Risico Analyse — Factor Momentum
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95%
-2.12%
Dagelijks
VaR 99%
-4.16%
Dagelijks
CVaR 95%
-3.60%
Expected Shortfall
Slechtste Dag
-12.0%
2020-03-16
Skewness
-0.06
Symmetrisch
Kurtosis
11.61
Dikke staarten
Slechtste Week
-21.2%
Slechtste Maand
-19.4%
Beste Dag
14.5%
2008-10-13
% Negatieve Dagen
45.1%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-10-11 | 2008-11-20 | 2009-05-18 | -56.7% | 585 | 179 |
| 2 | 2021-02-17 | 2025-04-08 | lopend | -51.2% | 1778 | Lopend |
| 3 | 2020-02-21 | 2020-03-18 | 2020-04-29 | -39.0% | 68 | 42 |
| 4 | 2015-06-24 | 2016-02-11 | 2016-07-27 | -33.4% | 399 | 167 |
| 5 | 2018-09-04 | 2018-12-24 | 2020-02-11 | -30.7% | 525 | 414 |