Backtest Dashboard
Risico Analyse — Value
VaR, CVaR, tail risk, drawdowns en beta-analyse
VaR 95% ?
-1.96%
Dagelijks
VaR 99% ?
-3.92%
Dagelijks
CVaR 95% ?
-3.31%
Expected Shortfall
Slechtste Dag
-12.0%
2020-03-18
Skewness ?
-0.33
Symmetrisch
Kurtosis ?
12.32
Dikke staarten
Slechtste Week
-19.0%
Slechtste Maand
-26.3%
Beste Dag
14.4%
2008-10-13
% Negatieve Dagen
46.2%
Top 5 Drawdowns
| # | Start | Dieptepunt | Einde | Diepte | Duur (dagen) | Herstel (dagen) |
|---|---|---|---|---|---|---|
| 1 | 2007-07-16 | 2009-03-09 | 2010-01-04 | -54.2% | 903 | 301 |
| 2 | 2018-01-29 | 2020-03-23 | 2021-01-06 | -50.9% | 1073 | 289 |
| 3 | 2011-05-02 | 2011-10-03 | 2012-12-11 | -25.8% | 589 | 435 |
| 4 | 2015-04-29 | 2016-01-20 | 2016-08-11 | -24.9% | 470 | 204 |
| 5 | 2021-06-09 | 2022-09-30 | 2023-12-19 | -23.6% | 923 | 445 |