Risico Analyse — Value
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95%
-1.92%
Dagelijks
VaR 99%
-3.87%
Dagelijks
CVaR 95%
-3.20%
Expected Shortfall
Slechtste Dag
-11.5%
2020-03-18
Skewness
-0.27
Symmetrisch
Kurtosis
11.48
Dikke staarten
Slechtste Week
-21.9%
Slechtste Maand
-25.4%
Beste Dag
13.7%
2008-10-13
% Negatieve Dagen
44.4%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-07-16 | 2008-11-20 | 2009-08-04 | -56.9% | 750 | 257 |
| 2 | 2020-01-17 | 2020-03-18 | 2020-06-08 | -45.4% | 143 | 82 |
| 3 | 2011-05-02 | 2011-10-03 | 2012-03-19 | -27.1% | 322 | 168 |
| 4 | 2021-11-15 | 2022-09-29 | 2024-02-15 | -26.8% | 822 | 504 |
| 5 | 2015-05-18 | 2016-01-20 | 2016-04-22 | -25.1% | 340 | 93 |