Buena semana en el ibex y por tanto en nuestro ondo virtual. La rentabilidad semanal ha sido del 4% frente al 1 % del ibex. El acumulado mensual es del -,66% y la rentabilidad anual se situa en el -21,33%.
la rentabilidad de los componentes del fondo es:
| 2020-08-02 | 2020-08-09 | _%_ | |
|---|---|---|---|
| SAB | 0.2890 | 0.3199 | 0.1069 |
| TRE | 10.5700 | 10.8300 | 0.0246 |
| IAG | 1.8505 | 2.0530 | 0.1094 |
| MRL | 6.9900 | 7.7200 | 0.1044 |
| TL5 | 2.7800 | 2.8340 | 0.0194 |
| VIS | 62.2500 | 62.3500 | 0.0016 |
| SAN | 1.8086 | 1.8348 | 0.0145 |
| TEF | 3.5480 | 3.4710 | -0.0217 |
| REP | 6.5800 | 6.6760 | 0.0146 |
| SGRE | 19.8750 | 20.6600 | 0.0395 |
Tenemos varios componentes con rentabilidad superior al 10%, solamente telefónica se sitúa en rentabilidad negativa.
Los valores de esta semana son:
| 2020-08-09 | |
|---|---|
| SAB | 0.3199 |
| TRE | 10.8300 |
| SAN | 1.8348 |
| IAG | 2.0530 |
| TL5 | 2.8340 |
| VIS | 62.3500 |
| BBVA | 2.5250 |
| TEF | 3.4710 |
| MRL | 7.7200 |
| REP | 6.6760 |
Entra BBVA y sale SGRE
Los resultados acumulados son:
Performance Metrics
Strategy ------------------------- ---------- Start Period 2000-07-09 End Period 2020-08-09 Risk-Free Rate 0.0% Time in Market 100.0% Cumulative Return 1,374.23% CAGR% 14.33% Sharpe 1.51 Sortino 2.17 Max Drawdown -54.97% Longest DD Days 2128 Volatility (ann.) 51.83% Calmar 0.26 Skew -0.61 Kurtosis 7.67 Expected Daily % 0.26% Expected Monthly % 1.12% Expected Yearly % 13.67% Kelly Criterion 14.14% 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 1.31 CPC Index 0.69 Tail Ratio 1.0 Outlier Win Ratio 4.1 Outlier Loss Ratio 3.53 MTD -5.6% 3M -1.13% 6M -18.39% YTD -21.33% 1Y -7.45% 3Y (ann.) 0.6% 5Y (ann.) 5.37% 10Y (ann.) 10.93% All-time (ann.) 14.33% 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 25.0 Ulcer Index 1.01 Avg. Up Month 4.98% Avg. Down Month -5.01% Win Days % 59.64% 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 | 2020-08-09 | 161 | -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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