Buenas a tod@s !!!
bastante cachondeo y poco trabajo estos dias. Aparezco para un pequeño resumen de la semana.
Dos semanas excelentes en el fondo con una rentabilidad superior al 7% frente a solo del 4% en el indice. Esta semana hemos obtenido una rentabilidad del 3%.
Fondo | Indice | __ % __ |
|
---|---|---|---|
Date | |||
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 |
2020-08-09 | 0.0413 | 0.0106 | 0.0307 |
2020-08-16 | 0.0376 | 0.0293 | 0.0083 |
el comportamiento individual de cada componente ha sido.
2020-08-09 | 2020-08-16 | _%_ | |
---|---|---|---|
SAB | 0.3199 | 0.3488 | 0.0903 |
TRE | 10.8300 | 11.2100 | 0.0351 |
SAN | 1.8348 | 1.9272 | 0.0504 |
IAG | 2.0530 | 2.1570 | 0.0507 |
TL5 | 2.8340 | 2.9760 | 0.0501 |
VIS | 62.3500 | 63.3000 | 0.0152 |
BBVA | 2.5250 | 2.5270 | 0.0008 |
TEF | 3.4710 | 3.6310 | 0.0461 |
MRL | 7.7200 | 7.6500 | -0.0091 |
REP | 6.6760 | 6.9880 | 0.0467 |
El fuerte repunte de casi todos los componentes nos beneficia frente a la caida de MRL, BBVA.
Los componentes de esta semana son:
2020-08-16 | |
---|---|
TRE | 11.2100 |
IAG | 2.1570 |
SAN | 1.9272 |
SAB | 0.3488 |
SGRE | 22.5400 |
MRL | 7.6500 |
BBVA | 2.5270 |
TL5 | 2.9760 |
VIS | 63.3000 |
TEF | 3.6310 |
Y los resultados acumulados :
Strategy ------------------------- ---------- Start Period 2000-07-09 End Period 2020-08-16 Risk-Free Rate 0.0% Time in Market 100.0% Cumulative Return 1,429.71% CAGR% 14.52% Sharpe 1.53 Sortino 2.19 Max Drawdown -54.97% Longest DD Days 2128 Volatility (ann.) 51.83% Calmar 0.26 Skew -0.62 Kurtosis 7.66 Expected Daily % 0.26% Expected Monthly % 1.13% Expected Yearly % 13.87% Kelly Criterion 14.27% 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 0.7 Tail Ratio 1.0 Outlier Win Ratio 4.1 Outlier Loss Ratio 3.53 MTD -2.04% 3M 6.0% 6M -18.79% YTD -18.37% 1Y -3.5% 3Y (ann.) 2.72% 5Y (ann.) 6.05% 10Y (ann.) 11.84% All-time (ann.) 14.52% 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 % 59.68% 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 | 2020-08-16 | 168 | -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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2 Comentarios
saludos, opera solo con las empresas del ibex? el rebalanceo es semanal. Muy interesante
ResponderEliminarSi, solo con las q componen el ibex, el rebalanceo y publicacion es semanal.
ResponderEliminar