risks Daily Returns, July 2010 – October 2017 © Ferdinando Ametrano 2017 BITCOIN GRAIN WTI IND.METALS GOLD MSCI BRIC EUROSTOXX50 S&P500 XBT Curncy SPGSGRP Index CLA Comdty SPGSINP Index XAU Curncy MXBRIC Index SX5EWK Index SPX Index Mean 0,83% -0,02% -0,03% 0,00% 0,01% 0,00% 0,01% 0,04% Standard deviation 6,99% 1,41% 1,29% 1,24% 1,02% 1,12% 1,57% 0,92% Volatility 133,61% 26,87% 24,67% 23,60% 19,44% 21,47% 29,97% 17,62% Skewness 123,36% 20,68% 3,89% -13,38% -58,48% -26,23% -3,53% -37,00% Excess kurtosis 1482,10% 245,42% 421,23% 240,23% 566,63% 252,24% 522,26% 478,54% Minimum return -45,17% -5,88% -6,86% -6,49% -8,97% -6,69% -11,02% -6,66% Maximum return 67,71% 7,35% 7,17% 5,69% 5,20% 4,87% 11,81% 4,74% Value-at-Risk at 99% confidence 17,27% 3,69% 3,46% 3,19% 2,83% 3,20% 4,39% 2,67% Expected Shortfall at 99% confidence 25,99% 4,80% 4,66% 4,36% 3,95% 3,97% 5,67% 3,60% Worst Absolute Drowdown -93,07% -61,27% -59,51% -57,82% -44,58% -51,05% -44,33% -19,39% 30/36