Risico Analyse — Trend Following
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95%
-2.12%
Dagelijks
VaR 99%
-3.80%
Dagelijks
CVaR 95%
-3.26%
Expected Shortfall
Slechtste Dag
-11.6%
2020-03-16
Skewness
-0.60
Negatief scheef
Kurtosis
5.22
Dikke staarten
Slechtste Week
-18.4%
Slechtste Maand
-16.5%
Beste Dag
8.4%
2020-03-24
% Negatieve Dagen
43.6%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2008-06-18 | 2009-03-09 | 2009-09-08 | -44.1% | 447 | 183 |
| 2 | 2020-02-21 | 2020-03-18 | 2020-06-09 | -38.1% | 109 | 83 |
| 3 | 2025-02-14 | 2025-04-08 | 2025-07-03 | -25.9% | 139 | 86 |
| 4 | 2021-11-09 | 2022-09-26 | 2024-03-01 | -23.1% | 843 | 522 |
| 5 | 2018-09-05 | 2018-12-24 | 2019-07-26 | -22.7% | 324 | 214 |