Backtest Dashboard
Risico Analyse — Small Cap
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-2.30%
Dagelijks
VaR 99% ?
-4.25%
Dagelijks
CVaR 95% ?
-3.68%
Expected Shortfall
Slechtste Dag
-13.9%
2020-03-18
Skewness ?
-0.23
Symmetrisch
Kurtosis ?
7.94
Dikke staarten
Slechtste Week
-17.9%
Slechtste Maand
-23.5%
Beste Dag
10.2%
2009-03-23
% Negatieve Dagen
46.9%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-10-10 | 2009-03-09 | 2010-04-22 | -58.6% | 925 | 409 |
| 2 | 2020-01-17 | 2020-03-18 | 2020-10-12 | -45.7% | 269 | 208 |
| 3 | 2021-11-09 | 2023-10-27 | lopend | -32.9% | 1513 | Lopend |
| 4 | 2011-07-08 | 2011-10-03 | 2012-02-03 | -28.6% | 210 | 123 |
| 5 | 2018-09-04 | 2018-12-24 | 2020-01-16 | -23.9% | 499 | 388 |