Nuestro Fondo en el Ibex X

Buenas a tod@s !!

Subidas moderadas esta semana con una rentabilidad del ibex del 1,6% frente al 1,2% de nuestro fondo. LLevamos una rentabilidad en el mes del 2,91% mensual. En el año el acumulado es del -13,28%.

la rentabilidad semana a semana es la siguiente:

	Fondo	Ibex 35	_ % _
Date
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
2020-07-19	0.0123	0.0163	-0.0040

El comportamiento de los valores son:

	2020-07-12	2020-07-19	_%_
SAB	0.3264	0.330	0.0110
IAG	2.3750	2.398	0.0097
TL5	3.1760	3.266	0.0283
TRE	13.2200	13.750	0.0401
MRL	7.3100	7.120	-0.0260
CLNX	57.0800	56.920	-0.0028
VIS	58.4000	58.350	-0.0009
REP	7.6240	7.874	0.0328
IBE	10.7300	11.085	0.0331
SAN	2.2200	2.215	-0.0023

MRL es el que peor comportamiento ha mostrado, mientras que TRE es la que mejor ha funcionado.

Los valores para la próxima semana son:

	2020-07-19
SAB	0.330
MRL	7.120
IAG	2.398
TL5	3.266
TRE	13.750
CLNX	56.920
REP	7.874
VIS	58.350
AMS	47.560
TEF	4.134

Entra AMS y desaparece IBE.

Las estadísticas globales son:

Performance Metrics

                           Strategy
-------------------------  ----------
Start Period               2000-07-09
End Period                 2020-07-19
Risk-Free Rate             0.0%
Time in Market             100.0%

Cumulative Return          1,525.02%
CAGR%                      14.93%
Sharpe                     1.56
Sortino                    2.25
Max Drawdown               -54.97%
Longest DD Days            2128
Volatility (ann.)          51.62%
Calmar                     0.27
Skew                       -0.61
Kurtosis                   7.8

Expected Daily %           0.27%
Expected Monthly %         1.16%
Expected Yearly %          14.2%
Kelly Criterion            14.59%
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                        2.91%
3M                         9.28%
6M                         -13.67%
YTD                        -13.28%
1Y                         -2.73%
3Y (ann.)                  3.23%
5Y (ann.)                  7.98%
10Y (ann.)                 12.53%
All-time (ann.)            14.93%

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            27.74
Ulcer Index                1.01

Avg. Up Month              4.97%
Avg. Down Month            -5.05%
Win Days %                 59.71%
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	2020-07-19	140	-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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