(A) Regarding key investor information documents (KIID), the regulations require UCITS to be classified according to a simple risk indicator, based on the historical volatility of the fund, annualized, estimated from weekly returns on 5 years. The recommended calculation formulas are as follows. Explain them.

(B) What criticisms can be made about volatility as a measure of risk?

(C) Assume that the 3-month gain of a portfolio with an initial value of 10,000 follows a normal distribution of average 1,000 and standard deviation 3,000.

Calculate and interpret:

(1) 3-month volatility and 1-year volatility;

(2) VaR at the 99% level, over a 3-month horizon and a 1-year horizon;

Explain what these numbers mean.

(3) the Expected Shortfall at the level of 99% at 3 months and at the horizon of 1 year;

Explain what this number means.

260 (1) heho 1 (R, - R)? 260-1 (2) =. XV52 ! 260 (1) heho 1 (R, - R)? 260-1 (2) =. XV52