You are running a hedge fund with a long position of 4,000 shares of IBM, and a short position of 9,000 shares of Intel. IBM is currently trading at $150 per share, and Intel is trading at $20 per share. Over the past year, the volatility of IBMs stock was 4% per day, the volatility of Intels stock was 8% per day, and the correlation between the two company stocks was 0.7. Suppose your hedge funds capital equals the value of its current positions. What is the delta-normal VAR with a 1-day holding period and 99% confidence for your portfolio?

Hint:

When the portfolio is a combination of a long and a short position, the correlation coefficient between the two should be multiplied by -1.

Group of answer choices

40,324

69,672

33,552

101,190

55,920