Hola a tod@s !!
Fuerte subida del 6% esta semana en el Dow Jones, mientras que nuestra cartera lo hace en un 6%. En lo que llevamos de mes tenemos un rendimiento positivo del 0,23% frente a un rendimiento nulo del Dow.
En lo que llevamos de año tenemos un 18,24% frente al -1% del Dow.
los rendimientos de las acciones de la cartera esta semana es:
| 2020-11-01 | 2020-11-08 | _%_ | |
|---|---|---|---|
| CAT | 157.0500 | 161.29 | 0.0270 |
| NKE | 120.0800 | 128.90 | 0.0735 |
| AAPL | 108.6725 | 118.69 | 0.0922 |
| PG | 137.1000 | 143.23 | 0.0447 |
| DOW | 45.4900 | 48.23 | 0.0602 |
| HD | 266.7100 | 284.24 | 0.0657 |
| MCD | 213.0000 | 216.56 | 0.0167 |
| CRM | 232.2700 | 260.15 | 0.1200 |
| TRV | 120.7100 | 127.00 | 0.0521 |
| HON | 164.9500 | 184.27 | 0.1171 |
para esta semana tenemos a siguiente composicion de la cartera:
| 2020-11-08 | |
|---|---|
| PG | 143.23 |
| CAT | 161.29 |
| NKE | 128.90 |
| AAPL | 118.69 |
| HON | 184.27 |
| MCD | 216.56 |
| DOW | 48.23 |
| TRV | 127.00 |
| HD | 284.24 |
| CRM | 260.15 |
los datos de la cartera en su totalidad son:
Performance Metrics
Strategy ------------------------- ---------- Start Period 2000-07-09 End Period 2020-11-08 Risk-Free Rate 0.0% Time in Market 100.0% Cumulative Return 2,445.02% CAGR% 17.24% Sharpe 1.98 Sortino 3.1 Max Drawdown -36.06% Longest DD Days 861 Volatility (ann.) 43.56% Calmar 0.48 Skew 0.4 Kurtosis 9.89 Expected Daily % 0.31% Expected Monthly % 1.33% Expected Yearly % 16.66% Kelly Criterion 17.96% Risk of Ruin 0.0% Daily Value-at-Risk -4.17% Expected Shortfall (cVaR) -4.17% Payoff Ratio 1.03 Profit Factor 1.44 Common Sense Ratio 1.62 CPC Index 0.87 Tail Ratio 1.12 Outlier Win Ratio 4.25 Outlier Loss Ratio 3.83 MTD 0.07% 3M 12.24% 6M 26.32% YTD 18.44% 1Y 24.53% 3Y (ann.) 21.58% 5Y (ann.) 19.99% 10Y (ann.) 19.95% All-time (ann.) 17.24% 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 -3.54% Avg. Drawdown Days 42 Recovery Factor 67.81 Ulcer Index 1.01 Avg. Up Month 3.92% Avg. Down Month -3.73% Win Days % 58.34% Win Month % 67.76% 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 | -36.057665 | -35.530106 |
| 2 | 2020-02-23 | 2020-03-22 | 2020-06-07 | 105 | -34.342078 | -23.431914 |
| 3 | 2001-02-11 | 2001-09-23 | 2003-06-22 | 861 | -25.823871 | -23.154954 |
| 4 | 2010-05-02 | 2010-07-04 | 2010-10-10 | 161 | -13.848510 | -10.936075 |
| 5 | 2011-05-08 | 2011-10-02 | 2011-12-25 | 231 | -11.128373 | -10.876881 |
Strategy Visualization
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