Nuestro Fondo en el Ibex IX

Buenas a tod@s !!!

Semana de poco movimiento con una caída del Ibex del 1,1%, frente a una caída de nuestro fondo del 1,7%

	Fondo	Indice	_ % _
Date
2020-04-05	-0.0065	-0.0290	0.0225
2020-04-12	0.1165	0.0743	0.0422
2020-04-19	-0.0407	-0.0276	-0.0131
2020-04-26	-0.0394	-0.0381	-0.0013
2020-05-03	0.0883	0.0466	0.0417
2020-05-10	-0.0321	-0.0201	-0.0120
2020-05-17	-0.0787	-0.0454	-0.0333
2020-05-24	0.0392	0.0344	0.0048
2020-05-31	0.0695	0.0596	0.0099
2020-06-07	0.1834	0.1094	0.0740
2020-06-14	-0.0666	-0.0737	0.0071
2020-06-21	0.0134	0.0167	-0.0033
2020-06-28	-0.0453	-0.0318	-0.0135
2020-07-05	0.0346	0.0314	0.0032
2020-07-12	-0.0174	-0.0111	-0.0063

El comportamiento de los valores ha sido:

	2020-07-05	2020-07-12	_%_
SAB	0.3169	0.3264	0.0300
TL5	3.3100	3.1760	-0.0405
MRL	7.5600	7.3100	-0.0331
TRE	13.6500	13.2200	-0.0315
VIS	59.0000	58.4000	-0.0102
CLNX	55.1400	57.0800	0.0352
IAG	2.5240	2.3750	-0.0590
REP	7.8160	7.6240	-0.0246
SAN	2.2275	2.2200	-0.0034
TEF	4.1510	3.9990	-0.0366

caidas abultadas de TL5, IAG y TEF, mientras que CLNX y SAB se han comportado magnificamente.

Nuestra apuesta para la siguiente semana es:

	2020-07-12
SAB	0.3264
IAG	2.3750
TL5	3.1760
TRE	13.2200
MRL	7.3100
CLNX	57.0800
VIS	58.4000
REP	7.6240
IBE	10.7300
SAN	2.2200

Desaparece TEF y entra IBE.

Los resultados globales son:

Performance Metrics

                           Strategy
-------------------------  ----------
Start Period               2000-07-09
End Period                 2020-07-12
Risk-Free Rate             0.0%
Time in Market             100.0%

Cumulative Return          1,505.26%
CAGR%                      14.87%
Sharpe                     1.56
Sortino                    2.24
Max Drawdown               -54.97%
Longest DD Days            2128
Volatility (ann.)          51.65%
Calmar                     0.27
Skew                       -0.61
Kurtosis                   7.79

Expected Daily %           0.27%
Expected Monthly %         1.16%
Expected Yearly %          14.13%
Kelly Criterion            14.54%
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          4.11
Outlier Loss Ratio         3.34

MTD                        1.66%
3M                         20.52%
6M                         -14.4%
YTD                        -14.34%
1Y                         -3.77%
3Y (ann.)                  3.58%
5Y (ann.)                  7.97%
10Y (ann.)                 12.46%
All-time (ann.)            14.87%

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            27.39
Ulcer Index                1.01

Avg. Up Month              4.96%
Avg. Down Month            -5.05%
Win Days %                 59.67%
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	-54.965722	-47.464574
2	2020-03-01	2020-03-22	2020-07-12	133	-38.153219	-34.446465
3	2015-04-19	2016-02-14	2016-12-11	602	-32.965378	-31.619610
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	-20.331827

Strategy Visualization

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