Risico Analyse — Multi-Factor
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95%
-1.59%
Dagelijks
VaR 99%
-2.96%
Dagelijks
CVaR 95%
-2.52%
Expected Shortfall
Slechtste Dag
-9.7%
2020-03-18
Skewness
-0.63
Negatief scheef
Kurtosis
8.01
Dikke staarten
Slechtste Week
-12.9%
Slechtste Maand
-13.0%
Beste Dag
7.9%
2008-10-13
% Negatieve Dagen
43.7%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-11-01 | 2008-11-20 | 2009-10-08 | -42.7% | 707 | 322 |
| 2 | 2018-09-26 | 2020-03-18 | 2020-07-08 | -30.8% | 651 | 112 |
| 3 | 2021-11-10 | 2025-04-08 | 2025-09-08 | -22.1% | 1398 | 153 |
| 4 | 2011-07-25 | 2011-10-03 | 2012-03-26 | -20.6% | 245 | 175 |
| 5 | 2015-06-24 | 2016-02-11 | 2016-07-08 | -18.7% | 380 | 148 |