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What is your VaR ratio?

Hi,

My VAR is low so my VaR ratio is 1.37.
My machine learning module avoids risk and has reduced the risks last months.

Our return with this risk has a target in the range of 2% to 3%.
For investors it should then be (2x1.37) and (3x1.37)?

What Ratio do you have? Do you try to get 1?

//Henrik
Trader of EOD

I only analyze Darwins with a VaR greater 2 and less than 30 as I don’t agree with traders putting the risk of their operations mainly on the investors shoulders.

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Hi @IlIlIlIlI ,

I see and thank you for your reply.
So such var will you look at? image

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“VaR ratio” was not my VAR but the ration I see in asset management.
If your VAR is like 13 you should have a ration of 0.5
If you VAR is like mine 2.39% then is the ration > 1

“VaR Ratio will be the ratio of leverage between DARWIN and underlying strategy as long as f=1 which is when the risk manager does not intervene. E.g. if VaR Ratio is 2, the DARWIN will trade with double the leverage than the strategy.”
cf : https://help.darwinex.com/risk-manager

Triggered by a filter criterion: grafik

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If there’s anything I have learnt about these calculations, it is that we are never quite sure what will happen. So, just do what you want or what you feel is the best for your strategy and let the machines sort themselves out. Saying I want to target X ratio or the other doesn’t quite work because you probably won’t get that exact figure.

For example, I used to think the ratio doesn’t change until you are outside a certain VAR range, but I have noticed mine changing well before the supposed limits (at least what I thought they were). You can get estimates, but that’s all they are: estimates.

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