Nuestro fondo el el Ibex ( IV )

Buenas a tod@s !!!

Seguimos con nuestro fondo virtual en el ibex.

	Close	suma	alfa
Date
2020-01-12	-0.007567	0.003672	0.011239
2020-01-19	0.011250	0.013933	0.002683
2020-01-26	-0.012323	-0.006849	0.005474
2020-02-02	-0.020299	-0.046982	-0.026683
2020-02-09	0.047300	0.042773	-0.004527
2020-02-16	0.014861	0.025035	0.010174
2020-02-23	-0.007091	0.003778	0.010869
2020-03-01	-0.117639	-0.123559	-0.005920
2020-03-08	-0.039848	-0.038745	0.001103
2020-03-15	-0.208463	-0.221901	-0.013439
2020-03-22	-0.028101	-0.056545	-0.028444
2020-03-29	0.051930	0.118415	0.066485
2020-04-05	-0.028962	-0.006458	0.022504
2020-04-12	0.074298	0.116459	0.042161
2020-04-19	-0.027551	-0.040743	-0.013193
2020-04-26	-0.038090	-0.039438	-0.001348
2020-05-03	0.046629	0.088262	0.041633
2020-05-10	-0.020109	-0.032136	-0.012027
2020-05-17	-0.045436	-0.078737	-0.033301
2020-05-24	0.034379	0.039208	0.004829

Esta semana se ha comportado fenomenal con una subida del 4%, muy oarecida a la del propio indice.

Los valores para esta semana serían:

Comprar los siguientes valores

	0
0	SAB
1	TL5
2	MRL
3	IAG
4	TRE
5	SAN
6	CABK
7	VIS
8	MAP
9	BBVA

Los resultados acumulados y la estadística serian los siguientes:

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          1,871.54%
CAGR%                      15.75%
Sharpe                     3.14
Sortino                    5.37
Max Drawdown               -15.84%
Longest DD Days            322
Volatility (ann.)          23.36%
Calmar                     0.99
Skew                       0.24
Kurtosis                   1.73

Expected Daily %           0.28%
Expected Monthly %         1.22%
Expected Yearly %          15.25%
Kelly Criterion            24.15%
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          3.49
Outlier Loss Ratio         3.2

MTD                        -0.04%
3M                         7.95%
6M                         7.22%
YTD                        8.4%
1Y                         15.15%
3Y (ann.)                  15.45%
5Y (ann.)                  16.03%
10Y (ann.)                 14.98%
All-time (ann.)            15.75%

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            118.15
Ulcer Index                inf

Avg. Up Month              2.75%
Avg. Down Month            -1.66%
Win Days %                 58.29%
Win Month %                66.95%
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