Creo que para todos ha sido un referente el indice Dow Jones. Poder realizar un fondo que gane en rentabilidad al dow es ganar al mercado.
Tiene un CAGR del 17% y un Sharpe Ratio del 1,7% con un max Drawdown del 32%.
Aquí os dejo los resultados
Performance Metrics
Strategy ------------------------- ---------- Start Period 2000-07-09 End Period 2020-08-16 Risk-Free Rate 0.0% Time in Market 100.0% Cumulative Return 1,328.22% CAGR% 14.13% Sharpe 1.69 Sortino 2.57 Max Drawdown -38.01% Longest DD Days 539 Volatility (ann.) 43.44% Calmar 0.37 Skew 0.26 Kurtosis 10.44 Expected Daily % 0.25% Expected Monthly % 1.1% Expected Yearly % 13.5% Kelly Criterion 15.83% 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 4.6 Outlier Loss Ratio 3.7 MTD 4.23% 3M 17.52% 6M 4.85% YTD 9.64% 1Y 14.77% 3Y (ann.) 21.22% 5Y (ann.) 17.99% 10Y (ann.) 19.58% All-time (ann.) 14.13% 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 34.94 Ulcer Index 1.02 Avg. Up Month 3.84% Avg. Down Month -3.52% Win Days % 58.34% 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 | -38.010361 | -34.036669 |
| 2 | 2020-02-23 | 2020-03-22 | 2020-06-07 | 105 | -36.673861 | -26.835741 |
| 3 | 2002-03-24 | 2002-10-06 | 2003-07-13 | 476 | -24.236208 | -22.456558 |
| 4 | 2001-02-11 | 2001-09-23 | 2002-03-10 | 392 | -23.485787 | -16.617563 |
| 5 | 2010-05-02 | 2010-07-04 | 2010-10-17 | 168 | -15.725845 | -12.774582 |
Strategy Visualization
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