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95% 5d VAR
Asked by Emanuele Badaracco

What is the average 95% 5d VaR for long short hedge funds? Do I multiply the daily std *1,65*sqrt(5) to find a rough figure? Tks




Answer By

Your calculation is correct.

Furthermore, one index of 1014 long/short equities hedge funds list the annualized standard deviation as 7.93%. To find the 5-day VaR, multiply 7.93% by 1.65, then divide by the sqrt of 252 (number of trading days in a year) and multipy by the sqrt of 5. You should come up with a VaR of 1.84%

Alex Thompson
HedgeCo Networks