Semana insulsa en el Dow Jones, sin apenas variaciones. El fondo virtual ni se mueve y el indice lo hace en el 0.2%. La rentabilidad en lo que llevamos de mes se sitúa en el 4,54%, para un 9,85% en lo que llevamos de año, que me parece expectacular.
| Date | Fondo |
Indice |
% |
|---|---|---|---|
| 2020-05-17 | -0.026546 | -0.043054 | -0.016508 |
| 2020-05-24 | 0.032921 | 0.062836 | 0.029915 |
| 2020-05-31 | 0.037521 | 0.044927 | 0.007406 |
| 2020-06-07 | 0.068072 | 0.092250 | 0.024178 |
| 2020-06-14 | -0.055529 | -0.046515 | 0.009013 |
| 2020-06-21 | 0.010385 | 0.010396 | 0.000011 |
| 2020-06-28 | -0.033083 | -0.043906 | -0.010823 |
| 2020-07-05 | 0.032452 | 0.034959 | 0.002507 |
| 2020-07-12 | 0.009600 | 0.008030 | -0.001570 |
| 2020-07-19 | 0.022882 | 0.013969 | -0.008913 |
| 2020-07-26 | -0.007576 | -0.003124 | 0.004451 |
| 2020-08-02 | -0.001570 | -0.013358 | -0.011787 |
| 2020-08-09 | 0.038033 | 0.037768 | -0.000265 |
| 2020-08-16 | 0.018136 | 0.023568 | 0.005431 |
| 2020-08-23 | -0.000025 | -0.002526 | -0.002501 |
El comportamiento individual de cada uno de los valores es el siguiente:
| 2020-08-16 | 2020-08-23 | _%_ | |
|---|---|---|---|
| AAPL | 459.6300 | 497.48 | 0.0823 |
| WMT | 132.6000 | 131.63 | -0.0073 |
| HD | 280.5500 | 283.23 | 0.0096 |
| MSFT | 208.3962 | 213.02 | 0.0222 |
| RTX | 63.6400 | 60.27 | -0.0530 |
| KO | 48.4500 | 47.28 | -0.0241 |
| XOM | 43.2000 | 41.01 | -0.0507 |
| UNH | 323.7000 | 314.14 | -0.0295 |
| PG | 135.1000 | 137.44 | 0.0173 |
| INTC | 48.8900 | 49.28 | 0.0080 |
El fuerte repunte de AAPL contrastra con fuertes bajadas en XOM y RTX, mostrando una fuerte disparidad en los resultados.
Los valores para la proxima semana son:
| 2020-08-23 | |
|---|---|
| AAPL | 497.48 |
| MSFT | 213.02 |
| HD | 283.23 |
| WMT | 131.63 |
| PFE | 38.88 |
| NKE | 109.75 |
| PG | 137.44 |
| UNH | 314.14 |
| RTX | 60.27 |
| KO | 47.28 |
Entran PFE y NKE mientras que salen INTC y XOM
los resultados agregados son los siguientes:
Performance Metrics
Strategy ------------------------- ---------- Start Period 2000-07-09 End Period 2020-08-23 Risk-Free Rate 0.0% Time in Market 100.0% Cumulative Return 1,330.93% CAGR% 14.13% Sharpe 1.69 Sortino 2.57 Max Drawdown -38.01% Longest DD Days 539 Volatility (ann.) 43.43% Calmar 0.37 Skew 0.26 Kurtosis 10.44 Expected Daily % 0.25% Expected Monthly % 1.11% Expected Yearly % 13.51% Kelly Criterion 15.82% Risk of Ruin 0.0% Daily Value-at-Risk -4.21% Expected Shortfall (cVaR) -4.21% Payoff Ratio 0.98 Profit Factor 1.37 Common Sense Ratio 1.31 CPC Index 0.79 Tail Ratio 0.96 Outlier Win Ratio 4.6 Outlier Loss Ratio 3.71 MTD 4.54% 3M 23.17% 6M 4.57% YTD 9.85% 1Y 15.86% 3Y (ann.) 21.39% 5Y (ann.) 17.9% 10Y (ann.) 19.62% All-time (ann.) 14.13% Best Day 20.14% Worst Day -16.98% Best Month 14.69% Worst Month -22.33% Best Year 37.8% Worst Year -22.82% Avg. Drawdown -3.88% Avg. Drawdown Days 47 Recovery Factor 35.01 Ulcer Index 1.02 Avg. Up Month 3.84% Avg. Down Month -3.52% Win Days % 58.29% Win Month % 64.46% Win Quarter % 71.6% Win Year % 85.71%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2008-05-25 | 2009-03-08 | 2009-11-15 | 539 | -38.010361 | -34.036669 |
| 2 | 2020-02-23 | 2020-03-22 | 2020-06-07 | 105 | -36.673861 | -26.835742 |
| 3 | 2002-03-24 | 2002-10-06 | 2003-07-13 | 476 | -24.236214 | -22.456564 |
| 4 | 2001-02-11 | 2001-09-23 | 2002-03-10 | 392 | -23.485785 | -16.617570 |
| 5 | 2010-05-02 | 2010-07-04 | 2010-10-17 | 168 | -15.725834 | -12.774571 |
Strategy Visualization
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