Risico Analyse — Quality
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95%
-1.96%
Dagelijks
VaR 99%
-3.33%
Dagelijks
CVaR 95%
-2.95%
Expected Shortfall
Slechtste Dag
-12.5%
2020-03-16
Skewness
-0.37
Symmetrisch
Kurtosis
7.53
Dikke staarten
Slechtste Week
-15.7%
Slechtste Maand
-19.3%
Beste Dag
9.9%
2008-10-13
% Negatieve Dagen
43.8%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-10-11 | 2008-11-20 | 2009-07-20 | -43.9% | 648 | 242 |
| 2 | 2021-07-02 | 2023-10-27 | lopend | -40.0% | 1643 | Lopend |
| 3 | 2020-02-21 | 2020-03-18 | 2020-06-05 | -38.6% | 105 | 79 |
| 4 | 2018-09-05 | 2018-12-24 | 2019-02-22 | -20.8% | 170 | 60 |
| 5 | 2011-07-22 | 2011-10-03 | 2012-01-11 | -18.4% | 173 | 100 |