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PORTADA
23
Ratio de Sharpe (x 100) del Benchmark (B) y de la Estrategia (S), respectivamente. La columna Delta refleja el diferencial de la Estrategia sobre el Benchmark.
Fuente: Factset, Elaboración propia
Indice Inicio Fin
B Sharpe
S Sharpe
Delta Sharpe
DJI
1990
1999
120.7392414 94.0418211
-26.69742033
DJI
1991
2000
92.99959822 73.12826547 -19.87133275
DJI
1992
2001
80.07414305 62.10195458 -17.97218847
DJI
1993
2002
55.06950679 45.98187846 -9.087628329
DJI
1994
2003
62.0664124
57.71162548
-4.354786925
DJI
1995
2004
52.36701134 37.0033072
-15.36370413
DJI
1996
2005
38.51575182 9.911510244
-28.60424158
DJI
1997
2006
32.61854649 0.437301223 -32.18124526
DJI
1998
2007
33.58557752 5.351098793 -28.23447873
DJI
1999
2008
-0.0835878
-10.76635267 -10.68276487
DJI
2000
2009
7.903732245 25.34877057 17.44503832
DJI
2001
2010
18.30950194 36.1012466
17.79174466
DJI
2002
2011
27.50891043 47.00279639 19.49388596
DJI
2003
2012
22.93964835 38.23186159 15.29221324
DJI
2004
2013
34.96434661 61.78957294 26.82522633
DJI
2005
2014
36.91098818 72.63645207 35.7254639
DJI
2006
2015
27.03061111
61.35503049 34.32441938
NIKKEI
1982
1991
72.878887
91.2743669
18.39547989
NIKKEI
1983
1992
38.20196101 79.41285644 41.21089543
NIKKEI
1984
1993
31.47803891 61.63140103
30.15336212
NIKKEI
1985
1994
28.5187364
44.44455854 15.92582214
NIKKEI
1986
1995
17.23090617 30.18132556
12.95041939
NIKKEI
1987
1996
-2.764037974 9.297386773 12.06142475
NIKKEI
1988
1997
-19.07215005 -9.51209367
9.560056381
NIKKEI
1989
1998
-33.43265613 -37.73903597 -4.30637984
NIKKEI
1990
1999
-5.128240941 -7.984896964 -2.856656022
NIKKEI
1991
2000
-18.57577605 -3.553415963 15.02236009
NIKKEI
1992
2001
-12.86539652 -3.552735701 9.31266082
NIKKEI
1993
2002
-29.1350687
-27.90201739 1.233051316
NIKKEI
1994
2003
-18.95890107 -2.739522558 16.21937851
NIKKEI
1995
2004
-11.91112763 5.756332036 17.66745966
NIKKEI
1996
2005
-4.796141357 20.80245143 25.59859278
NIKKEI
1997
2006
8.063432595 25.45410944 17.39067685
NIKKEI
1998
2007
14.93390018 21.50533595 6.57143577
NIKKEI
1999
2008
-19.32296253 16.4139826
35.73694513
NIKKEI
2000
2009
-4.05705285 20.26039121 24.31744406
NIKKEI
2001
2010
7.307747816
14.29094905 6.983201239
NIKKEI
2002
2011
9.056323355 21.05941518
12.00309182
NIKKEI
2003
2012
9.544116219 13.04782095 3.50370473
NIKKEI
2004
2013
27.42791313
38.84131902 11.41340589
NIKKEI
2005
2014
21.86134821 30.18080647 8.319458266
NIKKEI
2006
2015
15.74963453 25.47173845 9.722103919
SP500
1990
1999
138.7659863 110.3858162
-28.38017012
SP500
1991
2000
101.7601062 95.20685263 -6.553253615
SP500
1992
2001
82.25093801 92.65282147 10.40188346
Indice Inicio Fin
B Sharpe
S Sharpe
Delta Sharpe
SP500
1994
2003
63.02867628 93.64609806 30.61742178
SP500
1995
2004
54.67435534 80.36592151 25.69156617
SP500
1996
2005
46.26185459 69.22138256 22.95952797
SP500
1997
2006
37.55926828 55.0359665
17.47669822
SP500
1998
2007
33.7200066
57.0001604
23.2801538
SP500
1999
2008
-1.454560256 55.99917815 57.4537384
SP500
2000
2009
7.456603964 75.55853836 68.1019344
SP500
2001
2010
24.50673105 65.98375906 41.47702801
SP500
2002
2011
34.16924939 60.04418774 25.87493835
SP500
2003
2012
32.78109403 58.60320429 25.82211026
SP500
2004
2013
43.37101024 75.61929519
32.24828495
SP500
2005
2014
44.9359937
80.59395836 35.65796466
SP500
2006
2015
37.69034797 64.63886889 26.94852091
DAX
1990
1999
95.85753666 75.75880164 -20.09873501
DAX
1991
2000
83.01795054 68.41870562 -14.59924492
DAX
1992
2001
69.7223391
73.30245438 3.580115271
DAX
1993
2002
24.64213883 49.10248206 24.46034323
DAX
1994
2003
36.18013376 60.26285227 24.08271851
DAX
1995
2004
36.80823856 55.54485398 18.73661542
DAX
1996
2005
37.87084178 56.95839194 19.08755016
DAX
1997
2006
30.05419041 42.45356298 12.39937257
DAX
1998
2007
34.72680937 62.83679292 28.10998355
DAX
1999
2008
6.634515198 51.9499757
45.3154605
DAX
2000
2009
3.413192574
50.98401676 47.57082418
DAX
2001
2010
26.44603797 58.02197788 31.5759399
DAX
2002
2011
39.93715999 57.05325612 17.11609613
DAX
2003
2012
43.61321126 52.55887061 8.945659345
DAX
2004
2013
49.13827165 65.64159741
16.50332576
DAX
2005
2014
39.69779585 52.5032724
12.80547655
DAX
2006
2015
33.74641352 44.38297595 10.63656243
IBEX
1992
2001
88.12028349 87.13507289
-0.985210603
IBEX
1993
2002
45.9913134
59.84460438 13.85329099
IBEX
1994
2003
58.75208052 74.00494987 15.25286936
IBEX
1995
2004
64.13298749 80.42093025 16.28794276
IBEX
1996
2005
60.08148089 75.19763671 15.11615582
IBEX
1997
2006
53.90128919 65.09032636 11.18903717
IBEX
1998
2007
50.45968435 66.07742235 15.617738
IBEX
1999
2008
19.80290518 50.2226132
30.41970802
IBEX
2000
2009
28.95137346 74.35719913
45.40582567
IBEX
2001
2010
33.93230249 56.60567397 22.67337148
IBEX
2002
2011
42.14720542 58.30045806 16.15325264
IBEX
2003
2012
34.02070197 46.78712813
12.76642616
IBEX
2004
2013
36.08754911 52.06415619 15.97660708
IBEX
2005
2014
27.6871015
39.11419039
11.42708889
IBEX
2006
2015
14.94601237 11.51764631
-3.428366053
T3)
Resultados de inversión en la estrategia, periodos de 10 años