Buenas a tod@s !!!
Semana de fuertes caídas en el ibex, que nuestra cartera replica en menor manera.
Así el ibex cae un -6,46% frente a un -5,02 en nuestra cartera. En lo que llevabamos de mes tenermos un -9,12 %, frente a un total en lo que llevamos de año del -26,68%.
El comportamiento de la cartera ha sido el siguiente:
| 2020-09-20 | 2020-09-2 | _%_ | |
|---|---|---|---|
| SGRE | 22.600 | 21.650 | -0.0420 |
| ACS | 21.160 | 18.990 | -0.1026 |
| MTS | 11.480 | 10.298 | -0.1030 |
| CIE | 15.160 | 14.780 | -0.0251 |
| CLNX | 53.080 | 53.200 | 0.0023 |
| IBE | 10.540 | 10.385 | -0.0147 |
| VIS | 57.700 | 56.650 | -0.0182 |
| FER | 22.680 | 21.000 | -0.0741 |
| TEF | 3.236 | 2.960 | -0.0853 |
| ACX | 7.080 | 6.802 | -0.0393 |
Fuertes caídas de hasta el -10% y no le podemos echar la culpa a los bancos.
La cartera para la próxima semana es:
| 2020-09-27 | |
|---|---|
| SGRE | 21.6500 |
| VIS | 56.6500 |
| IBE | 10.3850 |
| TEF | 2.9600 |
| SAN | 1.5496 |
| SAB | 0.2866 |
| IAG | 1.0125 |
| GRF | 24.2900 |
| ACX | 6.8020 |
| CLNX | 53.2000 |
Entran en la cartera SAN, SAB, IAG, GRF.
Los resultados globales son un CAGR del 14%, un max drawdown del 58%, un sharpe del 1,4% y un skew negativo.
Strategy ------------------------- ---------- Start Period 2000-07-09 End Period 2020-09-27 Risk-Free Rate 0.0% Time in Market 100.0% Cumulative Return 1,278.83% CAGR% 13.85% Sharpe 1.48 Sortino 2.12 Max Drawdown -57.76% Longest DD Days 1183 Volatility (ann.) 51.62% Calmar 0.24 Skew -0.55 Kurtosis 6.79 Expected Daily % 0.25% Expected Monthly % 1.09% Expected Yearly % 13.31% Kelly Criterion 13.88% Risk of Ruin 0.0% Daily Value-at-Risk -5.05% Expected Shortfall (cVaR) -5.05% Payoff Ratio 0.86 Profit Factor 1.3 Common Sense Ratio 1.37 CPC Index 0.67 Tail Ratio 1.05 Outlier Win Ratio 4.07 Outlier Loss Ratio 3.5 MTD -9.12% 3M -15.96% 6M 15.96% YTD -26.68% 1Y -16.58% 3Y (ann.) -0.32% 5Y (ann.) 7.17% 10Y (ann.) 11.05% All-time (ann.) 13.85% Best Day 18.34% Worst Day -21.95% Best Month 22.21% Worst Month -32.22% Best Year 63.11% Worst Year -40.25% Avg. Drawdown -5.81% Avg. Drawdown Days 75 Recovery Factor 22.14 Ulcer Index 1.01 Avg. Up Month 4.88% Avg. Down Month -4.95% Win Days % 60.09% Win Month % 63.79% Win Quarter % 72.84% Win Year % 76.19%
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2007-11-04 | 2009-03-08 | 2011-01-30 | 1183 | -57.755089 | -52.388860 |
| 2 | 2011-05-15 | 2012-06-03 | 2013-04-28 | 714 | -38.685279 | -34.529692 |
| 3 | 2020-03-01 | 2020-03-22 | 2020-09-27 | 210 | -38.626637 | -34.948257 |
| 4 | 2015-04-19 | 2016-02-14 | 2016-12-11 | 602 | -32.733744 | -31.383327 |
| 5 | 2001-05-27 | 2001-09-23 | 2002-03-03 | 280 | -25.391602 | -20.735684 |
Strategy Visualization
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