LGBM 126d fundamental flexible sector45
lightgbmlgbm_126d_fundamental_flexible_sector45· 2026-05-25
Net equity
Snapshot
Cum return
59.49%
Ann ret
8.59%
Sharpe
0.50
Sortino
0.79
Max DD
-25.08%
Turnover
0.09
Vs benchmark (SPY)
Beta
0.56
IR
-0.67
Alpha anual
-0.02%
Hit rate vs SPY
38.2%
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 | -1.2 | -5.6 | 7.8 | 6.5 | 1.9 | 4.2 | 4.1 | -2.2 | 0.3 | 7.3 | 2.7 | 0.8 | 29.1% |
| 2021 | 1.3 | -0.4 | 1.4 | -0.7 | 6.0 | 3.8 | 2.6 | -5.4 | 3.3 | 0.6 | 2.0 | -7.5 | 6.6% |
| 2022 | -4.4 | 2.3 | -7.8 | -3.8 | -2.8 | 6.5 | -5.3 | -4.8 | -0.1 | 3.3 | -3.1 | 5.7 | -14.3% |
| 2023 | -4.1 | 7.5 | 0.9 | 3.3 | 1.1 | 0.9 | -0.0 | -2.1 | 0.0 | 7.8 | 1.2 | 3.8 | 21.6% |
| 2024 | 1.6 | -1.9 | -3.9 | 1.5 | 2.6 | -0.5 | 2.3 | 1.1 | -0.4 | 1.5 | -0.8 | 2.3 | 5.3% |
| 2025 | -1.6 | -1.2 | 1.8 | 3.6 | 1.9 | -1.1 | 0.5 | 1.7 | — | — | — | — | 5.6% |
−8%+8%
Contribución long vs short
descomposición del net returnLong book
2025-08-29| # | Ticker | Sector | Score | Peso | Ret 63d |
|---|---|---|---|---|---|
| 1 | TDG | Industrials | 0.243 | 3.81% | -0.31% |
| 2 | OTIS | Industrials | 0.145 | 3.59% | 7.68% |
| 3 | MSCI | Financial Services | 0.161 | 3.54% | -0.24% |
| 4 | MA | Financial Services | 0.160 | 3.53% | -3.06% |
| 5 | COST | Consumer Defensive | 0.171 | 3.06% | -2.29% |
| 6 | MPWR | Technology | 0.245 | 2.57% | 11.39% |
| 7 | NOW | Technology | 0.191 | 2.49% | 0.12% |
| 8 | PANW | Technology | 0.162 | 2.43% | 8.55% |
| 9 | GRMN | Technology | 0.156 | 2.42% | 9.32% |
| 10 | INTU | Technology | 0.183 | 2.41% | 2.65% |
| 11 | SWKS | Technology | 0.229 | 2.41% | 4.48% |
| 12 | NTAP | Technology | 0.190 | 2.40% | 2.71% |
| 13 | CSCO | Technology | 0.140 | 2.28% | 1.39% |
| 14 | FFIV | Technology | 0.110 | 2.26% | 6.70% |
| 15 | AMD | Technology | 0.156 | 2.24% | 1.04% |
| 16 | INTC | Technology | 0.158 | 2.06% | 48.45% |
| 17 | ISRG | Healthcare | 0.111 | 2.06% | -6.62% |
| 18 | CRM | Technology | 0.111 | 2.03% | -6.63% |
| 19 | CFG | Financial Services | 0.073 | 2.01% | 2.22% |
| 20 | ADBE | Technology | 0.103 | 1.93% | -0.55% |
| 21 | MSFT | Technology | 0.119 | 1.67% | 2.89% |
| 22 | IDXX | Healthcare | 0.094 | 1.63% | -3.02% |
| 23 | FTNT | Technology | 0.038 | 1.38% | 10.72% |
| 24 | ANET | Technology | 0.134 | 1.35% | 9.86% |
| 25 | ACN | Technology | 0.045 | 0.96% | -4.87% |
| 26 | PYPL | Financial Services | 0.023 | 0.72% | -3.75% |
| 27 | MOS | Basic Materials | -0.109 | 0.50% | 2.43% |
| 28 | EW | Healthcare | -0.017 | 0.34% | -6.68% |
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 | DLR | Real Estate | -0.041 | -0.54% | 5.96% |
| 18 | DAY | Technology | — | -0.49% | -0.79% |
Resumen backtest
periodos68
start2020-01-31
end2025-08-29
vol anual12.42%
downside dev7.96%
hit rate61.8%
gross weight0.88
missing prices0
benchmarkSPY
bench sharpe0.72
tracking error10.55%
correlation0.84