Llevamos tiempo sin actualizar nuestra cartera e acciones en el mercado americano. La selección está basado en un factor estadístico.
a cartera de esta semana estaría compuesta por:
La cartera de esta semana serían:
| 2021-11-2 | |
|---|---|
| MICROSOFT | 329.6800 |
| HOME DEPOT | 402.7000 |
| AAPLE | 156.8100 |
| PROCTER GAMBLE | 147.4700 |
| SALESFORCE | 284.2100 |
| NIKE | 168.0200 |
| CHEVRON | 114.5100 |
| MC DONALDS | 250.0100 |
| MERK | 79.1600 |
| UNITED HEALTH | 439.9100 |
Los resultados obtenidos la semana pasada han sido los siguientes:
| 2021-11-2 | 2021-11-28 | _%_ | |
|---|---|---|---|
| MSFT | 343.11 | 329.68 | -0.04 |
| HD | 408.69 | 402.70 | -0.01 |
| CRM | 301.17 | 284.21 | -0.06 |
| AAPL | 160.55 | 156.81 | -0.02 |
| NKE | 174.88 | 168.02 | -0.04 |
| MCD | 251.95 | 250.01 | -0.01 |
| PG | 146.82 | 147.47 | 0.00 |
| UNH | 440.00 | 439.91 | -0.00 |
| AXP | 173.54 | 156.82 | -0.10 |
| CVX | 111.91 | 114.51 | 0.02 |
Los resultados acumulados son:
Strategy Tearsheet 9 Jan, 2000 - 28 Nov, 2021
Generated by QuantStats (v. 0.0.43)
Key Performance Metrics
| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 1,091.56% | 376.84% |
| CAGR﹪ | 11.98% | 7.39% |
| Sharpe | 1.67 | 1.04 |
| Smart Sharpe | 1.55 | 0.97 |
| Sortino | 2.39 | 1.49 |
| Smart Sortino | 2.22 | 1.38 |
| Sortino/√2 | 1.69 | 1.05 |
| Smart Sortino/√2 | 1.57 | 0.97 |
| Omega | 1.34 | 1.34 |
| Max Drawdown | -48.48% | -54.77% |
| Longest DD Days | 1379 | 2240 |
| Volatility (ann.) | 36.72% | 41.14% |
| R^2 | 0.36 | 0.36 |
| Calmar | 0.25 | 0.13 |
| Skew | -0.63 | -0.16 |
| Kurtosis | 3.67 | 6.27 |
| Expected Daily % | 0.22% | 0.14% |
| Expected Monthly % | 0.95% | 0.6% |
| Expected Yearly % | 11.92% | 7.36% |
| Kelly Criterion | 10.75% | 7.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.56% | -4.09% |
| Expected Shortfall (cVaR) | -3.56% | -4.09% |
| Gain/Pain Ratio | 0.34 | 0.21 |
| Gain/Pain (1M) | 0.89 | 0.53 |
| Payoff Ratio | 0.85 | 0.83 |
| Profit Factor | 1.34 | 1.21 |
| Common Sense Ratio | 1.42 | 1.13 |
| CPC Index | 0.67 | 0.58 |
| Tail Ratio | 1.07 | 0.93 |
| Outlier Win Ratio | 3.91 | 3.74 |
| Outlier Loss Ratio | 3.83 | 3.59 |
| MTD | -2.49% | 1.31% |
| 3M | -0.63% | 4.54% |
| 6M | -1.01% | 11.91% |
| YTD | 13.22% | 26.45% |
| 1Y | 15.45% | 32.22% |
| 3Y (ann.) | 15.91% | 22.54% |
| 5Y (ann.) | 19.02% | 18.34% |
| 10Y (ann.) | 19.7% | 16.82% |
| All-time (ann.) | 11.98% | 7.39% |
| Best Day | 10.78% | 17.36% |
| Worst Day | -13.45% | -15.04% |
| Best Month | 19.73% | 11.9% |
| Worst Month | -20.13% | -24.63% |
| Best Year | 37.28% | 32.7% |
| Worst Year | -30.39% | -39.13% |
| Avg. Drawdown | -3.61% | -4.17% |
| Avg. Drawdown Days | 56 | 81 |
| Recovery Factor | 22.52 | 6.88 |
| Ulcer Index | 0.12 | 0.17 |
| Serenity Index | 9.11 | 1.81 |
| Avg. Up Month | 3.85% | 3.52% |
| Avg. Down Month | -4.13% | -4.55% |
| Win Days % | 59.05% | 58.06% |
| Win Month % | 65.76% | 62.74% |
| Win Quarter % | 77.91% | 67.05% |
| Win Year % | 86.36% | 77.27% |
| Beta | 0.54 | - |
| Alpha | 0.38 | - |
EOY Returns vs Benchmark
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2000 | -11.00 | 12.10 | -1.10 | + |
| 2001 | -10.13 | -15.98 | 1.58 | - |
| 2002 | -21.69 | -20.70 | 0.95 | + |
| 2003 | 28.22 | 37.28 | 1.32 | + |
| 2004 | 10.50 | 21.22 | 2.02 | + |
| 2005 | 5.94 | 15.61 | 2.63 | + |
| 2006 | 14.76 | 13.51 | 0.92 | - |
| 2007 | 5.33 | 19.81 | 3.71 | + |
| 2008 | -39.13 | -30.39 | 0.78 | + |
| 2009 | 32.70 | 17.81 | 0.54 | - |
| 2010 | 13.66 | 20.01 | 1.47 | + |
| 2011 | 2.78 | 12.21 | 4.39 | + |
| 2012 | 15.08 | 19.73 | 1.31 | + |
| 2013 | 31.68 | 35.97 | 1.14 | + |
| 2014 | 15.76 | 21.99 | 1.39 | + |
| 2015 | 0.35 | 8.91 | 25.68 | + |
| 2016 | 12.63 | 12.93 | 1.02 | + |
| 2017 | 21.09 | 31.88 | 1.51 | + |
| 2018 | -5.25 | 4.12 | -0.79 | + |
| 2019 | 30.91 | 23.05 | 0.75 | - |
| 2020 | 18.08 | 18.16 | 1.00 | + |
| 2021 | 26.45 | 13.22 | 0.50 | - |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-12-30 | 2011-01-16 | -48.48 | 1113 |
| 2001-01-07 | 2004-10-17 | -36.48 | 1379 |
| 2020-02-23 | 2020-08-23 | -26.40 | 182 |
| 2018-09-30 | 2019-06-09 | -11.16 | 252 |
| 2011-07-31 | 2011-12-25 | -10.67 | 147 |
| 2015-07-26 | 2015-10-25 | -9.98 | 91 |
| 2018-02-04 | 2018-06-10 | -9.46 | 126 |
| 2015-12-13 | 2016-06-12 | -9.29 | 182 |
| 2006-05-14 | 2006-10-15 | -8.45 | 154 |
| 2005-03-13 | 2005-07-31 | -8.08 | 140 |
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