Nuestro Fondo en el Ibex V

Buenas a tod@s !!!

Magnífica la semana y magníficos resultados de nuestro fondo simulado.

	Fondo	Ibex	Diff.
Date
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
2020-06-07	0.183383	0.109364	0.074019

La rentabilidad del fondo ha sido del 18% esta semana, frente al 10% del indice, con una diferencia positiva del 7%.

la variacion de cada una de nuestras acciones del fondo son:

tos

	2020-05-31	2020-06-07	_%_
SAB	0.270600	0.360600	0.332594
TL5	3.198000	3.656000	0.143214
MRL	7.550000	8.865000	0.174172
IAG	2.540000	3.675000	0.446850
SAN	2.037500	2.527000	0.240245
MAP	1.583000	1.875000	0.184460
TEF	4.241000	4.866000	0.147371
TRE	14.000000	16.790001	0.199286
CLNX	50.919998	48.549999	-0.046544
VIS	58.240810	58.950001	0.012177

los valores para esta semana son:

	2020-06-07
SAB	0.360600
TL5	3.656000
VIS	58.950001
CLNX	48.549999
MRL	8.865000
IBE	10.030000
REP	9.530000
TEF	4.866000
NTGY	17.395000
MAP	1.875000

Los resultados acumulados y la perfomance son:

Performance Metrics

                           Strategy
-------------------------  ----------
Start Period               2000-07-09
End Period                 2020-06-07
Risk-Free Rate             0.0%
Time in Market             100.0%

Cumulative Return          1,648.68%
CAGR%                      15.44%
Sharpe                     1.61
Sortino                    2.32
Max Drawdown               -54.97%
Longest DD Days            2128
Volatility (ann.)          51.57%
Calmar                     0.28
Skew                       -0.61
Kurtosis                   7.89

Expected Daily %           0.28%
Expected Monthly %         1.2%
Expected Yearly %          14.6%
Kelly Criterion            14.97%
Risk of Ruin               0.0%
Daily Value-at-Risk        -5.01%
Expected Shortfall (cVaR)  -5.01%

Payoff Ratio               0.9
Profit Factor              1.33
Common Sense Ratio         1.38
CPC Index                  0.72
Tail Ratio                 1.04
Outlier Win Ratio          4.12
Outlier Loss Ratio         3.37

MTD                        18.34%
3M                         2.95%
6M                         -4.53%
YTD                        -6.68%
1Y                         6.54%
3Y (ann.)                  5.34%
5Y (ann.)                  9.2%
10Y (ann.)                 14.49%
All-time (ann.)            15.44%

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         76
Recovery Factor            29.99
Ulcer Index                1.01

Avg. Up Month              5.06%
Avg. Down Month            -5.05%
Win Days %                 59.77%
Win Month %                64.17%
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	-47.464577
2	2020-03-01	2020-03-22	2020-06-07	98	-38.153218	-34.446464
3	2015-04-19	2016-02-14	2016-12-11	602	-32.965375	-31.619605
4	2001-05-27	2001-09-23	2002-02-17	266	-25.842234	-20.690803
5	2002-06-09	2002-09-29	2002-12-01	175	-20.741068	-20.331833

Strategy Visualization

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