Nuestra Semanita en el Ibex

Buenas a tod@s !!!

Malas datos estamos teniendo estas semanas. Parece que la crisis igual que nos favoreció al principio nos anda perjudicando al final. Puede ser por aquellos valores que antes recuperaron antes estan volviendo a caer.

En la semana el fondo cae un 9,3% frente al 5,72% del indice. En lo que llevamos de año tenemos una pérdida del -15%.

En el mes hemos obtenido una rentabilidad del -9,34%

Los datos semana a semana son:

	Fondo	Indice	Dif_%
Date
2020-04-26	-0.0394	-0.0381	-0.0013
2020-05-03	0.0883	0.0466	0.0417
2020-05-10	-0.0321	-0.0201	-0.0120
2020-05-17	-0.0787	-0.0454	-0.0333
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

El desempeño semanal de nuestros valores son:

	2020-07-26	2020-08-02	_%_
SAB	0.3264	0.2890	-0.1146
MRL	6.8800	6.9900	0.0160
IAG	2.1860	1.8505	-0.1535
TL5	3.1580	2.7800	-0.1197
TRE	13.4100	10.5700	-0.2118
REP	7.3900	6.5800	-0.1096
TEF	3.8660	3.5480	-0.0823
AMS	46.2300	42.3600	-0.0837
VIS	57.9500	62.2500	0.0742
SAN	2.1260	1.8086	-0.1493

hay fuertes caídas por encima del 10% entre las que están SAB, IAG, TL5, TRE, REP y SAN.

Los valores para la proxima semana serán:

	2020-08-02
SAB	0.2890
TRE	10.5700
IAG	1.8505
MRL	6.9900
TL5	2.7800
VIS	62.2500
SAN	1.8086
TEF	3.5480
REP	6.5800
SGRE	19.8750

Entra SGRE y sale AMS

Los datos en conjunto son:

Performance Metrics

                           Strategy
-------------------------  ----------
Start Period               2000-07-09
End Period                 2020-08-02
Risk-Free Rate             0.0%
Time in Market             100.0%

Cumulative Return          1,315.75%
CAGR%                      14.11%
Sharpe                     1.49
Sortino                    2.14
Max Drawdown               -54.97%
Longest DD Days            2128
Volatility (ann.)          51.82%
Calmar                     0.26
Skew                       -0.61
Kurtosis                   7.68

Expected Daily %           0.25%
Expected Monthly %         1.1%
Expected Yearly %          13.45%
Kelly Criterion            13.99%
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         1.3
CPC Index                  0.69
Tail Ratio                 1.0
Outlier Win Ratio          4.11
Outlier Loss Ratio         3.54

MTD                        -9.34%
3M                         3.33%
6M                         -25.31%
YTD                        -24.45%
1Y                         -15.1%
3Y (ann.)                  -0.36%
5Y (ann.)                  4.12%
10Y (ann.)                 10.69%
All-time (ann.)            14.11%

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            23.94
Ulcer Index                1.01

Avg. Up Month              4.98%
Avg. Down Month            -5.05%
Win Days %                 59.6%
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	2020-08-02	154	-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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