Nuestro Fondo e el Ibex IX

Buenas a tod@s !!

Buena semana la pasada en Ibex y en nuestro fondo con rendimientos superiores al 3% semanal.

	Fondo %	Ibex %	Diff. %
Date
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	-0.05	-0.0318	-0.0135
2020-07-05	0.03	0.0314	0.0032

El comportamiento de los valores ha sido muy parecido al indice, solo un componente ha sido negativo.

	2020-06-28	2020-07-05	_%_
SAB	0.3011	0.3169	0.0525
TL5	3.1520	3.3100	0.0501
IAG	2.2883	2.5240	0.1030
MRL	7.4700	7.5600	0.0120
CLNX	52.7800	55.1400	0.0447
VIS	58.5500	59.0000	0.0077
SAN	2.1215	2.2275	0.0500
REP	7.7700	7.8160	0.0059
TRE	13.7000	13.6500	-0.0036
MAP	1.5720	1.6090	0.0235

Los valores para la próxima semana son:

	2020-07-05
SAB	0.3169
TL5	3.3100
MRL	7.5600
TRE	13.6500
VIS	59.0000
CLNX	55.1400
IAG	2.5240
REP	7.8160
SAN	2.2275
TEF	4.1510

Entra TEF y sale MAP.

Los resultados acumulados son:

Performance Metrics

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

Cumulative Return          1,533.63%
CAGR%                      14.99%
Sharpe                     1.57
Sortino                    2.26
Max Drawdown               -54.97%
Longest DD Days            2128
Volatility (ann.)          51.66%
Calmar                     0.27
Skew                       -0.61
Kurtosis                   7.79

Expected Daily %           0.27%
Expected Monthly %         1.17%
Expected Yearly %          14.23%
Kelly Criterion            14.63%
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                  0.71
Tail Ratio                 1.02
Outlier Win Ratio          4.11
Outlier Loss Ratio         3.34

MTD                        3.46%
3M                         21.86%
6M                         -12.82%
YTD                        -12.82%
1Y                         -1.97%
3Y (ann.)                  4.21%
5Y (ann.)                  7.65%
10Y (ann.)                 13.41%
All-time (ann.)            14.99%

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            27.9
Ulcer Index                1.01

Avg. Up Month              4.97%
Avg. Down Month            -5.05%
Win Days %                 59.73%
Win Month %                64.32%
Win Quarter %              71.6%
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	-54.965725	-47.464578
2	2020-03-01	2020-03-22	2020-07-05	126	-38.153218	-34.446464
3	2015-04-19	2016-02-14	2016-12-11	602	-32.965378	-31.619609
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	-20.741062	-20.331829

Strategy Visualization

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