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Risk_report
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********************************************************************************
Risk report produced on 24/01/2025 22:53
********************************************************************************
Total risk across all strategies, annualised percentage 9.9
Percentage of capital used for margin 67.4%
========================================
Risk per strategy, annualised percentage
========================================
risk
dynamic_TF_carry 9.9
===================
Risk by asset class
===================
Ags 2.2
Bond 3.1
Equity 5.2
FX 4.6
Metals 1.9
OilGas 0.7
dtype: float64
=====================================================
Beta loadings of asset class positions on asset class
=====================================================
Bond -0.34
FX -0.20
Metals -0.11
OilGas 0.03
Ags 0.07
Equity 0.43
dtype: float64
========================================================
Beta loadings of full portfolio positions on asset class
========================================================
Bond -0.63
FX -0.13
Metals -0.09
OilGas 0.07
Ags 0.18
Equity 0.48
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
CHF 0.005 0.075 1.11 0.42 6.8 100815.4 111884 475 7604 -3 574336 -58.4 -4.0
US30 0.974 15.587 117.88 0.83 13.2 806.5 95068 785 12570 -1 574336 -16.6 -2.2
ALUMINIUM 30.431 486.899 2644.25 1.15 18.4 20.2 53316 613 9817 -1 574336 -9.3 -1.7
OAT 0.450 7.195 122.34 0.37 5.9 843.3 103168 379 6067 -1 574336 -18.0 -1.1
SUGAR11 0.281 4.498 17.63 1.59 25.5 903.3 15925 253 4063 -1 574336 -2.8 -0.7
MXP 0.000 0.006 0.05 0.81 13.0 403261.6 19719 160 2564 -1 574336 -3.4 -0.4
CANOLA 9.394 150.311 647.60 1.45 23.2 11.3 7289 105 1691 -1 574336 -1.3 -0.3
RUSSELL 25.233 403.734 2317.80 1.09 17.4 4.0 9346 101 1628 -1 574336 -1.6 -0.3
COPPER-micro 0.048 0.775 4.31 1.12 18.0 2016.3 8694 97 1561 -1 574336 -1.5 -0.3
DAX 143.020 2288.324 21496.00 0.67 10.6 0.8 18127 120 1929 1 574336 3.2 0.3
TOPIX 23.804 380.867 2770.00 0.86 13.7 5.2 14377 123 1976 1 574336 2.5 0.3
CRUDE_W_micro 1.061 16.978 73.89 1.44 23.0 80.7 5959 85 1369 3 574336 3.1 0.7
YENEUR 0.984 15.738 162.97 0.60 9.7 648.8 105737 638 10211 1 574336 18.4 1.8
FEEDCOW 2.019 32.297 273.32 0.74 11.8 403.3 110221 814 13024 1 574336 19.2 2.3
MSCITAIWAN 12.131 194.100 1010.90 1.20 19.2 80.7 81531 978 15654 1 574336 14.2 2.7
MIB 277.422 4438.757 36310.00 0.76 12.2 4.2 153099 1169 18715 1 574336 26.7 3.3
Sum of abs(notional exposure % capital) 200.2
Sum of abs(annualised risk % capital) 22.4
Net sum of annualised risk % capital 0.4
=======================================================================================================================================================
Correlations
=======================================================================================================================================================
CHF OAT US30 DAX MIB RUSSELL MSCITAIWAN SUGAR11 TOPIX CANOLA YENEUR ALUMINIUM COPPER-micro CRUDE_W_micro FEEDCOW MXP
CHF 1.00 0.28 0.43 0.14 0.01 0.12 -0.04 0.21 -0.19 -0.02 -0.17 0.09 0.19 -0.13 -0.13 0.00
OAT 0.28 1.00 0.81 0.24 0.07 0.23 -0.04 -0.06 -0.04 -0.24 -0.41 0.09 0.08 -0.28 -0.08 0.13
US30 0.43 0.81 1.00 0.19 0.03 0.31 -0.10 0.04 -0.05 -0.38 -0.45 0.07 0.13 -0.20 -0.07 0.03
DAX 0.14 0.24 0.19 1.00 0.82 0.47 0.40 0.28 0.50 0.11 0.03 0.19 0.37 0.05 0.20 0.27
MIB 0.01 0.07 0.03 0.82 1.00 0.45 0.32 0.19 0.53 0.23 0.19 0.12 0.37 0.14 0.29 0.34
RUSSELL 0.12 0.23 0.31 0.47 0.45 1.00 0.17 0.23 0.51 0.08 -0.16 0.15 0.28 0.19 0.26 0.24
MSCITAIWAN -0.04 -0.04 -0.10 0.40 0.32 0.17 1.00 0.27 0.46 0.07 0.43 0.08 0.20 0.15 0.18 0.40
SUGAR11 0.21 -0.06 0.04 0.28 0.19 0.23 0.27 1.00 0.36 0.15 0.14 0.15 0.22 0.27 0.25 0.12
TOPIX -0.19 -0.04 -0.05 0.50 0.53 0.51 0.46 0.36 1.00 0.17 0.41 0.15 0.29 0.22 0.30 0.30
CANOLA -0.02 -0.24 -0.38 0.11 0.23 0.08 0.07 0.15 0.17 1.00 0.27 0.14 0.15 0.22 0.03 0.07
YENEUR -0.17 -0.41 -0.45 0.03 0.19 -0.16 0.43 0.14 0.41 0.27 1.00 0.10 0.19 0.05 0.03 0.31
ALUMINIUM 0.09 0.09 0.07 0.19 0.12 0.15 0.08 0.15 0.15 0.14 0.10 1.00 0.60 0.22 0.11 0.32
COPPER-micro 0.19 0.08 0.13 0.37 0.37 0.28 0.20 0.22 0.29 0.15 0.19 0.60 1.00 0.25 0.19 0.41
CRUDE_W_micro -0.13 -0.28 -0.20 0.05 0.14 0.19 0.15 0.27 0.22 0.22 0.05 0.22 0.25 1.00 0.49 0.20
FEEDCOW -0.13 -0.08 -0.07 0.20 0.29 0.26 0.18 0.25 0.30 0.03 0.03 0.11 0.19 0.49 1.00 0.23
MXP 0.00 0.13 0.03 0.27 0.34 0.24 0.40 0.12 0.30 0.07 0.31 0.32 0.41 0.20 0.23 1.00
********************************************************************************
END OF REPORT
********************************************************************************