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Risico Analyse — Harmen's Momentum
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-3.75%
Dagelijks
VaR 99% ?
-6.13%
Dagelijks
CVaR 95% ?
-5.23%
Expected Shortfall
Slechtste Dag
-12.0%
2008-09-29
Skewness ?
-0.17
Symmetrisch
Kurtosis ?
2.47
Normaal
Slechtste Week
-19.4%
Slechtste Maand
-23.7%
Beste Dag
13.8%
2008-10-13
% Negatieve Dagen
47.0%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2021-02-17 | 2023-10-27 | lopend | -67.5% | 1778 | Lopend |
| 2 | 2008-06-19 | 2008-11-20 | 2011-01-06 | -61.9% | 931 | 777 |
| 3 | 2011-04-06 | 2011-10-03 | 2014-02-27 | -48.7% | 1058 | 878 |
| 4 | 2015-06-04 | 2016-02-12 | 2018-06-18 | -45.0% | 1110 | 857 |
| 5 | 2020-02-21 | 2020-03-18 | 2020-05-20 | -36.6% | 89 | 63 |