Nuestra cartera en el DOW

Buenas a tod@s !!!

Semana de transición en el Dow, pero un excelente mes de Octubre. Nuestra cartera gana en el mes de Octubre un 6,59 frente a un 5,29 del indice.

el comportamiento de nuestra cartera ha sido el siguiente:

 

	2020-10-11	2020-10-18	_%_
AAPL	116.97	119.02	0.0175
HD	285.92	287.66	0.0061
NKE	130.98	128.00	-0.0228
PG	142.92	144.39	0.0103
CRM	265.98	258.55	-0.0279
MCD	224.83	229.37	0.0202
CAT	158.94	168.75	0.0617
MSFT	215.81	219.66	0.0178
DOW	49.36	49.30	-0.0012
UNH	327.84	329.90	0.0063

 Sólo dos de las acciones presentan rendimientos negativos. Para esta semana nuestra cartera se compone de:

	2020-10-18
AAPL	119.02
HD	287.66
NKE	128.00
PG	144.39
MCD	229.37
CAT	168.75
DOW	49.30
CRM	258.55
HON	174.86
V	200.2

Entra HON y V y salen CRM y UNH.

Los resultados globales son:

Performance Metrics

                           Strategy
-------------------------  ----------
Start Period               2000-07-09
End Period                 2020-10-18
Risk-Free Rate             0.0%
Time in Market             100.0%

Cumulative Return          2,551.46%
CAGR%                      17.53%
Sharpe                     2.02
Sortino                    3.15
Max Drawdown               -36.06%
Longest DD Days            448
Volatility (ann.)          43.36%
Calmar                     0.49
Skew                       0.35
Kurtosis                   10.3

Expected Daily %           0.31%
Expected Monthly %         1.35%
Expected Yearly %          16.89%
Kelly Criterion            18.28%
Risk of Ruin               0.0%
Daily Value-at-Risk        -4.15%
Expected Shortfall (cVaR)  -4.15%

Payoff Ratio               1.04
Profit Factor              1.46
Common Sense Ratio         1.65
CPC Index                  0.88
Tail Ratio                 1.13
Outlier Win Ratio          4.28
Outlier Loss Ratio         3.73

MTD                        6.59%
3M                         12.4%
6M                         27.76%
YTD                        19.39%
1Y                         27.56%
3Y (ann.)                  23.76%
5Y (ann.)                  20.73%
10Y (ann.)                 20.47%
All-time (ann.)            17.53%

Best Day                   20.72%
Worst Day                  -17.52%
Best Month                 13.88%
Worst Month                -23.5%
Best Year                  45.27%
Worst Year                 -18.18%

Avg. Drawdown              -3.65%
Avg. Drawdown Days         42
Recovery Factor            70.76
Ulcer Index                1.01

Avg. Up Month              3.92%
Avg. Down Month            -3.73%
Win Days %                 58.41%
Win Month %                68.03%
Win Quarter %              75.61%
Win Year %                 85.71%

None

5 Worst Drawdowns

	Start	Valley	End	Days	Max Drawdown	99% Max Drawdown
1	2008-06-08	2008-11-23	2009-08-30	448	-36.057662	-35.530095
2	2020-02-23	2020-03-22	2020-06-07	105	-34.342077	-23.431914
3	2002-03-24	2002-10-06	2003-06-01	434	-23.232853	-20.675497
4	2001-02-11	2001-09-23	2002-03-17	399	-23.023170	-16.384549
5	2010-05-02	2010-07-04	2010-10-10	161	-13.848510	-10.936070

Strategy Visualization

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Savi