Mucho se habla del alfa. Por fin le traemos a nuestro blog.
Podemos decir que alfa es el diferencial de rentabilidad entre nuestro fondo y el ibex.
Aquí os pongo la entrevista que le he realizado.
Performance Metrics
Strategy ------------------------- ---------- Start Period 2000-01-09 End Period 2020-05-24 Risk-Free Rate 0.0% Time in Market 98.0% Cumulative Return 1,892.16% CAGR% 15.81% Sharpe 3.15 Sortino 5.39 Max Drawdown -15.84% Longest DD Days 322 Volatility (ann.) 23.37% Calmar 1.0 Skew 0.24 Kurtosis 1.72 Expected Daily % 0.28% Expected Monthly % 1.23% Expected Yearly % 15.31% Kelly Criterion 24.19% Risk of Ruin 0.0% Daily Value-at-Risk -2.13% Expected Shortfall (cVaR) -2.13% Payoff Ratio 1.22 Profit Factor 1.71 Common Sense Ratio 2.23 CPC Index 1.22 Tail Ratio 1.31 Outlier Win Ratio 3.48 Outlier Loss Ratio 3.2 MTD 1.01% 3M 9.08% 6M 8.34% YTD 9.54% 1Y 16.35% 3Y (ann.) 15.86% 5Y (ann.) 16.28% 10Y (ann.) 15.1% All-time (ann.) 15.81% Best Day 7.29% Worst Day -6.4% Best Month 9.62% Worst Month -7.22% Best Year 56.57% Worst Year 4.11% Avg. Drawdown -2.45% Avg. Drawdown Days 45 Recovery Factor 119.45 Ulcer Index inf Avg. Up Month 2.74% Avg. Down Month -1.68% Win Days % 58.29% Win Month % 67.36% Win Quarter % 78.75% Win Year % 100.0%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2008-09-07 | 2008-10-19 | 2009-02-15 | 161 | -15.840796 | -15.021703 |
| 2 | 2009-02-22 | 2009-03-22 | 2009-05-24 | 91 | -11.766747 | -10.798117 |
| 3 | 2011-08-07 | 2011-10-02 | 2012-04-01 | 238 | -10.951027 | -10.737124 |
| 4 | 2001-10-14 | 2001-11-18 | 2002-01-27 | 105 | -8.843760 | -7.324041 |
| 5 | 2007-07-22 | 2007-11-25 | 2008-06-08 | 322 | -8.811689 | -8.697526 |
Strategy Visualization
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