Risico Analyse — Low Volatility
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95%
-0.67%
Dagelijks
VaR 99%
-1.58%
Dagelijks
CVaR 95%
-1.39%
Expected Shortfall
Slechtste Dag
-11.3%
2020-03-18
Skewness
-1.60
Negatief scheef
Kurtosis
64.72
Dikke staarten
Slechtste Week
-16.8%
Slechtste Maand
-10.0%
Beste Dag
9.4%
2008-10-13
% Negatieve Dagen
43.3%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-06-05 | 2009-03-09 | 2010-10-05 | -36.6% | 1218 | 575 |
| 2 | 2020-02-18 | 2020-03-18 | 2020-11-23 | -26.9% | 279 | 250 |
| 3 | 2021-09-17 | 2025-04-08 | 2025-12-26 | -12.2% | 1561 | 262 |
| 4 | 2011-07-08 | 2011-08-08 | 2011-12-22 | -12.0% | 167 | 136 |
| 5 | 2013-05-22 | 2013-06-24 | 2013-12-24 | -7.7% | 216 | 183 |