Backtest Dashboard
Risico Analyse — Conservative Investment
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-2.25%
Dagelijks
VaR 99% ?
-4.10%
Dagelijks
CVaR 95% ?
-3.53%
Expected Shortfall
Slechtste Dag
-12.4%
2020-03-16
Skewness ?
-0.40
Symmetrisch
Kurtosis ?
7.75
Dikke staarten
Slechtste Week
-18.1%
Slechtste Maand
-23.6%
Beste Dag
10.3%
2020-03-24
% Negatieve Dagen
46.0%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-06-04 | 2009-03-09 | 2010-03-23 | -56.7% | 1023 | 379 |
| 2 | 2018-09-04 | 2020-03-18 | 2020-11-09 | -47.9% | 797 | 236 |
| 3 | 2011-05-02 | 2011-10-03 | 2012-09-07 | -33.2% | 494 | 340 |
| 4 | 2024-12-10 | 2025-04-08 | 2025-09-05 | -28.5% | 269 | 150 |
| 5 | 2021-11-09 | 2023-10-27 | 2024-11-29 | -26.4% | 1116 | 399 |