LGBM 126d sector market cap 25 25
lightgbmlgbm_126d_sector_market_cap_25_25· 2026-05-25
Net equity
Snapshot
Cum return
4.07%
Ann ret
0.71%
Sharpe
-0.33
Sortino
-0.45
Max DD
-10.59%
Turnover
0.23
Vs benchmark (SPY)
Beta
0.04
IR
-0.81
Alpha anual
0.25%
Hit rate vs SPY
36.8%
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 | 0.2 | 1.4 | 0.4 | 1.4 | 0.7 | 0.1 | 3.4 | -0.5 | 0.1 | 1.1 | 1.2 | -2.5 | 7.1% |
| 2021 | -0.7 | -1.1 | -0.1 | -0.5 | 3.5 | 3.5 | 0.2 | -2.3 | 2.2 | 1.2 | -2.2 | -3.4 | 0.2% |
| 2022 | -0.5 | -0.9 | -1.9 | -2.2 | 0.9 | 2.4 | -1.4 | 0.3 | -1.5 | 0.8 | -0.2 | -0.5 | -4.7% |
| 2023 | -0.6 | 4.2 | -0.6 | 1.7 | -2.4 | 1.7 | -0.5 | -0.9 | 0.8 | 0.3 | -0.5 | 1.5 | 4.5% |
| 2024 | -0.0 | -0.3 | 0.0 | -1.3 | 1.5 | 1.6 | 0.3 | -0.7 | -2.5 | -1.2 | 2.3 | 0.5 | 0.2% |
| 2025 | -3.1 | 0.9 | 2.4 | 0.0 | -0.9 | -0.6 | 1.3 | -2.8 | — | — | — | — | -2.9% |
−4%+4%
Contribución long vs short
descomposición del net returnLong book
2025-08-29| # | Ticker | Sector | Score | Peso | Ret 63d |
|---|---|---|---|---|---|
| 1 | EA | Communication Services | 0.071 | 2.59% | 17.60% |
| 2 | LYV | Communication Services | 0.101 | 2.58% | -3.98% |
| 3 | AXON | Industrials | 0.167 | 2.35% | -4.34% |
| 4 | LEN | Consumer Cyclical | 0.168 | 2.26% | -3.36% |
| 5 | PHM | Consumer Cyclical | 0.176 | 2.26% | 1.94% |
| 6 | COST | Consumer Defensive | 0.171 | 1.94% | -2.29% |
| 7 | EG | Financial Services | 0.217 | 1.85% | 2.97% |
| 8 | ABBV | Healthcare | 0.128 | 1.64% | 15.32% |
| 9 | NOW | Technology | 0.191 | 1.59% | 0.12% |
| 10 | MPWR | Technology | 0.245 | 1.59% | 11.39% |
| 11 | CDNS | Technology | 0.136 | 1.59% | 2.67% |
| 12 | ANET | Technology | 0.134 | 1.58% | 9.86% |
| 13 | COIN | Financial Services | 0.102 | 1.58% | 14.04% |
| 14 | AVGO | Technology | 0.235 | 1.58% | 11.98% |
| 15 | SWKS | Technology | 0.229 | 1.58% | 4.48% |
| 16 | MCHP | Technology | 0.262 | 1.55% | 0.80% |
| 17 | HCA | Healthcare | 0.105 | 1.51% | 5.09% |
| 18 | WDAY | Technology | 0.238 | 1.49% | 1.45% |
| 19 | CRWD | Technology | 0.240 | 1.40% | 20.91% |
| 20 | OTIS | Industrials | 0.145 | 1.25% | 7.68% |
| 21 | GOOG | Communication Services | 0.002 | 1.14% | 15.93% |
| 22 | MA | Financial Services | 0.160 | 1.12% | -3.06% |
| 23 | PRU | Financial Services | 0.113 | 1.08% | -4.12% |
| 24 | CEG | Utilities | -0.014 | 0.95% | 14.23% |
| 25 | CAH | Healthcare | 0.196 | 0.92% | 5.95% |
| 26 | NFLX | Communication Services | 0.001 | 0.83% | -3.56% |
| 27 | APA | Energy | 0.154 | 0.76% | 5.08% |
| 28 | DLTR | Consumer Defensive | -0.068 | 0.67% | -18.89% |
| 29 | CBRE | Real Estate | 0.052 | 0.65% | -1.88% |
| 30 | PSX | Energy | 0.046 | 0.62% | 0.56% |
| 31 | DDOG | Technology | 0.226 | 0.52% | 13.37% |
| 32 | MET | Financial Services | 0.148 | 0.49% | 1.70% |
