LGBM beta neutral buffer
lightgbmlgbm_beta_neutral_buffer· 2026-05-25
Net equity
Snapshot
Cum return
-14.62%
Ann ret
-2.64%
Sharpe
-0.40
Sortino
-0.50
Max DD
-29.92%
Turnover
0.56
Vs benchmark (SPY)
Beta
-0.03
IR
-0.80
Alpha anual
-1.44%
Hit rate vs SPY
33.8%
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 | 1.0 | 5.7 | 3.9 | -2.0 | 1.6 | 0.6 | 0.1 | 0.2 | 1.6 | 0.8 | 0.2 | -0.5 | 13.8% |
| 2021 | -2.7 | -2.0 | -3.5 | -0.9 | 4.7 | 6.4 | 1.5 | -2.5 | 2.2 | 4.3 | -4.0 | -5.3 | -2.7% |
| 2022 | -1.1 | 1.8 | -2.9 | -11.6 | 8.4 | 3.0 | -6.7 | -1.1 | -10.1 | 4.6 | 4.4 | 3.7 | -9.4% |
| 2023 | 0.5 | -0.4 | 2.4 | 4.2 | -3.1 | -4.1 | -2.3 | 1.7 | 1.4 | -2.6 | -2.5 | 4.7 | -0.5% |
| 2024 | 1.7 | -1.3 | -2.8 | -1.0 | 1.7 | -3.6 | -0.2 | -0.2 | -2.9 | -1.7 | 1.7 | -2.6 | -10.8% |
| 2025 | -0.8 | 2.6 | 2.5 | 1.3 | 0.4 | -2.0 | -0.6 | -1.9 | -0.8 | -3.8 | -1.1 | — | -4.1% |
−12%+12%
Contribución long vs short
descomposición del net returnLong book
2025-11-28| # | Ticker | Sector | Score | Peso | Ret 63d |
|---|---|---|---|---|---|
| 1 | CDNS | Technology | 0.158 | 1.91% | 0.25% |
| 2 | DDOG | Technology | 0.133 | 1.91% | -15.28% |
| 3 | CRWD | Technology | 0.133 | 1.91% | -10.03% |
| 4 | SNPS | Technology | 0.124 | 1.91% | 9.61% |
| 5 | WDAY | Technology | 0.120 | 1.91% | -3.54% |
| 6 | AVGO | Technology | 0.103 | 1.91% | -9.79% |
| 7 | ANET | Technology | 0.095 | 1.91% | 4.29% |
| 8 | ADSK | Technology | 0.093 | 1.91% | -6.03% |
| 9 | TER | Technology | 0.092 | 1.91% | 15.54% |
| 10 | MCHP | Technology | 0.088 | 1.91% | 21.72% |
| 11 | FICO | Technology | 0.087 | 1.91% | -7.09% |
| 12 | EG | Financial Services | 0.083 | 1.91% | 7.17% |
| 13 | MPWR | Technology | 0.075 | 1.91% | 1.03% |
| 14 | SWKS | Technology | 0.061 | 1.91% | -2.18% |
| 15 | AMD | Technology | 0.059 | 1.91% | 1.69% |
Short book
2025-11-28| # | Ticker | Sector | Score | Peso | Ret 63d |
|---|---|---|---|---|---|
| 1 | EXE | Energy | -0.094 | -4.76% | -9.71% |
| 2 | MU | Technology | -0.093 | -4.76% | 31.22% |
| 3 | NEM | Basic Materials | -0.086 | -4.76% | 10.24% |
| 4 | DTE | Utilities | -0.080 | -4.76% | -1.30% |
| 5 | CHTR | Communication Services | -0.080 | -4.76% | 6.27% |
| 6 | VRTX | Healthcare | -0.078 | -4.76% | 6.23% |
| 7 | INCY | Healthcare | -0.074 | -4.76% | -0.61% |
| 8 | WMB | Energy | -0.074 | -4.76% | -0.13% |
| 9 | WEC | Utilities | -0.071 | -4.76% | -2.62% |
| 10 | TKO | Communication Services | -0.070 | -4.76% | 7.08% |
| 11 | EQT | Energy | -0.068 | -4.76% | -11.66% |
| 12 | KO | Consumer Defensive | -0.067 | -4.76% | -3.93% |
| 13 | ETR | Utilities | -0.059 | -4.76% | -0.77% |
| 14 | NI | Utilities | -0.057 | -4.76% | -1.96% |
| 15 | D | Utilities | -0.050 | -4.76% | -1.48% |
Resumen backtest
periodos71
start2020-01-31
end2025-11-28
vol anual11.96%
downside dev9.48%
hit rate47.9%
gross weight1.00
missing prices0
benchmarkSPY
bench sharpe0.72
tracking error22.22%
correlation-0.05