No ha sido una buena semana en el CAC40 con caídas en el indice del 1,3% y en el fondo del 2,11%. En cambio los datos del año podemos decir que son espectaculares con una rentabilidad mensual acumulada del 1,13% y 3,95% desde el inicio del año.
| I | |||
|---|---|---|---|
| Date | Indice |
Fondo |
% |
| 2020-05-24 | 0.039024 | 0.044986 | 0.005962 |
| 2020-05-31 | 0.056447 | 0.118061 | 0.061615 |
| 2020-06-07 | 0.106987 | 0.232813 | 0.125827 |
| 2020-06-14 | -0.068977 | -0.071449 | -0.002472 |
| 2020-06-21 | 0.028969 | 0.006052 | -0.022917 |
| 2020-06-28 | -0.014020 | -0.033076 | -0.019057 |
| 2020-07-05 | 0.019859 | 0.058998 | 0.039139 |
| 2020-07-12 | -0.007322 | -0.010059 | -0.002738 |
| 2020-07-19 | 0.019906 | 0.001512 | -0.018394 |
| 2020-07-26 | -0.022288 | -0.007660 | 0.014629 |
| 2020-08-02 | -0.034852 | -0.037325 | -0.002473 |
| 2020-08-09 | 0.022123 | 0.025286 | 0.003163 |
| 2020-08-16 | 0.015014 | 0.032424 | 0.017410 |
| 2020-08-23 | -0.013420 | -0.021149 | -0.007730 |
las acciones para esta semana son las siguientes:
'ORA.PA'
'VIE.PA'
'URW.AS'
'SW.PA'
'AC.PA'
'EL.PA'
'HO.PA'
'ENGI.PA'
'AIR.PA'
'BN.PA'
Los datos acumulados del fondo virtual son:
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 493.53% CAGR% 9.24% Sharpe 1.03 Sortino 1.54 Max Drawdown -53.88% Longest DD Days 1162 Volatility (ann.) 57.79% Calmar 0.17 Skew 0.16 Kurtosis 8.3 Expected Daily % 0.17% Expected Monthly % 0.74% Expected Yearly % 8.85% Kelly Criterion 9.7% Risk of Ruin 0.0% Daily Value-at-Risk -5.75% Expected Shortfall (cVaR) -5.75% Payoff Ratio 1.01 Profit Factor 1.22 Common Sense Ratio 1.2 CPC Index 0.67 Tail Ratio 0.98 Outlier Win Ratio 5.07 Outlier Loss Ratio 3.78 MTD 1.13% 3M 31.18% 6M 2.92% YTD 3.95% 1Y 12.72% 3Y (ann.) 9.46% 5Y (ann.) 12.92% 10Y (ann.) 12.2% All-time (ann.) 9.24% Best Day 23.28% Worst Day -23.69% Best Month 27.62% Worst Month -34.18% Best Year 52.97% Worst Year -39.32% Avg. Drawdown -5.32% Avg. Drawdown Days 78 Recovery Factor 9.16 Ulcer Index inf Avg. Up Month 4.54% Avg. Down Month -5.29% Win Days % 54.61% Win Month % 64.05% Win Quarter % 67.9% Win Year % 71.43%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2007-07-22 | 2008-11-23 | 2010-09-19 | 1155 | -53.878967 | -51.219361 |
| 2 | 2000-09-03 | 2002-10-06 | 2003-11-09 | 1162 | -48.345849 | -44.480448 |
| 3 | 2020-02-23 | 2020-03-22 | 2020-06-07 | 105 | -38.894591 | -35.851207 |
| 4 | 2011-01-02 | 2011-09-25 | 2012-07-29 | 574 | -29.524658 | -29.043234 |
| 5 | 2018-10-07 | 2019-01-06 | 2019-07-28 | 294 | -18.315337 | -18.129674 |
Strategy Visualization
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