Backtest Dashboard
Risico Analyse — Geoffrey's Momentum
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-1.28%
Dagelijks
VaR 99% ?
-2.07%
Dagelijks
CVaR 95% ?
-1.79%
Expected Shortfall
Slechtste Dag
-4.8%
2020-03-09
Skewness ?
-0.29
Symmetrisch
Kurtosis ?
1.50
Normaal
Slechtste Week
-8.8%
Slechtste Maand
-10.2%
Beste Dag
3.6%
2025-04-09
% Negatieve Dagen
45.6%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-07-13 | 2009-03-09 | 2011-03-30 | -33.1% | 1356 | 751 |
| 2 | 2015-03-20 | 2016-02-08 | 2017-07-19 | -26.8% | 852 | 527 |
| 3 | 2020-01-21 | 2020-04-03 | 2020-09-01 | -20.6% | 224 | 151 |
| 4 | 2011-07-25 | 2011-10-03 | 2012-02-23 | -10.1% | 213 | 143 |
| 5 | 2012-04-04 | 2012-06-04 | 2012-09-13 | -9.3% | 162 | 101 |