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Risico Analyse — REIT FFO Screener
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-4.36%
Dagelijks
VaR 99% ?
-7.68%
Dagelijks
CVaR 95% ?
-6.95%
Expected Shortfall
Slechtste Dag
-22.7%
2020-03-20
Skewness ?
0.26
Symmetrisch
Kurtosis ?
12.21
Dikke staarten
Slechtste Week
-22.7%
Slechtste Maand
-23.8%
Beste Dag
25.5%
2020-04-10
% Negatieve Dagen
44.8%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2020-02-28 | 2020-03-20 | 2021-03-12 | -40.7% | 378 | 357 |
| 2 | 2022-01-07 | 2023-05-26 | 2024-11-08 | -34.9% | 1036 | 532 |
| 3 | 2024-12-06 | 2025-04-11 | 2026-04-10 | -16.9% | 490 | 364 |
| 4 | 2016-08-05 | 2016-11-04 | 2017-02-24 | -14.3% | 203 | 112 |
| 5 | 2015-04-10 | 2015-09-04 | 2016-03-11 | -12.9% | 336 | 189 |