Nuestro seguimiento a nuestro Fondo

Buenas a tod@s !!

Seguimos con nuestro proyecto de fondo

	Fondo	Ibex	+ / - %
Date
2020-02-23	0.003778	-0.007091	0.010869
2020-03-01	-0.123559	-0.117639	-0.005920
2020-03-08	-0.038745	-0.039848	0.001103
2020-03-15	-0.221901	-0.208463	-0.013439
2020-03-22	-0.056545	-0.028101	-0.028444
2020-03-29	0.118415	0.051930	0.066485
2020-04-05	-0.006458	-0.028962	0.022504
2020-04-12	0.116459	0.074298	0.042161
2020-04-19	-0.040743	-0.027551	-0.013193
2020-04-26	-0.039438	-0.038090	-0.001348
2020-05-03	0.088262	0.046629	0.041633
2020-05-10	-0.032136	-0.020109	-0.012027
2020-05-17	-0.078737	-0.045436	-0.033301
2020-05-24	0.039208	0.034379	0.004829
2020-05-31	0.069478	0.059574	0.009903

La rentabilidad de esta semana es cercana al 7% mientras que el indice solo lo hizo en el 6, por lo tanto tenemos una rentabilidad adicional del 1%

Los valores para esta semana serían:

SAB      0.270600
TL5      3.198000
MRL      7.550000
IAG      2.540000
SAN      2.037500
MAP      1.583000
TEF      4.241000
TRE     14.000000
CLNX    50.919998
VIS     59.200001

Los resultados globales son:

Performance Metrics

                           Strategy
-------------------------  ----------
Start Period               2000-07-09
End Period                 2020-05-31
Risk-Free Rate             0.0%
Time in Market             100.0%

Cumulative Return          1,368.69%
CAGR%                      14.45%
Sharpe                     1.54
Sortino                    2.19
Max Drawdown               -54.97%
Longest DD Days            2128
Volatility (ann.)          50.83%
Calmar                     0.26
Skew                       -0.79
Kurtosis                   7.56

Expected Daily %           0.26%
Expected Monthly %         1.13%
Expected Yearly %          13.65%
Kelly Criterion            14.3%
Risk of Ruin               0.0%
Daily Value-at-Risk        -4.96%
Expected Shortfall (cVaR)  -4.96%

Payoff Ratio               0.89
Profit Factor              1.32
Common Sense Ratio         1.34
CPC Index                  0.7
Tail Ratio                 1.02
Outlier Win Ratio          3.91
Outlier Loss Ratio         3.37

MTD                        7.85%
3M                         -23.75%
6M                         -18.2%
YTD                        -21.14%
1Y                         -11.62%
3Y (ann.)                  -0.1%
5Y (ann.)                  5.15%
10Y (ann.)                 11.99%
All-time (ann.)            14.45%

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            24.9
Ulcer Index                1.01

Avg. Up Month              5.0%
Avg. Down Month            -5.0%
Win Days %                 59.63%
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	-54.965722	-47.464579
2	2020-03-01	2020-03-22	2020-05-31	91	-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