Risico Analyse — Dividend Aristocrats
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95%
-1.50%
Dagelijks
VaR 99%
-2.77%
Dagelijks
CVaR 95%
-2.42%
Expected Shortfall
Slechtste Dag
-10.8%
2020-03-16
Skewness
-0.23
Symmetrisch
Kurtosis
14.46
Dikke staarten
Slechtste Week
-13.6%
Slechtste Maand
-15.1%
Beste Dag
9.5%
2020-03-24
% Negatieve Dagen
46.7%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2020-01-17 | 2020-03-23 | 2020-11-16 | -36.5% | 304 | 238 |
| 2 | 2015-04-27 | 2016-01-20 | 2016-06-07 | -27.0% | 407 | 139 |
| 3 | 2023-02-03 | 2023-10-23 | 2024-07-16 | -15.7% | 529 | 267 |
| 4 | 2018-09-24 | 2018-12-24 | 2019-04-30 | -15.0% | 218 | 127 |
| 5 | 2022-08-17 | 2022-09-30 | 2023-02-01 | -14.6% | 168 | 124 |