Seguimiento de nuestro Fondo VIII

Buenas a tod@s !!

Semana de caídas en el indice y en el fondo. Más acusadas en el fondo debido a la accion de IAG.MC que ha caido entorno al 25%.

	Fondo	Indice	Diff
Date
2020-03-22	-0.06	-0.0281	-0.0284
2020-03-29	0.12	0.0519	0.0665
2020-04-05	-0.01	-0.0290	0.0225
2020-04-12	0.12	0.0743	0.0422
2020-04-19	-0.04	-0.0276	-0.0131
2020-04-26	-0.04	-0.0381	-0.0013
2020-05-03	0.09	0.0466	0.0417
2020-05-10	-0.03	-0.0201	-0.0120
2020-05-17	-0.08	-0.0454	-0.0333
2020-05-24	0.04	0.0344	0.0048
2020-05-31	0.07	0.0596	0.0099
2020-06-07	0.18	0.1094	0.0740
2020-06-14	-0.07	-0.0737	0.0071
2020-06-21	0.01	0.0167	-0.0033
2020-06-28	-0.04	-0.0295	-0.0141

el comportamiento individualizado de cada acción ha sido:

	2020-06-21	2020-06-28	_%_
SAB	0.3315	0.303	-0.0860
TL5	3.1900	3.140	-0.0157
CLNX	52.9093	53.240	0.0063
MRL	7.6429	7.445	-0.0259
SAN	2.1530	2.129	-0.0111
IAG	3.0030	2.452	-0.1835
VIS	58.2000	58.600	0.0069
REP	8.2980	7.742	-0.0670
BBVA	3.1060	3.017	-0.0287
CABK	1.9165	1.857	-0.0310

la caída de IAG del 18% arrastra el fondo. Tambien es significativa la evolucion de SAB.

Nuestra apuesta para esta semana sería:

	2020-06-28
SAB	0.303
TL5	3.140
IAG	2.452
MRL	7.445
CLNX	53.240
VIS	58.600
SAN	2.129
REP	7.742
TRE	13.700
TEF	4.209

Desaparece BBVA y CABK y aparecen TRE y TEF.

los resultados Globales son:

Performance Metrics

                           Strategy
-------------------------  ----------
Start Period               2000-07-09
End Period                 2020-06-28
Risk-Free Rate             0.0%
Time in Market             100.0%

Cumulative Return          1,481.92%
CAGR%                      14.82%
Sharpe                     1.56
Sortino                    2.24
Max Drawdown               -54.97%
Longest DD Days            2128
Volatility (ann.)          51.66%
Calmar                     0.27
Skew                       -0.61
Kurtosis                   7.8

Expected Daily %           0.27%
Expected Monthly %         1.16%
Expected Yearly %          14.05%
Kelly Criterion            14.51%
Risk of Ruin               0.0%
Daily Value-at-Risk        -5.03%
Expected Shortfall (cVaR)  -5.03%

Payoff Ratio               0.89
Profit Factor              1.32
Common Sense Ratio         1.35
CPC Index                  0.7
Tail Ratio                 1.02
Outlier Win Ratio          4.12
Outlier Loss Ratio         3.34

MTD                        7.05%
3M                         31.98%
6M                         -15.42%
YTD                        -15.58%
1Y                         -6.38%
3Y (ann.)                  2.04%
5Y (ann.)                  7.74%
10Y (ann.)                 12.59%
All-time (ann.)            14.82%

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         77
Recovery Factor            26.96
Ulcer Index                1.01

Avg. Up Month              4.98%
Avg. Down Month            -5.05%
Win Days %                 59.69%
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	-54.965727	-47.464581
2	2020-03-01	2020-03-22	2020-06-28	119	-38.153219	-34.446464
3	2015-04-19	2016-02-14	2016-12-11	602	-32.965375	-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	-20.741061	-20.331828

Strategy Visualization

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