Fondo Sobre el Ibex (II)

Buenas a tod@s !!

Buena semanita en el ibex y por tanto buena semana en nuestro fondo.

Los últimos resultados semanales son:

2020-04-05   -0.006458
2020-04-12    0.116459
2020-04-19   -0.040743
2020-04-26   -0.039438
2020-05-03    0.088262

Por tanto hemos recuperado un 9% esta última semana.

Los valores elegido esta semana son:

0	SAB
1	TL5
2	SAN
3	TEF
4	IAG
5	TRE
6	REP
7	MRL
8	NTGY
9	VIS

Y los valores de la última semana son:

['REP', 'ENG', 'CLNX', 'TL5', 'ACS', 'ANA', 'AENA', 'MAP', 'TEF', 'IBE']

['REP', 'TL5', 'ACS', 'CLNX', 'MAP', 'TRE', 'TEF', 'AENA', 'ANA', 'CIE']

['ACS', 'TL5', 'TRE', 'REP', 'MAP', 'TEF', 'CIE', 'AENA', 'NTGY', 'SAN']

['TL5', 'REP', 'TRE', 'MRL', 'ACS', 'CIE', 'MAP', 'SAB', 'SAN', 'AMS']

['MRL', 'TRE', 'TL5', 'REP', 'ACS', 'TEF', 'IAG', 'MAP', 'SAB', 'CIE']

['MRL', 'TRE', 'TL5', 'ACS', 'TEF', 'SAN', 'REP', 'SAB', 'IAG', 'BBVA']

['TL5', 'SAB', 'MRL', 'REP', 'SAN', 'TRE', 'TEF', 'CIE', 'NTGY', 'ACS']

['SAB', 'TRE', 'SAN', 'MRL', 'REP', 'TL5', 'TEF', 'BBVA', 'NTGY', 'IAG']

Los resultados acumulados del fondo son:

Performance Metrics

                           Strategy
-------------------------  ----------
Start Period               2000-07-09
End Period                 2020-05-03
Risk-Free Rate             0.0%
Time in Market             100.0%

Cumulative Return          1,382.03%
CAGR%                      14.56%
Sharpe                     1.56
Sortino                    2.21
Max Drawdown               -54.97%
Longest DD Days            2128
Volatility (ann.)          50.6%
Calmar                     0.26
Skew                       -0.8
Kurtosis                   7.73

Expected Daily %           0.26%
Expected Monthly %         1.13%
Expected Yearly %          13.7%
Kelly Criterion            14.43%
Risk of Ruin               0.0%
Daily Value-at-Risk        -4.93%
Expected Shortfall (cVaR)  -4.93%

Payoff Ratio               0.89
Profit Factor              1.32
Common Sense Ratio         1.35
CPC Index                  0.7
Tail Ratio                 1.02
Outlier Win Ratio          3.95
Outlier Loss Ratio         3.4

MTD                        8.83%
3M                         -21.33%
6M                         -15.52%
YTD                        -20.43%
1Y                         -13.85%
3Y (ann.)                  1.44%
5Y (ann.)                  5.18%
10Y (ann.)                 11.15%
All-time (ann.)            14.56%

Best Day                   15.28%
Worst Day                  -24.58%
Best Month                 22.54%
Worst Month                -30.83%
Best Year                  64.74%
Worst Year                 -37.15%

Avg. Drawdown              -5.3%
Avg. Drawdown Days         76
Recovery Factor            25.14
Ulcer Index                1.01

Avg. Up Month              5.01%
Avg. Down Month            -5.0%
Win Days %                 59.67%
Win Month %                63.6%
Win Quarter %              71.25%
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	-54.965724	-47.464582
2	2020-03-01	2020-03-22	2020-05-03	63	-38.153218	-34.446464
3	2015-04-19	2016-02-14	2016-12-11	602	-32.965378	-31.619608
4	2001-05-27	2001-09-23	2002-02-17	266	-25.842233	-20.690803
5	2002-06-09	2002-09-29	2002-12-01	175	-20.741070	-20.331832

Strategy Visualization

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