Nuestro Fondo en el Ibex VII

Buenas a tod@s !!

Semana de poco movimiento, tal como ultimamente se comporta la bolsa, con un rendimiento posoitivo del 1,3%, frente a un rendimiento del ibex del 1,6%.

	Fondo	Ibex	Diff
Date
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
2020-06-21	0.013394	0.016660	-0.003267

La seleccion de la semana pasada se comportó tal como muestra la tabla.

	2020-06-14	2020-06-21	_%_
SAB	0.327000	0.331500	0.013761
TL5	3.132000	3.190000	0.018519
MRL	8.050000	7.795000	-0.031677
VIS	57.700001	58.200001	0.008666
CLNX	48.750000	52.939999	0.085949
SAN	2.213000	2.153000	-0.027112
TRE	14.600000	15.160000	0.038356
REP	8.195546	8.298000	0.012501
MAP	1.712000	1.775000	0.036799
IAG	3.070000	3.003000	-0.021824

Nuestra recomendación para esta es la siguiente:

	2020-06-21
SAB	0.331500
TL5	3.190000
CLNX	52.939999
MRL	7.795000
SAN	2.153000
IAG	3.003000
VIS	58.200001
REP	8.298000
BBVA	3.106000
CABK	1.916500

Los resultados acumulados son:

Performance Metrics

                           Strategy
-------------------------  ----------
Start Period               2000-07-09
End Period                 2020-06-21
Risk-Free Rate             0.0%
Time in Market             100.0%

Cumulative Return          1,553.99%
CAGR%                      15.09%
Sharpe                     1.58
Sortino                    2.27
Max Drawdown               -54.97%
Longest DD Days            2128
Volatility (ann.)          51.63%
Calmar                     0.27
Skew                       -0.61
Kurtosis                   7.83

Expected Daily %           0.27%
Expected Monthly %         1.18%
Expected Yearly %          14.29%
Kelly Criterion            14.72%
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                        11.93%
3M                         30.19%
6M                         -11.18%
YTD                        -11.74%
1Y                         -2.29%
3Y (ann.)                  3.19%
5Y (ann.)                  8.78%
10Y (ann.)                 12.83%
All-time (ann.)            15.09%

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            28.27
Ulcer Index                1.01

Avg. Up Month              5.01%
Avg. Down Month            -5.05%
Win Days %                 59.75%
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	-47.464576
2	2020-03-01	2020-03-22	2020-06-21	112	-38.153218	-34.446464
3	2015-04-19	2016-02-14	2016-12-11	602	-32.965376	-31.619606
4	2001-05-27	2001-09-23	2002-02-17	266	-25.842239	-20.690809
5	2002-06-09	2002-09-29	2002-12-01	175	-20.741065	-20.331831

Strategy Visualization

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