Buenas a tod@s :
Buenísima semana, con una rentabilidad del ibex del 2,1% mientras que nuestro "fondo" subió un 2,7%. La rentabilidad mensual del mes de Agosto se sitúa en el -2,05% y una rentabilidad anual es del -18,4%.
El ibex es el indice mas retrasado de los que analizamos, de ahí que tengamos rentabilidades negativas.
Las rentabilidades semanales han sido:
| Indice | Fondo | __ % __ |
|
|---|---|---|---|
| Date | |||
| 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 | 0.0056 | 0.0163 | -0.0107 |
| 2020-07-26 | -0.0326 | -0.0196 | -0.0130 |
| 2020-08-02 | -0.0934 | -0.0572 | -0.0362 |
| 2020-08-09 | 0.0413 | 0.0106 | 0.0307 |
| 2020-08-16 | 0.0376 | 0.0293 | 0.0083 |
| 2020-08-23 | -0.0269 | -0.0241 | -0.0028 |
| 2020-08-30 | 0.0275 | 0.0216 | 0.0059 |
La evolución de cada acción es:
| 2020-08-23 | 2020-08-30 | _%_ | |
|---|---|---|---|
| TRE | 10.6000 | 10.8600 | 0.0245 |
| SAB | 0.3200 | 0.3434 | 0.0731 |
| SAN | 1.8272 | 1.9620 | 0.0738 |
| IAG | 2.1460 | 2.3970 | 0.1170 |
| BBVA | 2.4260 | 2.6000 | 0.0717 |
| MRL | 7.5700 | 7.6800 | 0.0145 |
| VIS | 62.8500 | 62.1000 | -0.0119 |
| SGRE | 22.8800 | 22.2700 | -0.0267 |
| TEF | 3.4820 | 3.3900 | -0.0264 |
| GRF | 23.2900 | 22.4800 | -0.0348 |
Ha habido movimientos dispares, con amplios movimientos en los bancos mientras TEF y GRF se han comportado de manera muy diferente.
Las acciones de esta semana son:
| 2020-08-30 | |
|---|---|
| SGRE | 22.2700 |
| VIS | 62.1000 |
| TRE | 10.8600 |
| SAB | 0.3434 |
| TL5 | 2.8200 |
| TEF | 3.3900 |
| SAN | 1.9620 |
| MRL | 7.6800 |
| CLNX | 54.3200 |
| GRF | 22.480 |
Se mantienen esta semana los distintos componentes.
Los datos acumulados 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 1,429.52% CAGR% 14.49% Sharpe 1.53 Sortino 2.19 Max Drawdown -54.97% Longest DD Days 2128 Volatility (ann.) 51.82% Calmar 0.26 Skew -0.61 Kurtosis 7.65 Expected Daily % 0.26% Expected Monthly % 1.13% Expected Yearly % 13.87% Kelly Criterion 14.24% Risk of Ruin 0.0% Daily Value-at-Risk -5.06% Expected Shortfall (cVaR) -5.06% Payoff Ratio 0.89 Profit Factor 1.31 Common Sense Ratio 1.32 CPC Index 0.7 Tail Ratio 1.0 Outlier Win Ratio 4.09 Outlier Loss Ratio 3.52 MTD -2.05% 3M 10.7% 6M -21.08% YTD -18.38% 1Y -2.78% 3Y (ann.) 2.71% 5Y (ann.) 8.05% 10Y (ann.) 12.01% All-time (ann.) 14.49% 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 26.01 Ulcer Index 1.01 Avg. Up Month 4.98% Avg. Down Month -4.97% Win Days % 59.66% Win Month % 63.64% Win Quarter % 70.37% 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 | -54.965721 | -47.464573 |
| 2 | 2020-03-01 | 2020-03-22 | 2020-08-30 | 182 | -38.153219 | -34.446465 |
| 3 | 2015-04-19 | 2016-02-14 | 2016-12-11 | 602 | -32.965379 | -31.619612 |
| 4 | 2001-05-27 | 2001-09-23 | 2002-02-17 | 266 | -25.842239 | -20.690808 |
| 5 | 2002-06-09 | 2002-09-29 | 2002-12-01 | 175 | -20.741060 | -20.331827 |
Strategy Visualization
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