Question
You are analyzing the returns of a mutual fund portfolio for the past 5 years. Year Return 2014 -30% 2015 -25% 2016 40% 2017 -10%
You are analyzing the returns of a mutual fund portfolio for the past 5 years.
Year | Return |
2014 | -30% |
2015 | -25% |
2016 | 40% |
2017 | -10% |
2018 | 15% |
standard deviation of the returns : 29.28
Use Excel to compute the VaR at the 1% level (you can write the Excel formula as your work).
Step by Step Solution
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There are 3 Steps involved in it
Step: 1
Assuming a normal distribution of returns we can use the formula VaR mean return zscore ...
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Quantitative Investment Analysis
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
3rd edition
111910422X, 978-1119104544, 1119104548, 978-1119104223
