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Risk_report
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********************************************************************************
Risk report report produced on 2022-10-11 21:10:22.772862
********************************************************************************
Total risk across all strategies, annualised percentage 6.4
Percentage of capital used for margin 17.2%
========================================
Risk per strategy, annualised percentage
========================================
risk
dynamic_TF_carry 6.4
===================
Risk by asset class
===================
Ags 1.7
Bond 4.2
Equity 3.8
dtype: float64
============================
Beta loadings by asset class
============================
Bond -0.29
Equity -0.19
Ags 0.08
dtype: float64
===============================================================================================================================================================================================================================================================
Instrument risk
===============================================================================================================================================================================================================================================================
daily_price_stdev annual_price_stdev price daily_perc_stdev annual_perc_stdev point_size_base contract_exposure daily_risk_per_contract annual_risk_per_contract position capital exposure_held_perc_capital annual_risk_perc_capital
US20 1.133 18.128 124.66 0.91 14.5 902.1 112454 1022 16353 -1 387070 -29.1 -4.2
CAC 79.120 1265.923 5847.50 1.35 21.6 8.8 51217 693 11088 -1 387070 -13.2 -2.9
KOSDAQ 21.699 347.180 948.60 2.29 36.6 6.3 5953 136 2179 -2 387070 -3.1 -1.1
MSCISING 3.089 49.421 280.20 1.10 17.6 62.8 17582 193 3101 -1 387070 -4.5 -0.8
DOW 407.341 6517.456 29601.00 1.38 22.0 0.5 13351 183 2939 -1 387070 -3.4 -0.8
NIKKEI400 212.156 3394.491 16845.00 1.26 20.2 0.6 10426 131 2101 1 387070 2.7 0.5
TOPIX 23.299 372.785 1870.50 1.25 19.9 6.2 11578 144 2307 1 387070 3.0 0.6
CORN 8.957 143.310 692.50 1.29 20.7 45.1 31235 404 6464 1 387070 8.1 1.7
Sum of abs(notional exposure % capital) 67.1
Sum of abs(annualised risk % capital) 12.6
Net sum of annualised risk % capital -7.0
=====================================================================
Correlations
=====================================================================
CAC DOW KOSDAQ MSCISING NIKKEI400 TOPIX CORN US20
CAC 1.00 0.73 0.29 0.70 0.68 0.69 -0.07 0.11
DOW 0.73 1.00 0.39 0.54 0.67 0.69 -0.01 0.13
KOSDAQ 0.29 0.39 1.00 0.33 0.43 0.43 0.13 0.10
MSCISING 0.70 0.54 0.33 1.00 0.63 0.65 0.05 -0.12
NIKKEI400 0.68 0.67 0.43 0.63 1.00 0.98 0.01 -0.01
TOPIX 0.69 0.69 0.43 0.65 0.98 1.00 -0.02 0.01
CORN -0.07 -0.01 0.13 0.05 0.01 -0.02 1.00 -0.18
US20 0.11 0.13 0.10 -0.12 -0.01 0.01 -0.18 1.00
********************************************************************************
END OF REPORT
********************************************************************************