[LFX]

Value at Risk (VaR) is the maximum loss, with a given probability over a given period of time, that will not be exceeded.

A portfolio with a 1-day 1% VaR of USD100k, over next 24 hours with 99% confidence level, will not lose more than USD100k.

Sharpe Ratio

The Sharpe Ratio enables investors to compare assets by taking return and risk into account.

When comparing assets against the same benchmark, the asset with higher Sharpe Ratio is the better investment. For example, if two assets have the same return but different volatilities. The asset with lower volatility will have a higher Sharpe Ratio, which indicates more return per unit of risk.

Correlation Index

Correlation is an indication of strength and direction of a linear relationship between two random variables. The Correlation Index measures the correlation between assets in a portfolio. It is based on one month’s price data. The index is equally weighted correlation between the individual spot rates.

Correlation Index is computed daily. Values below -0.5 suggest poor correlation and above 0.5 high correlation.