Module · 02d · Risk & Performance

Risk & Performance Analytics

Parametric and historical VaR, multi-factor exposures, stress and reverse-stress scenarios, plus GIPS-compliant return composites with Brinson-Fachler attribution.

VaR 1d 99%

1.21%

limit 1.50%

Ex-ante vol

9.4%

annualised

Tracking error

1.82%

vs benchmark

MTD return

+1.84%

net of fees

Sharpe (1y)

1.41

rf SOFR

Daily P&L (60d) — VaR 99% bands

Method: Historical sim 250d · backtest exceptions last 250d: 2 (expected 2.5). Kupiec p = 0.71.