Backtest Dashboard
Risico Analyse — Low Volatility
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-0.60%
Dagelijks
VaR 99% ?
-1.33%
Dagelijks
CVaR 95% ?
-1.22%
Expected Shortfall
Slechtste Dag
-12.9%
2020-03-18
Skewness ?
-2.78
Negatief scheef
Kurtosis ?
112.72
Dikke staarten
Slechtste Week
-16.0%
Slechtste Maand
-9.6%
Beste Dag
8.4%
2008-10-13
% Negatieve Dagen
43.0%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-05-08 | 2009-03-09 | 2010-09-24 | -32.2% | 1235 | 564 |
| 2 | 2020-02-18 | 2020-03-18 | 2020-11-25 | -27.8% | 281 | 252 |
| 3 | 2021-09-24 | 2025-04-08 | lopend | -15.9% | 1559 | Lopend |
| 4 | 2011-07-08 | 2011-08-08 | 2011-10-27 | -10.4% | 111 | 80 |
| 5 | 2013-05-08 | 2013-06-24 | 2014-02-27 | -8.9% | 295 | 248 |