Nuestro Fondo en el Ibex VI

Buenas a tod@s !!!

Una semanita tranquila y eso que ha caído bastante el Ibex (-7%) frente al entorno del (-6%) de nuestro fondo virtual.

	Fondo	Ibex	Dif
Date
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
2020-06-14	-0.066647	-0.073661	0.007013

La evolución de las acciones esta semana es:

	2020-06-07	2020-06-14	_%_
SAB	0.360600	0.327000	-0.093178
TL5	3.656000	3.132000	-0.143326
VIS	58.950001	57.700001	-0.021204
CLNX	48.549999	48.750000	0.004119
MRL	8.865000	8.050000	-0.091935
IBE	10.030000	9.750000	-0.027916
REP	9.530000	8.688000	-0.088353
TEF	4.866000	4.542000	-0.066585
NTGY	17.395000	16.504999	-0.051164
MAP	1.875000	1.712000	-0.086933

y nuestra apuesta para la prxima es:

	2020-06-14
SAB	0.327000
TL5	3.132000
MRL	8.050000
VIS	57.700001
CLNX	48.750000
SAN	2.213000
TRE	14.600000
REP	8.688000
MAP	1.712000
IAG	3.070000

Los resultados acumulados son:

Performance Metrics

                           Strategy
-------------------------  ----------
Start Period               2000-07-09
End Period                 2020-06-14
Risk-Free Rate             0.0%
Time in Market             100.0%

Cumulative Return          1,532.13%
CAGR%                      15.03%
Sharpe                     1.57
Sortino                    2.26
Max Drawdown               -54.97%
Longest DD Days            2128
Volatility (ann.)          51.65%
Calmar                     0.27
Skew                       -0.61
Kurtosis                   7.82

Expected Daily %           0.27%
Expected Monthly %         1.17%
Expected Yearly %          14.22%
Kelly Criterion            14.66%
Risk of Ruin               0.0%
Daily Value-at-Risk        -5.03%
Expected Shortfall (cVaR)  -5.03%

Payoff Ratio               0.89
Profit Factor              1.33
Common Sense Ratio         1.36
CPC Index                  0.71
Tail Ratio                 1.02
Outlier Win Ratio          4.12
Outlier Loss Ratio         3.35

MTD                        10.45%
3M                         -0.04%
6M                         -11.02%
YTD                        -12.9%
1Y                         -2.52%
3Y (ann.)                  2.96%
5Y (ann.)                  8.54%
10Y (ann.)                 12.95%
All-time (ann.)            15.03%

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            27.87
Ulcer Index                1.01

Avg. Up Month              5.01%
Avg. Down Month            -5.05%
Win Days %                 59.71%
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	2020-06-14	105	-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

findfont: Font family ['Arial'] not found. Falling back to DejaVu Sans.