Risico Analyse — Conservative Investment
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95%
-2.08%
Dagelijks
VaR 99%
-3.67%
Dagelijks
CVaR 95%
-3.20%
Expected Shortfall
Slechtste Dag
-10.8%
2020-03-16
Skewness
-0.43
Symmetrisch
Kurtosis
4.91
Dikke staarten
Slechtste Week
-17.5%
Slechtste Maand
-16.3%
Beste Dag
9.9%
2008-10-13
% Negatieve Dagen
43.9%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-07-20 | 2008-11-20 | 2009-05-04 | -47.0% | 654 | 165 |
| 2 | 2021-11-09 | 2025-04-08 | lopend | -43.2% | 1513 | Lopend |
| 3 | 2020-02-21 | 2020-03-18 | 2020-05-26 | -36.9% | 95 | 69 |
| 4 | 2015-04-24 | 2016-02-11 | 2016-06-06 | -27.1% | 409 | 116 |
| 5 | 2018-10-04 | 2018-12-24 | 2019-02-25 | -26.9% | 144 | 63 |