Nuestra Cartera en el Ibex

Buenas a tod@s !!

Unos dias sin hacer ningún post. Actualizamos con los últimos resultados en nuestra cartera en el Ibex.

	Cartera	Ibex	__%__
Date
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
2020-09-13	-0.0426	-0.0067	-0.0359
2020-09-20	0.0173	0.0206	-0.0033
2020-09-27	-0.0502	-0.0646	0.0144
2020-10-04	0.0195	0.0190	0.0005
2020-10-11	0.0460	0.0291	0.0169
2020-10-18	-0.0114	-0.0182	0.0068

 Buen comportamiento en las últimas semanas de nuestra cartera respecto al Ibex. El resultado se manifiesta en una rentabilidad en Octubre del 5,3% frente a una caída del -22,7%. La comparación con el Ibex es del 2,96% y del -29,65% anual.

El comportamiento de la cartera ha sido el siguiente:

	2020-10-11	2020-10-18	_%_
SGRE	24.9800	26.110	0.0452
IBE	10.8000	11.100	0.0278
VIS	56.3000	58.450	0.0382
ACS	24.6200	23.230	-0.0565
IAG	1.1365	1.030	-0.0937
TRE	9.6600	9.005	-0.0678
CLNX	52.7200	52.380	-0.0064
MTS	12.1300	12.298	0.0138
TEF	3.1880	3.024	-0.0514
CIE	16.3800	16.980	0.0366

fuertes discrepancias entre IAG y SGRE, la composicion para la proxima semana estaría compuesta por:

	2020-10-18
SGRE	26.110
IBE	11.100
MTS	12.298
VIS	58.450
ENC	2.149
IAG	1.030
TRE	9.005
NTGY	17.250
TEF	3.024
ACX	7.148

los datos acumulados 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          1,353.67%
CAGR%                      14.1%
Sharpe                     1.5
Sortino                    2.15
Max Drawdown               -57.76%
Longest DD Days            1183
Volatility (ann.)          51.6%
Calmar                     0.24
Skew                       -0.55
Kurtosis                   6.78

Expected Daily %           0.25%
Expected Monthly %         1.1%
Expected Yearly %          13.59%
Kelly Criterion            14.06%
Risk of Ruin               0.0%
Daily Value-at-Risk        -5.04%
Expected Shortfall (cVaR)  -5.04%

Payoff Ratio               0.87
Profit Factor              1.31
Common Sense Ratio         1.38
CPC Index                  0.68
Tail Ratio                 1.05
Outlier Win Ratio          4.06
Outlier Loss Ratio         3.49

MTD                        5.43%
3M                         -8.71%
6M                         -1.45%
YTD                        -22.7%
1Y                         -14.14%
3Y (ann.)                  0.36%
5Y (ann.)                  6.34%
10Y (ann.)                 11.56%
All-time (ann.)            14.1%

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            23.44
Ulcer Index                1.01

Avg. Up Month              4.88%
Avg. Down Month            -4.95%
Win Days %                 60.11%
Win Month %                63.93%
Win Quarter %              73.17%
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	2020-10-18	231	-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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