Backtest Dashboard
Risico Analyse — Quality
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-2.12%
Dagelijks
VaR 99% ?
-3.60%
Dagelijks
CVaR 95% ?
-3.18%
Expected Shortfall
Slechtste Dag
-12.6%
2020-03-16
Skewness ?
-0.27
Symmetrisch
Kurtosis ?
7.90
Dikke staarten
Slechtste Week
-16.1%
Slechtste Maand
-19.0%
Beste Dag
10.3%
2020-03-24
% Negatieve Dagen
46.2%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-07-20 | 2009-03-09 | 2010-03-08 | -51.6% | 962 | 364 |
| 2 | 2020-02-21 | 2020-03-18 | 2020-06-05 | -39.1% | 105 | 79 |
| 3 | 2021-11-15 | 2022-10-14 | lopend | -38.6% | 1507 | Lopend |
| 4 | 2018-09-05 | 2018-12-24 | 2019-12-20 | -21.7% | 471 | 361 |
| 5 | 2011-07-08 | 2011-10-03 | 2012-02-03 | -21.3% | 210 | 123 |