| 33 | TER | Technology | 0.119 | 0.48% | 17.12% |
| 34 | WTW | Financial Services | 0.144 | 0.37% | 6.01% |
| 35 | ULTA | Consumer Cyclical | 0.087 | 0.35% | 4.42% |
| 36 | LULU | Consumer Cyclical | 0.077 | 0.33% | -11.31% |
| 37 | BMY | Healthcare | 0.037 | 0.32% | 0.04% |
| 38 | MAA | Real Estate | 0.089 | 0.30% | -3.03% |
Short book
2025-08-29| # | Ticker | Sector | Score | Peso | Ret 63d |
|---|---|---|---|---|---|
| 1 | C | Financial Services | -0.025 | -2.88% | 4.15% |
| 2 | VZ | Communication Services | -0.135 | -2.84% | 0.07% |
| 3 | WBD | Communication Services | -0.218 | -2.59% | 66.52% |
| 4 | IP | Consumer Cyclical | -0.122 | -2.09% | -5.93% |
| 5 | TFC | Financial Services | 0.075 | -1.94% | -1.85% |
| 6 | BAX | Healthcare | -0.098 | -1.74% | -3.31% |
| 7 | BA | Industrials | -0.132 | -1.69% | -9.34% |
| 8 | MU | Technology | -0.133 | -1.56% | 53.74% |
| 9 | SMCI | Technology | 0.037 | -1.56% | 28.47% |
| 10 | MRNA | Healthcare | -0.147 | -1.54% | 14.10% |
| 11 | WDC | Technology | -0.042 | -1.52% | 59.61% |
| 12 | KO | Consumer Defensive | -0.163 | -1.51% | -2.56% |
| 13 | NCLH | Consumer Cyclical | -0.181 | -1.44% | -2.14% |
| 14 | APH | Technology | -0.090 | -1.43% | 14.26% |
| 15 | HPE | Technology | 0.018 | -1.42% | 10.50% |
| 16 | JBL | Technology | 0.058 | -1.36% | 6.32% |
| 17 | STX | Technology | -0.063 | -1.36% | 51.11% |
| 18 | TKO | Communication Services | -0.201 | -1.35% | 7.64% |
| 19 | CTSH | Technology | 0.003 | -1.27% | -7.31% |
| 20 | NVDA | Technology | -0.138 | -1.27% | 9.65% |
| 21 | BRK-B | Financial Services | -0.033 | -1.12% | -0.59% |
| 22 | DAY | Technology | — | -1.04% | -0.79% |
| 23 | DOV | Industrials | -0.012 | -0.99% | -5.33% |
| 24 | PODD | Healthcare | -0.091 | -0.98% | -11.29% |
| 25 | MKC | Consumer Defensive | -0.092 | -0.96% | -1.50% |
| 26 | FSLR | Energy | -0.030 | -0.93% | 14.83% |
| 27 | BALL | Consumer Cyclical | -0.024 | -0.82% | -1.16% |
| 28 | ESS | Real Estate | -0.087 | -0.74% | 3.29% |
| 29 | ATO | Utilities | -0.159 | -0.60% | 2.37% |
| 30 | CARR | Industrials | 0.051 | -0.58% | -6.36% |
| 31 | GEN | Technology | 0.024 | -0.52% | -4.68% |
| 32 | FANG | Energy | -0.200 | -0.46% | -4.21% |
| 33 | SCHW | Financial Services | 0.039 | -0.45% | -4.02% |
| 34 | PEP | Consumer Defensive | -0.017 | -0.38% | -3.82% |
| 35 | NWSA | Communication Services | -0.080 | -0.38% | 0.70% |
| 36 | AMCR | Consumer Cyclical | 0.027 | -0.37% | -1.24% |
| 37 | KEY | Financial Services | 0.092 | -0.36% | -2.37% |
| 38 | NI | Utilities | -0.192 | -0.35% | 2.28% |
| 39 | AVY | Consumer Cyclical | 0.020 | -0.32% | -3.49% |
Resumen backtest
periodos68
start2020-01-31
end2025-08-29
vol anual5.70%
downside dev4.22%
hit rate51.5%
gross weight0.93
missing prices0
benchmarkSPY
bench sharpe0.72
tracking error18.70%
correlation0.12