LGBM 126d fundamental flexible 50 uncapped
lightgbmlgbm_126d_fundamental_flexible_50_uncapped· 2026-05-25
Net equity
Snapshot
Cum return
133.71%
Ann ret
16.16%
Sharpe
0.73
Sortino
1.20
Max DD
-32.37%
Turnover
0.12
Vs benchmark (SPY)
Beta
0.92
IR
0.09
Alpha anual
2.12%
Hit rate vs SPY
47.1%
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 | -1.8 | -9.5 | 11.2 | 10.2 | 1.9 | 6.2 | 5.7 | -3.3 | 0.4 | 11.1 | 5.2 | 1.1 | 42.9% |
| 2021 | 4.7 | 0.6 | 2.8 | -0.4 | 7.8 | 5.7 | 4.5 | -7.2 | 5.7 | -1.8 | 6.0 | -10.2 | 17.9% |
| 2022 | -5.3 | 3.7 | -11.4 | -4.2 | -5.2 | 11.0 | -7.8 | -6.8 | 1.4 | 5.6 | -5.3 | 9.9 | -16.1% |
| 2023 | -5.2 | 10.9 | -0.2 | 4.0 | 2.7 | 1.8 | -1.6 | -4.5 | -0.5 | 12.3 | 3.9 | 5.1 | 30.8% |
| 2024 | 4.4 | -1.8 | -8.0 | 2.0 | 5.6 | -1.2 | 2.9 | 2.4 | 0.3 | 3.3 | -3.2 | 4.1 | 10.5% |
| 2025 | -4.0 | -1.6 | 2.4 | 6.6 | 5.5 | -0.6 | 1.2 | 4.6 | — | — | — | — | 14.4% |
−12%+12%
Contribución long vs short
descomposición del net returnLong 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 anual19.33%
downside dev11.84%
hit rate61.8%
gross weight1.29
missing prices0
benchmarkSPY
bench sharpe0.72
tracking error9.25%
correlation0.88