Market Risk Plus

MARKET RISK PLUS

✎ Name
✎ Exposure
✎ Tenor in days
✎ Daily Volatility
Seed investments
10,000,000
90
1.9%
Equity holding
8,000,000
90
1.4%
Bond holding
12,000,000
90
1.6%
FTSE share
22,000,000
90
1.9%
NYMEX share
5,000,000
90
1.4%

1-5 of 5

Name
VaR
Seed investments
4,618,491
Equity holding
2,795,531
Bond holding
4,721,125
FTSE share
10,160,681
NYMEX share
1,747,207

1-5 of 5

FUND SIZE

57,000,000

NO. OF HOLDINGS

5

HIGHESTHIGHESTAVERAGEAVERAGE22,000,00011,400,000Exposure
HIGHESTHIGHESTAVERAGEAVERAGE1.89%1.65%Volatility

Aggregate VaR

19,180,644

SIMP. SUMSIMP. SUMCORR. SUMCORR. SUM24,043,03519,180,644Simple vs. Correlated Sum
Exposure
Volatility
Seed investmentsSeed investmentsEquity holdingEquity holdingBond holdingBond holdingFTSE shareFTSE shareNYMEX shareNYMEX share24,000,00018,000,00012,000,0006,000,0000Exposure2.0%1.3%0.7%0.0%Volatility (%)
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Seed investmentsSeed investmentsBond holdingBond holdingNYMEX shareNYMEX shareVaR12,000,00010,000,0008,000,0006,000,0004,000,0002,000,0000VaR
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