Analise e Estratégia MGLU3 4 May, 2011 - 2 Feb, 2024
O Benchmark é ^BVSP
Principais métricas de Desempenho
Metric ^BVSP Strategy Risk-Free Rate 0.0% 0.0% Time in Market 100.0% 98.0%
Cumulative Return 97.74% 286.75% CAGR﹪ 3.76% 7.59%
Sharpe 0.34 0.48 Prob. Sharpe Ratio 88.78% 95.79% Smart Sharpe 0.34 0.47 Sortino 0.48 0.75 Smart Sortino 0.48 0.74 Sortino/√2 0.34 0.53 Smart Sortino/√2 0.34 0.52 Omega 1.09 1.09
Max Drawdown -46.82% -95.15% Longest DD Days 1802 2062 Volatility (ann.) 24.47% 63.21% R^2 0.19 0.19 Information Ratio 0.02 0.02 Calmar 0.08 0.08 Skew -0.51 0.98 Kurtosis 10.3 9.05
Expected Daily 0.02% 0.04% Expected Monthly 0.44% 0.88% Expected Yearly 4.99% 10.14% Kelly Criterion 1.71% 2.7% Risk of Ruin 0.0% 0.0% Daily Value-at-Risk -2.5% -6.43% Expected Shortfall (cVaR) -2.5% -6.43%
Max Consecutive Wins 10 11 Max Consecutive Losses 13 12 Gain/Pain Ratio 0.06 0.09 Gain/Pain (1M) 0.33 0.41
Payoff Ratio 1.0 1.1 Profit Factor 1.06 1.09 Common Sense Ratio 1.06 1.26 CPC Index 0.54 0.59 Tail Ratio 0.99 1.16 Outlier Win Ratio 6.82 2.68 Outlier Loss Ratio 5.81 2.42
MTD -0.45% 0.3% 3M 10.54% 48.12% 6M 4.89% -42.57% YTD -5.22% -8.8% 1Y 13.25% -54.08% 3Y (ann.) 3.41% -44.89% 5Y (ann.) 4.24% -13.38% 10Y (ann.) 7.01% 15.36% All-time (ann.) 3.76% 7.59%
Best Day 13.91% 37.29% Worst Day -14.78% -22.83% Best Month 16.97% 99.89% Worst Month -29.9% -37.26% Best Year 38.93% 504.47% Worst Year -15.5% -71.38%
Avg. Drawdown -5.47% -8.61% Avg. Drawdown Days 87 57 Recovery Factor 2.27 4.01 Ulcer Index 0.17 0.53 Serenity Index 0.31 0.3
Avg. Up Month 5.35% 18.72% Avg. Down Month -5.2% -15.24% Win Days 50.92% 48.95% Win Month 54.55% 52.6% Win Quarter 57.69% 55.77% Win Year 57.14% 50.0%
Beta - 1.14 Alpha - 0.21 Correlation - 44.15% Treynor Ratio - 251.37%
EOY Returns vs Benchmark
Year ^BVSP Strategy Multiplier Won 2011 -11.76 -41.47 3.53 - 2012 7.40 27.36 3.70 + 2013 -15.50 -37.86 2.44 - 2014 -2.91 2.12 -0.73 + 2015 -13.31 -71.38 5.36 - 2016 38.93 501.53 12.88 + 2017 26.86 504.47 18.78 + 2018 15.03 125.72 8.36 + 2019 31.95 110.75 3.47 + 2020 2.88 109.22 37.90 + 2021 -12.14 -71.06 5.85 - 2022 4.97 -62.05 -12.49 - 2023 21.95 -21.17 -0.96 - 2024 -5.22 -8.80 1.69 -
Worst 10 Drawdowns
Started Recovered Drawdown Days 2020-11-06 2024-02-02 -95.15 1184 2011-06-14 2017-02-03 -94.34 2062 2020-02-18 2020-05-22 -51.05 95 2017-09-08 2018-01-31 -42.56 146 2018-08-10 2018-10-05 -21.47 57 2017-05-17 2017-07-06 -21.32 51 2017-03-02 2017-04-26 -20.90 56 2019-05-07 2019-06-07 -16.59 32 2018-11-06 2018-12-17 -15.36 42 2018-06-05 2018-06-28 -15.16 24
Principais métricas de Desempenho
| Metric | ^BVSP | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 97.74% | 286.75% |
| CAGR﹪ | 3.76% | 7.59% |
| Sharpe | 0.34 | 0.48 |
| Prob. Sharpe Ratio | 88.78% | 95.79% |
| Smart Sharpe | 0.34 | 0.47 |
| Sortino | 0.48 | 0.75 |
| Smart Sortino | 0.48 | 0.74 |
| Sortino/√2 | 0.34 | 0.53 |
