Strategies
Comparativa de reglas de cartera: retorno, riesgo, turnover y comportamiento frente a SPY.
Equity curves
21 estrategias · benchmarkMétricas
ordenado por Sortino| Portfolio run | Cum | Ann | Vol | Sharpe | Sortino | Max DD | Hit | Turnover | IR | Beta |
|---|---|---|---|---|---|---|---|---|---|---|
LGBM long onlylightgbmlong-only | 307.14% | 26.78% | 28.76% | 0.87 | 1.72 | -28.23% | 62.0% | 0.85 | 0.80 | 1.41 |
LGBM 126d fundamental flexible 50 long only uncappedlightgbmlong-only | 245.39% | 24.45% | 29.20% | 0.80 | 1.36 | -39.89% | 58.8% | 0.12 | 0.71 | 1.45 |
LGBM 126d fundamental flexible 50 uncappedlightgbmflexible | 133.71% | 16.16% | 19.33% | 0.73 | 1.20 | -32.37% | 61.8% | 0.12 | 0.09 | 0.92 |
LGBM 126d fundamental flexible uncappedlightgbmflexible | 79.94% | 10.92% | 14.37% | 0.60 | 0.96 | -28.07% | 64.7% | 0.09 | -0.46 | 0.65 |
LGBM 126d fundamental flexible 50 sector45lightgbmflexible | 78.66% | 10.78% | 14.46% | 0.59 | 0.96 | -24.55% | 63.2% | 0.11 | -0.53 | 0.69 |
LGBM short filterlightgbmshort filter | 59.00% | 8.15% | 12.83% | 0.45 | 0.81 | -15.43% | 54.9% | 0.82 | -0.37 | 0.18 |
LGBM 126d flexible 50 beta60lightgbmbeta hedge | 62.67% | 8.97% | 13.59% | 0.50 | 0.81 | -22.36% | 55.9% | 0.16 | -0.60 | 0.59 |
LGBM 126d fundamental flexible sector45lightgbmflexible | 59.49% | 8.59% | 12.42% | 0.50 | 0.79 | -25.08% | 61.8% | 0.09 | -0.67 | 0.56 |
LGBM 126d fundamental flexiblelightgbmflexible | 44.74% | 6.74% | 10.48% | 0.41 | 0.64 | -21.88% | 61.8% | 0.08 | -0.77 | 0.46 |
LGBM 126d flexible 50 beta40lightgbmbeta hedge | 37.92% | 5.84% | 10.87% | 0.32 | 0.51 | -20.76% | 51.5% | 0.15 | -0.72 | 0.40 |
LGBMlightgbmranking | 29.00% | 4.40% | 12.78% | 0.18 | 0.29 | -21.45% | 56.3% | 0.83 | -0.58 | 0.23 |
LGBM bufferlightgbmranking | 10.84% | 1.76% | 11.94% | -0.03 | -0.04 | -25.24% | 54.9% | 0.51 | -0.72 | 0.20 |
LGBM macrolightgbmranking | -10.53% | -1.86% | 16.85% | -0.19 | -0.26 | -41.16% | 49.3% | 0.87 | -0.86 | 0.39 |
Ridge macroridgeranking | -11.58% | -2.06% | 14.55% | -0.26 | -0.33 | -44.34% | 56.3% | 0.55 | -0.77 | 0.09 |
Ridgeridgeranking | -11.89% | -2.12% | 14.55% | -0.27 | -0.33 | -44.34% | 56.3% | 0.56 | -0.77 | 0.09 |
LGBM dual tail macrolightgbmranking | -0.61% | -0.10% | 8.74% | -0.29 | -0.37 | -18.41% | 53.5% | 0.72 | -0.89 | 0.15 |
Ridge no sectorridgeranking | -2.16% | -0.37% | 9.63% | -0.28 | -0.38 | -29.34% | 47.9% | 0.66 | -0.80 | 0.06 |
LGBM 126d sector market cap 25 25lightgbmintra-sector | 4.07% | 0.71% | 5.70% | -0.33 | -0.45 | -10.59% | 51.5% | 0.23 | -0.81 | 0.04 |
LGBM beta neutral bufferlightgbmbeta hedge | -14.62% | -2.64% | 11.96% | -0.40 | -0.50 | -29.92% | 47.9% | 0.56 | -0.80 | -0.03 |
LGBM dual taillightgbmranking | -18.46% | -3.39% | 10.99% | -0.52 | -0.62 | -32.70% | 50.7% | 0.74 | -0.95 | 0.09 |
LGBM no sectorlightgbmranking | -21.15% | -3.94% | 11.61% | -0.53 | -0.71 | -34.10% | 45.1% | 0.88 | -1.11 | 0.25 |
Returns mensuales
LGBM long onlyContribución long vs short
net return por rebalanceoHeatmap mensual
totales anuales compuestos| año | E | F | M | A | M | J | J | A | S | O | N | D | total |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | -5.2 | -21.3 | 36.5 | 5.7 | 4.2 | 13.7 | 7.9 | -3.1 | -2.1 | 13.7 | 2.4 | -0.3 | 51.3% |
| 2021 | 7.8 | 0.6 | 0.0 | -1.0 | 8.5 | 5.0 | 4.5 | -5.5 | 9.4 | 2.0 | 3.6 | -10.8 | 24.5% |
| 2022 | -5.8 | 8.4 | -7.1 | -5.5 | -10.2 | 20.4 | -4.1 | -7.0 | 0.7 | 9.1 | -9.2 | 22.4 | 5.6% |
| 2023 | -3.9 | 4.4 | 0.4 | 2.0 | 4.7 | 2.7 | -1.7 | -5.7 | -1.1 | 15.0 | 7.7 | 7.4 | 34.6% |
| 2024 | 4.3 | 6.7 | -7.0 | 1.2 | 5.9 | -0.4 | 4.9 | 2.3 | 0.0 | 9.0 | -2.6 | 3.2 | 30.1% |
| 2025 | -5.4 | -4.0 | 2.8 | 9.5 | 8.0 | -1.3 | 2.9 | 6.4 | 3.4 | -5.0 | -0.3 | — | 16.9% |
−36%+36%