0	-7.0	8.1	-5.6	9.5	-13.1	33.0%
2022	-7.2	6.9	-16.0	-4.1	-10.2	17.5	-9.2	-9.6	8.0	11.8	-9.3	17.5	-11.0%
2023	-8.3	11.3	-2.7	6.4	6.1	4.9	-2.4	-8.7	-5.1	18.0	7.0	6.1	33.3%
2024	8.1	-0.4	-10.1	3.7	7.9	-0.9	3.1	4.2	-0.9	7.1	-6.6	4.9	19.9%
2025	-7.2	-4.3	-0.3	11.2	8.4	-3.5	3.9	6.5	—	—	—	—	14.1%

−20%+20%

Contribución long vs short

descomposición del net return

Long book

2025-08-29

#	Ticker	Sector	Score	Peso	Ret 63d
1	OTIS	Industrials	0.145	3.38%	7.68%
2	MPWR	Technology	0.245	3.37%	11.39%
3	MSCI	Financial Services	0.161	3.33%	-0.24%
4	MA	Financial Services	0.160	3.31%	-3.06%
5	SWKS	Technology	0.229	3.28%	4.48%
6	NOW	Technology	0.191	3.26%	0.12%
7	MCHP	Technology	0.262	3.25%	0.80%
8	QCOM	Technology	0.155	3.24%	5.46%
9	CDNS	Technology	0.136	3.20%	2.67%
10	TDG	Industrials	0.243	3.18%	-0.31%
11	PANW	Technology	0.162	3.17%	8.55%
12	GRMN	Technology	0.156	3.17%	9.32%
13	INTU	Technology	0.183	3.16%	2.65%
14	NTAP	Technology	0.190	3.14%	2.71%
15	KEYS	Technology	0.145	3.14%	5.68%
16	ORCL	Technology	0.154	3.03%	28.28%
17	CSCO	Technology	0.140	2.98%	1.39%
18	FFIV	Technology	0.110	2.96%	6.70%
19	SNPS	Technology	0.120	2.95%	-17.44%
20	AMD	Technology	0.156	2.93%	1.04%
21	TER	Technology	0.119	2.92%	17.12%
22	FICO	Technology	0.132	2.90%	0.52%
23	WDAY	Technology	0.238	2.88%	1.45%
24	ADSK	Technology	0.093	2.87%	-1.07%
25	ANET	Technology	0.134	2.87%	9.86%
26	AON	Financial Services	0.103	2.87%	-3.18%
27	COST	Consumer Defensive	0.171	2.85%	-2.29%
28	LRCX	Technology	0.112	2.83%	47.44%
29	INTC	Technology	0.158	2.69%	48.45%
30	CRM	Technology	0.111	2.65%	-6.63%
31	MTD	Healthcare	0.101	2.59%	1.08%
32	AMAT	Technology	0.111	2.57%	38.19%
33	EPAM	Technology	0.106	2.56%	-12.82%
34	VRSK	Technology	0.149	2.55%	-5.67%
35	PRU	Financial Services	0.113	2.54%	-4.12%
36	EG	Financial Services	0.217	2.52%	2.97%
37	ADBE	Technology	0.103	2.52%	-0.55%
38	AAPL	Technology	0.135	2.31%	11.20%
39	LULU	Consumer Cyclical	0.077	2.22%	-11.31%
40	MSFT	Technology	0.119	2.18%	2.89%
41	TXN	Technology	0.082	2.07%	-9.72%
42	ULTA	Consumer Cyclical	0.087	2.01%	4.42%
43	ISRG	Healthcare	0.111	1.93%	-6.62%
44	CFG	Financial Services	0.073	1.88%	2.22%
45	FTNT	Technology	0.038	1.80%	10.72%
46	DDOG	Technology	0.226	1.78%	13.37%
47	AVGO	Technology	0.235	1.77%	11.98%
48	PAYC	Technology	0.107	1.74%	-9.44%
49	IDXX	Healthcare	0.094	1.52%	-3.02%
50	ACN	Technology	0.045	1.25%	-4.87%
51	JKHY	Technology	0.073	0.82%	-8.68%
52	PYPL	Financial Services	0.023	0.70%	-3.75%
53	STX	Technology	-0.063	0.66%	51.11%
54	MOS	Basic Materials	-0.109	0.50%	2.43%
55	DLTR	Consumer Defensive	-0.068	0.43%	-18.89%
56	ENPH	Energy	-0.112	0.42%	0.08%
57	LIN	Basic Materials	0.030	0.33%	-1.23%
58	EW	Healthcare	-0.017	0.33%	-6.68%
59	MKTX	Financial Services	-0.012	0.31%	-5.20%

Short book

2025-08-29

#	Ticker	Sector	Score	Peso	Ret 63d
Sin posiciones short.

Resumen backtest

periodos68

start2020-01-31

end2025-08-29

vol anual29.20%

downside dev17.30%

hit rate58.8%

gross weight1.41

missing prices0

benchmarkSPY

bench sharpe0.72

tracking error14.23%

correlation0.92