Buenas a tod@s !!
Tenemos alpha en el Ibex y podemos aprovecharla. Lo comparamos con el propio Ibex.
alpha ibex
MTD 4.08% 2.96% 3M -4.43% -6.79% 6M 3.18% -3.48% YTD 4.99% -29.65% 1Y 14.98% -26.41% 3Y (ann.) 16.44% -12.74% 5Y (ann.) 18.49% -7.91% 10Y (ann.) 21.14% -4.55% All-time (ann.) 20.68% -2.31
Vemos que en lo que llevamos de mes casi tenemos una rentabilidad del 5% frente al 3% del Ibex. La diferencia se aumenta a largo plazo.
alpha ibex
Cumulative Return 4,882.51% -38.53% CAGR% 20.68% -2.31% Sharpe 3.09 0.03 Sortino 5.1 0.04 Max Drawdown -27.16% -61.67% Longest DD Days 735 4725 Volatility (ann.) 30.98% 50.08% R^2 0.1 0.1 Calmar 0.76 -0.04 Skew 0.18 -0.67 Kurtosis 5.78 4.52
La rentabilidad acumulada de nuestro alpha es muy superior al ibex que en 20 años vae un -38%. El CAGR es del 20% anual frente a un drawdown del -27%.
todos los datos los teneis a continuación:
Strategy Benchmark ------------------------- ---------- ----------- Start Period 2000-01-09 2000-01-09 End Period 2020-10-18 2020-10-18 Risk-Free Rate 0.0% 0.0% Time in Market 98.0% 100.0% Cumulative Return 4,882.51% -38.53% CAGR% 20.68% -2.31% Sharpe 3.09 0.03 Sortino 5.1 0.04 Max Drawdown -27.16% -61.67% Longest DD Days 735 4725 Volatility (ann.) 30.98% 50.08% R^2 0.1 0.1 Calmar 0.76 -0.04 Skew 0.18 -0.67 Kurtosis 5.78 4.52 Expected Daily % 0.36% -0.04% Expected Monthly % 1.58% -0.19% Expected Yearly % 20.46% -2.29% Kelly Criterion 20.61% -9.69% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -2.83% -5.18% Expected Shortfall (cVaR) -2.83% -5.18% Payoff Ratio 1.05 0.74 Profit Factor 1.73 1.0 Common Sense Ratio 2.19 0.92 CPC Index 1.08 0.4 Tail Ratio 1.27 0.92 Outlier Win Ratio 4.28 2.92 Outlier Loss Ratio 4.83 2.53 MTD 4.08% 2.96% 3M -4.43% -6.79% 6M 3.18% -3.48% YTD 4.99% -29.65% 1Y 14.98% -26.41% 3Y (ann.) 16.44% -12.74% 5Y (ann.) 18.49% -7.91% 10Y (ann.) 21.14% -4.55% All-time (ann.) 20.68% -2.31% Best Day 12.9% 12.55% Worst Day -11.71% -21.2% Best Month 15.61% 15.35% Worst Month -17.43% -31.44% Best Year 49.38% 31.97% Worst Year -13.8% -40.27% Avg. Drawdown -2.51% -14.81% Avg. Drawdown Days 40 741 Recovery Factor 179.8 -0.62 Ulcer Index inf 1.04 Avg. Up Month 3.52% 4.74% Avg. Down Month -3.52% -6.5% Win Days % 59.4% 53.51% Win Month % 73.36% 52.8% Win Quarter % 80.49% 51.19% Win Year % 95.24% 47.62% Beta 0.19 - Alpha 0.95 -
None
5 Worst Drawdowns
| Start | Valley | End | Days | Max Drawdown | 99% Max Drawdown | |
|---|---|---|---|---|---|---|
| 1 | 2007-07-22 | 2009-03-08 | 2009-07-26 | 735 | -27.155273 | -25.526259 |
| 2 | 2011-05-29 | 2011-09-25 | 2012-09-23 | 483 | -20.057561 | -18.734344 |
| 3 | 2020-02-02 | 2020-03-22 | 2020-05-03 | 91 | -18.408689 | -14.527574 |
| 4 | 2020-06-14 | 2020-08-02 | 2020-10-18 | 126 | -12.744287 | -11.704571 |
| 5 | 2015-04-19 | 2015-09-27 | 2016-04-03 | 350 | -11.832287 | -11.379129 |
Strategy Visualization
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