Nuestra semanita en la cartera del ibex 1

Buenas a tod@s !!!

Semanita de pérdidas en el Ibex y en nuestra cartera. El indice cae en torno al 2% frente al 1,7 de la cartera. Los rendimientos semanales de la cartera han sido:

	Cartera	Indice	__ % __
Date
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
2020-08-30	0.0275	0.0216	0.0059
2020-09-06	-0.0177	-0.0201	0.0024

Los rendimientos acumulados del mes se sitúa en el -1,77 frente al -19,55% desde principios de año.

El comportamiento de cada uno de los valores ha sido:

	2020-08-30	2020-09-06	_%_
SGRE	22.2700	20.8300	-0.0647
VIS	62.1000	58.9000	-0.0515
TRE	10.8600	10.5900	-0.0249
SAB	0.3434	0.3726	0.0850
TL5	2.8200	3.1080	0.1021
TEF	3.3900	3.2960	-0.0277
SAN	1.9620	1.9056	-0.0287
MRL	7.6800	7.1100	-0.0742
CLNX	54.3200	51.2400	-0.0567
GRF	22.4800	21.6800	-0.0356

 Comportamiento muy desigual con fuertes subidas en TL5 y SAB y fuertes perdidas en varios valores.

Los valores de la cartera para esta semana son:

	2020-09-06
SGRE	20.8300
TRE	10.5900
VIS	58.9000
MRL	7.1100
GRF	21.6800
TEF	3.2960
SAN	1.9056
SAB	0.3726
BBVA	2.5570
IAG	2.4530

Entran IAG y BBVA y salen CLNX y TL5.

Los resultados acumulados son:

Performance Metrics

                           Strategy
-------------------------  ----------
Start Period               2000-07-09
End Period                 2020-09-06
Risk-Free Rate             0.0%
Time in Market             100.0%

Cumulative Return          1,402.47%
CAGR%                      14.37%
Sharpe                     1.52
Sortino                    2.17
Max Drawdown               -54.97%
Longest DD Days            2128
Volatility (ann.)          51.8%
Calmar                     0.26
Skew                       -0.61
Kurtosis                   7.65

Expected Daily %           0.26%
Expected Monthly %         1.12%
Expected Yearly %          13.77%
Kelly Criterion            14.15%
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         3.52

MTD                        -1.77%
3M                         1.68%
6M                         -11.55%
YTD                        -19.82%
1Y                         -6.64%
3Y (ann.)                  1.81%
5Y (ann.)                  7.32%
10Y (ann.)                 11.41%
All-time (ann.)            14.37%

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            25.52
Ulcer Index                1.01

Avg. Up Month              4.98%
Avg. Down Month            -4.93%
Win Days %                 59.6%
Win Month %                63.37%
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	2020-09-06	189	-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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