Buenas a tod@s :
Dos semanas de pérdidas en el Ibex de escaso recorrido pero si con fuertes perdidas en nuestra cartera.
En lo que llevamos de mes se pierde un 6,89 frente a una pérdida anual del 25,5%.
Los resultados semanales de nuestra cartera son:
| 2020-09-13 | 2020-09-20 | _%_ | |
|---|---|---|---|
| SGRE | 22.0200 | 22.3500 | 0.0150 |
| VIS | 58.8000 | 56.7500 | -0.0349 |
| IBE | 10.6000 | 10.4500 | -0.0142 |
| CLNX | 51.3000 | 52.7600 | 0.0285 |
| ACS | 21.2400 | 20.2800 | -0.0452 |
| IAG | 1.3916 | 1.2115 | -0.1294 |
| MTS | 10.7460 | 11.5200 | 0.0720 |
| ENG | 20.4000 | 19.9500 | -0.0221 |
| NTGY | 16.9450 | 17.2750 | 0.0195 |
| MRL | 7.0000 | 7.0800 | 0.0114 |
La pérdida en IAG se muestra muy determinante a la hora de perdida semanal.
Nuestra cartera para esta semana es:
| 2020-09-20 | |
|---|---|
| SGRE | 22.350 |
| ACS | 20.280 |
| CLNX | 52.760 |
| IBE | 10.450 |
| VIS | 56.750 |
| MTS | 11.520 |
| CIE | 14.690 |
| ACX | 7.068 |
| TEF | 3.105 |
| FER | 22.33 |
Muchos cambio esta semana con CIE, ACX, TEF, FER.
Los resultados acumulados son:
Performance Metrics
Strategy ------------------------- ---------- Start Period 2000-07-09 End Period 2020-09-20 Risk-Free Rate 0.0% Time in Market 100.0% Cumulative Return 1,305.44% CAGR% 13.97% Sharpe 1.49 Sortino 2.13 Max Drawdown -57.76% Longest DD Days 1183 Volatility (ann.) 51.59% Calmar 0.24 Skew -0.55 Kurtosis 6.82 Expected Daily % 0.25% Expected Monthly % 1.09% Expected Yearly % 13.41% Kelly Criterion 13.97% Risk of Ruin 0.0% Daily Value-at-Risk -5.04% Expected Shortfall (cVaR) -5.04% Payoff Ratio 0.87 Profit Factor 1.3 Common Sense Ratio 1.37 CPC Index 0.68 Tail Ratio 1.05 Outlier Win Ratio 4.07 Outlier Loss Ratio 3.51 MTD -6.89% 3M -12.74% 6M 12.1% YTD -25.5% 1Y -15.54% 3Y (ann.) 0.49% 5Y (ann.) 7.54% 10Y (ann.) 11.39% All-time (ann.) 13.97% 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 22.6 Ulcer Index 1.01 Avg. Up Month 4.88% Avg. Down Month -4.93% Win Days % 60.06% 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 | 2020-03-01 | 2020-03-22 | 2020-09-20 | 203 | -39.132723 | -35.484675 |
| 3 | 2011-05-15 | 2012-06-03 | 2013-04-28 | 714 | -38.685279 | -34.529692 |
| 4 | 2015-04-19 | 2016-02-14 | 2016-12-11 | 602 | -32.733743 | -31.383327 |
| 5 | 2001-05-27 | 2001-09-23 | 2002-03-03 | 280 | -25.391602 | -20.735684 |
Strategy Visualization
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