Backtest Dashboard
Risico Analyse — Factor Momentum
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-1.81%
Dagelijks
VaR 99% ?
-3.19%
Dagelijks
CVaR 95% ?
-2.81%
Expected Shortfall
Slechtste Dag
-11.2%
2020-03-16
Skewness ?
-0.64
Negatief scheef
Kurtosis ?
11.97
Dikke staarten
Slechtste Week
-19.9%
Slechtste Maand
-22.9%
Beste Dag
9.7%
2008-10-13
% Negatieve Dagen
44.8%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2020-01-17 | 2020-03-18 | 2020-11-16 | -45.6% | 304 | 243 |
| 2 | 2007-10-11 | 2009-03-09 | 2010-04-13 | -42.4% | 915 | 400 |
| 3 | 2021-11-09 | 2023-10-27 | lopend | -30.9% | 1513 | Lopend |
| 4 | 2011-05-02 | 2011-10-03 | 2012-09-21 | -27.9% | 508 | 354 |
| 5 | 2018-09-04 | 2018-12-24 | 2020-01-14 | -24.2% | 497 | 386 |