Backtest Dashboard
Risico Analyse — Dividend Aristocrats
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-1.52%
Dagelijks
VaR 99% ?
-2.84%
Dagelijks
CVaR 95% ?
-2.50%
Expected Shortfall
Slechtste Dag
-10.7%
2020-03-16
Skewness ?
-0.27
Symmetrisch
Kurtosis ?
13.28
Dikke staarten
Slechtste Week
-13.3%
Slechtste Maand
-15.1%
Beste Dag
9.1%
2020-03-24
% Negatieve Dagen
46.9%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2014-09-02 | 2016-01-20 | 2018-07-26 | -40.5% | 1423 | 918 |
| 2 | 2020-01-17 | 2020-03-23 | 2020-11-24 | -36.1% | 312 | 246 |
| 3 | 2023-02-03 | 2023-10-27 | 2024-07-15 | -16.0% | 528 | 262 |
| 4 | 2018-09-14 | 2018-12-24 | 2019-02-22 | -14.3% | 161 | 60 |
| 5 | 2022-08-17 | 2022-09-30 | 2023-01-11 | -13.7% | 147 | 103 |