Backtest Dashboard
Risico Analyse — Momentum
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-1.38%
Dagelijks
VaR 99% ?
-2.26%
Dagelijks
CVaR 95% ?
-1.95%
Expected Shortfall
Slechtste Dag
-5.2%
2020-03-09
Skewness ?
-0.61
Negatief scheef
Kurtosis ?
2.54
Normaal
Slechtste Week
-10.1%
Slechtste Maand
-10.0%
Beste Dag
3.7%
2008-10-13
% Negatieve Dagen
44.7%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-10-30 | 2009-03-09 | 2011-02-11 | -28.8% | 1200 | 704 |
| 2 | 2020-02-21 | 2020-03-18 | 2020-12-21 | -25.0% | 304 | 278 |
| 3 | 2018-09-05 | 2018-12-24 | 2020-01-16 | -19.1% | 498 | 388 |
| 4 | 2015-07-17 | 2016-02-11 | 2017-02-14 | -17.6% | 578 | 369 |
| 5 | 2011-05-02 | 2011-10-03 | 2012-09-14 | -15.5% | 501 | 347 |