Nuestra Semanita en el Ibex

Buenas a tod@s !!!

 

Semana de pérdidas en el ibex y nuestro fondo se sitúa muy cerca de él. El ibex cae un -2,4% frente al -2,6%. Para una rentabilidad en el mes del -4,67% y acumulado en el año del -20,5%.

	Fondo	Ibex	__ % __
Date
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
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

 El comportamiento de los valores son:

	2020-08-16	2020-08-23	_%_
TRE	11.2100	10.6000	-0.0544
IAG	2.1570	2.1460	-0.0051
SAN	1.9272	1.8272	-0.0519
SAB	0.3488	0.3200	-0.0826
SGRE	22.5400	22.8800	0.0151
MRL	7.6500	7.5700	-0.0105
BBVA	2.5270	2.4260	-0.0400
TL5	2.9760	3.0020	0.0087
VIS	63.3000	62.8500	-0.0071
TEF	3.6310	3.4820	-0.0410

 La fuerte caída de los bancos lastran al fondo y al indice. En cambio SGRE se comporta de forma positiva.

Los valores para la próxima semana son:

	2020-08-23
TRE	10.6000
SAB	0.3200
SAN	1.8272
IAG	2.1460
BBVA	2.4260
MRL	7.5700
VIS	62.8500
SGRE	22.8800
TEF	3.4820
GRF	23.2900

Entra GRF y sale TL5.

Los resultados acumulados 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          1,388.60%
CAGR%                      14.35%
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                   7.65

Expected Daily %           0.26%
Expected Monthly %         1.12%
Expected Yearly %          13.72%
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          4.09
Outlier Loss Ratio         3.53

MTD                        -4.67%
3M                         11.96%
6M                         -22.9%
YTD                        -20.56%
1Y                         -4.96%
3Y (ann.)                  1.53%
5Y (ann.)                  5.89%
10Y (ann.)                 11.75%
All-time (ann.)            14.35%

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            25.26
Ulcer Index                1.01

Avg. Up Month              4.98%
Avg. Down Month            -5.0%
Win Days %                 59.62%
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	2020-08-23	175	-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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