Section VI

Risk Diagnostics

Tail-risk measurement, realised volatility, and factor decomposition of the strategy returns.

95% Daily VaR

-1.33%

Historical, 1-day

99% Daily VaR

-1.80%

Historical, 1-day

Expected shortfall

-1.67%

Mean of left tail (5%)

Realised vol

12.16%

Annualised, ex-post

VaR methodology

We use a non-parametric historical VaR: given a daily-return series , the -quantile estimate is

(1)

and the expected shortfall (CVaR) is the conditional mean below that quantile,

(2)

Figure 7. Trailing 1-year 95% VaR and realised volatility. VaR is in daily-return units; realised vol is annualised. Spikes in VaR coincide with transient realised-vol expansions.

Factor exposures

We regress portfolio daily returns on five factor proxies — market, size, value, profitability, and a low-vol/conservative proxy — and report the OLS coefficients.

(3)

Table 8. Estimated factor loadings

Factor	Estimate	Interpretation
No factor exposures yet.

Loadings are unitless except α, which is reported as a daily-return intercept and is annualised in the methodology section.