Risico Analyse — Small Cap
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95%
-2.07%
Dagelijks
VaR 99%
-3.78%
Dagelijks
CVaR 95%
-3.27%
Expected Shortfall
Slechtste Dag
-13.2%
2020-03-18
Skewness
-0.34
Symmetrisch
Kurtosis
8.30
Dikke staarten
Slechtste Week
-18.3%
Slechtste Maand
-21.3%
Beste Dag
10.8%
2008-10-13
% Negatieve Dagen
46.1%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-10-10 | 2008-11-20 | 2009-07-20 | -52.3% | 649 | 242 |
| 2 | 2020-01-17 | 2020-03-18 | 2020-06-08 | -42.6% | 143 | 82 |
| 3 | 2021-11-09 | 2023-10-27 | lopend | -37.5% | 1513 | Lopend |
| 4 | 2011-05-02 | 2011-10-03 | 2012-02-03 | -27.4% | 277 | 123 |
| 5 | 2015-06-24 | 2016-02-11 | 2016-07-27 | -23.0% | 399 | 167 |