| Smart Sortino/√2 | 0.34 | 0.52 |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -46.82% | -95.15% |
| Longest DD Days | 1802 | 2062 |
| Volatility (ann.) | 24.47% | 63.21% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.08 | 0.08 |
| Skew | -0.51 | 0.98 |
| Kurtosis | 10.3 | 9.05 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.44% | 0.88% |
| Expected Yearly | 4.99% | 10.14% |
| Kelly Criterion | 1.71% | 2.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.5% | -6.43% |
| Expected Shortfall (cVaR) | -2.5% | -6.43% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 13 | 12 |
| Gain/Pain Ratio | 0.06 | 0.09 |
| Gain/Pain (1M) | 0.33 | 0.41 |
| Payoff Ratio | 1.0 | 1.1 |
| Profit Factor | 1.06 | 1.09 |
| Common Sense Ratio | 1.06 | 1.26 |
| CPC Index | 0.54 | 0.59 |
| Tail Ratio | 0.99 | 1.16 |
| Outlier Win Ratio | 6.82 | 2.68 |
| Outlier Loss Ratio | 5.81 | 2.42 |
| MTD | -0.45% | 0.3% |
| 3M | 10.54% | 48.12% |
| 6M | 4.89% | -42.57% |
| YTD | -5.22% | -8.8% |
| 1Y | 13.25% | -54.08% |
| 3Y (ann.) | 3.41% | -44.89% |
| 5Y (ann.) | 4.24% | -13.38% |
| 10Y (ann.) | 7.01% | 15.36% |
| All-time (ann.) | 3.76% | 7.59% |
| Best Day | 13.91% | 37.29% |
| Worst Day | -14.78% | -22.83% |
| Best Month | 16.97% | 99.89% |
| Worst Month | -29.9% | -37.26% |
| Best Year | 38.93% | 504.47% |
| Worst Year | -15.5% | -71.38% |
| Avg. Drawdown | -5.47% | -8.61% |
| Avg. Drawdown Days | 87 | 57 |
| Recovery Factor | 2.27 | 4.01 |
| Ulcer Index | 0.17 | 0.53 |
| Serenity Index | 0.31 | 0.3 |
| Avg. Up Month | 5.35% | 18.72% |
| Avg. Down Month | -5.2% | -15.24% |
| Win Days | 50.92% | 48.95% |
| Win Month | 54.55% | 52.6% |
| Win Quarter | 57.69% | 55.77% |
| Win Year | 57.14% | 50.0% |
| Beta | - | 1.14 |
| Alpha | - | 0.21 |
| Correlation | - | 44.15% |
| Treynor Ratio | - | 251.37% |
EOY Returns vs Benchmark
| Year | ^BVSP | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2011 | -11.76 | -41.47 | 3.53 | - |
| 2012 | 7.40 | 27.36 | 3.70 | + |
| 2013 | -15.50 | -37.86 | 2.44 | - |
| 2014 | -2.91 | 2.12 | -0.73 | + |
| 2015 | -13.31 | -71.38 | 5.36 | - |
| 2016 | 38.93 | 501.53 | 12.88 | + |
| 2017 | 26.86 | 504.47 | 18.78 | + |
| 2018 | 15.03 | 125.72 | 8.36 | + |
| 2019 | 31.95 | 110.75 | 3.47 | + |
| 2020 | 2.88 | 109.22 | 37.90 | + |
| 2021 | -12.14 | -71.06 | 5.85 | - |
| 2022 | 4.97 | -62.05 | -12.49 | - |
| 2023 | 21.95 | -21.17 | -0.96 | - |
| 2024 | -5.22 | -8.80 | 1.69 | - |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-11-06 | 2024-02-02 | -95.15 | 1184 |
| 2011-06-14 | 2017-02-03 | -94.34 | 2062 |
| 2020-02-18 | 2020-05-22 | -51.05 | 95 |
| 2017-09-08 | 2018-01-31 | -42.56 | 146 |
| 2018-08-10 | 2018-10-05 | -21.47 | 57 |
| 2017-05-17 | 2017-07-06 | -21.32 | 51 |
| 2017-03-02 | 2017-04-26 | -20.90 | 56 |
| 2019-05-07 | 2019-06-07 | -16.59 | 32 |
| 2018-11-06 | 2018-12-17 | -15.36 | 42 |
| 2018-06-05 | 2018-06-28 | -15.16 | 24 |
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