Nuestra primera semana con nuestro fondo virtual en el Dow Jones. Y estos son los resultados:
| Dow Jones |
Fondo | _ % _ |
|
|---|---|---|---|
| Date | |||
| 2020-05-10 | 0.025613 | 0.020171 | -0.005441 |
| 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 |
Llevamos dos semanas con buenos rendimientos superiores al 5%. Esta semana un 2,3%, en el mes un 4,8% y en el año un 10,3%. Rendimientos muy positivos y muy diferentes a las bolsas europeas.
el comportamiento de cada uno de los valores ha sido:
| 2020-08-09 | 2020-08-16 | _%_ | |
|---|---|---|---|
| AAPL | 444.4500 | 459.63 | 0.0342 |
| RTX | 60.7776 | 63.64 | 0.0471 |
| MSFT | 212.4800 | 208.90 | -0.0168 |
| HD | 271.6400 | 280.55 | 0.0328 |
| WMT | 129.4379 | 132.60 | 0.0244 |
| XOM | 42.5996 | 43.20 | 0.0141 |
| KO | 47.8000 | 48.45 | 0.0136 |
| UNH | 317.0300 | 323.70 | 0.0210 |
| BA | 170.0200 | 178.08 | 0.0474 |
| INTC | 48.0300 | 48.89 | 0.0179 |
Solo el comportamiento de MSFT ha restado rendimiento al fondo.
Para esta semana tenemos a :
| 2020-08-16 | |
|---|---|
| AAPL | 459.63 |
| WMT | 132.60 |
| HD | 280.55 |
| MSFT | 208.90 |
| RTX | 63.64 |
| KO | 48.45 |
| XOM | 43.20 |
| UNH | 323.70 |
| PG | 135.10 |
| INTC | 48.89 |
Sale BA y entre PG
los resultados acumulado son:
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 1,336.90% CAGR% 14.15% 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 10.45 Expected Daily % 0.25% Expected Monthly % 1.11% Expected Yearly % 13.53% Kelly Criterion 15.86% 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 0.78 Tail Ratio 0.96 Outlier Win Ratio 4.61 Outlier Loss Ratio 3.7 MTD 4.98% 3M 23.69% 6M 5.01% YTD 10.31% 1Y 16.34% 3Y (ann.) 21.55% 5Y (ann.) 18.0% 10Y (ann.) 19.67% All-time (ann.) 14.15% 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 -3.91% Avg. Drawdown Days 47 Recovery Factor 35.17 Ulcer Index 1.01 Avg. Up Month 3.84% Avg. Down Month -3.52% Win Days % 58.38% 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 | -38.010367 | -34.036674 |
| 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 | -24.236210 | -22.456561 |
| 4 | 2001-02-11 | 2001-09-23 | 2002-03-10 | 392 | -23.485783 | -16.617566 |
| 5 | 2010-05-02 | 2010-07-04 | 2010-10-17 | 168 | -15.725834 | -12.774575 |
Strategy Visualization
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