Buenas a tod@s !!!
Si también tenemos un fondo en el Dax. El principal aprendizaje es que las economías de mas éxito ya han recuperado lo perdido por la crisis del COVID-19.
Obtenemos una rentabilidad del 14% y un shrpe ratio del 1,4 mas o menos, los mismos ratios que otros modelos de fondos.
Los datos agregados son los siguientes:
Performance Metrics
Strategy ------------------------- ---------- Start Period 2000-07-09 End Period 2020-08-30 Risk-Free Rate 0.0% Time in Market 100.0% Cumulative Return 1,456.38% CAGR% 14.59% Sharpe 1.43 Sortino 2.25 Max Drawdown -49.32% Longest DD Days 742 Volatility (ann.) 57.47% Calmar 0.3 Skew 1.0 Kurtosis 12.85 Expected Daily % 0.26% Expected Monthly % 1.14% Expected Yearly % 13.96% Kelly Criterion 13.57% Risk of Ruin 0.0% Daily Value-at-Risk -5.63% Expected Shortfall (cVaR) -5.63% Payoff Ratio 0.99 Profit Factor 1.31 Common Sense Ratio 1.37 CPC Index 0.74 Tail Ratio 1.05 Outlier Win Ratio 4.77 Outlier Loss Ratio 3.83 MTD 0.61% 3M 20.39% 6M 10.51% YTD 18.09% 1Y 30.17% 3Y (ann.) 15.43% 5Y (ann.) 14.89% 10Y (ann.) 15.44% All-time (ann.) 14.59% Best Day 35.87% Worst Day -19.01% Best Month 30.06% Worst Month -28.29% Best Year 71.0% Worst Year -33.35% Avg. Drawdown -5.45% Avg. Drawdown Days 63 Recovery Factor 29.53 Ulcer Index 1.01 Avg. Up Month 5.17% Avg. Down Month -5.08% Win Days % 56.99% Win Month % 63.22% Win Quarter % 74.07% Win Year % 80.95%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2008-01-06 | 2009-03-08 | 2009-08-23 | 595 | -49.324391 | -46.855538 |
| 2 | 2002-04-07 | 2002-10-06 | 2004-04-18 | 742 | -48.273220 | -43.449916 |
| 3 | 2001-07-22 | 2001-09-23 | 2001-12-09 | 140 | -33.411987 | -29.938236 |
| 4 | 2020-02-23 | 2020-03-22 | 2020-06-07 | 105 | -31.954649 | -28.779017 |
| 5 | 2011-05-22 | 2011-09-11 | 2012-01-22 | 245 | -29.916415 | -28.707980 |
Strategy Visualization
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