Nuestro Fondo en el Ibex

 

Buenas a tod@s !!!

bastante cachondeo y poco trabajo estos dias. Aparezco para un pequeño resumen de la semana.

Dos semanas excelentes en el fondo con una rentabilidad superior al 7% frente a solo del 4% en el indice. Esta semana hemos obtenido una rentabilidad del 3%.

	Fondo	Indice	__ % __
Date
2020-05-10	-0.0321	-0.0201	-0.0120
2020-05-17	-0.0787	-0.0454	-0.0333
2020-05-24	0.0392	0.0344	0.0048
2020-05-31	0.0695	0.0596	0.0099
2020-06-07	0.1834	0.1094	0.0740
2020-06-14	-0.0666	-0.0737	0.0071
2020-06-21	0.0134	0.0167	-0.0033
2020-06-28	-0.0453	-0.0318	-0.0135
2020-07-05	0.0346	0.0314	0.0032
2020-07-12	-0.0174	-0.0111	-0.0063
2020-07-19	0.0056	0.0163	-0.0107
2020-07-26	-0.0326	-0.0196	-0.0130
2020-08-02	-0.0934	-0.0572	-0.0362
2020-08-09	0.0413	0.0106	0.0307
2020-08-16	0.0376	0.0293	0.0083

el comportamiento individual de cada componente ha sido.

	2020-08-09	2020-08-16	_%_
SAB	0.3199	0.3488	0.0903
TRE	10.8300	11.2100	0.0351
SAN	1.8348	1.9272	0.0504
IAG	2.0530	2.1570	0.0507
TL5	2.8340	2.9760	0.0501
VIS	62.3500	63.3000	0.0152
BBVA	2.5250	2.5270	0.0008
TEF	3.4710	3.6310	0.0461
MRL	7.7200	7.6500	-0.0091
REP	6.6760	6.9880	0.0467

El fuerte repunte de casi todos los componentes nos beneficia frente a la caida de MRL, BBVA.

Los componentes de esta semana son:

	2020-08-16
TRE	11.2100
IAG	2.1570
SAN	1.9272
SAB	0.3488
SGRE	22.5400
MRL	7.6500
BBVA	2.5270
TL5	2.9760
VIS	63.3000
TEF	3.6310

Y los resultados acumulados :

                           Strategy
-------------------------  ----------
Start Period               2000-07-09
End Period                 2020-08-16
Risk-Free Rate             0.0%
Time in Market             100.0%

Cumulative Return          1,429.71%
CAGR%                      14.52%
Sharpe                     1.53
Sortino                    2.19
Max Drawdown               -54.97%
Longest DD Days            2128
Volatility (ann.)          51.83%
Calmar                     0.26
Skew                       -0.62
Kurtosis                   7.66

Expected Daily %           0.26%
Expected Monthly %         1.13%
Expected Yearly %          13.87%
Kelly Criterion            14.27%
Risk of Ruin               0.0%
Daily Value-at-Risk        -5.06%
Expected Shortfall (cVaR)  -5.06%

Payoff Ratio               0.89
Profit Factor              1.31
Common Sense Ratio         1.31
CPC Index                  0.7
Tail Ratio                 1.0
Outlier Win Ratio          4.1
Outlier Loss Ratio         3.53

MTD                        -2.04%
3M                         6.0%
6M                         -18.79%
YTD                        -18.37%
1Y                         -3.5%
3Y (ann.)                  2.72%
5Y (ann.)                  6.05%
10Y (ann.)                 11.84%
All-time (ann.)            14.52%

Best Day                   18.34%
Worst Day                  -24.58%
Best Month                 22.54%
Worst Month                -30.83%
Best Year                  64.74%
Worst Year                 -37.15%

Avg. Drawdown              -5.29%
Avg. Drawdown Days         77
Recovery Factor            26.01
Ulcer Index                1.01

Avg. Up Month              4.98%
Avg. Down Month            -4.97%
Win Days %                 59.68%
Win Month %                63.64%
Win Quarter %              70.37%
Win Year %                 71.43%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2007-07-22	2009-03-08	2013-05-19	2128	-54.965721	-47.464573
2	2020-03-01	2020-03-22	2020-08-16	168	-38.153219	-34.446465
3	2015-04-19	2016-02-14	2016-12-11	602	-32.965379	-31.619612
4	2001-05-27	2001-09-23	2002-02-17	266	-25.842239	-20.690808
5	2002-06-09	2002-09-29	2002-12-01	175	-20.741060	-20.331827

Strategy Visualization

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