Alpha Architect Value At Risk vs. Skewness
| QVAL Etf | | | USD 51.75 0.02 0.04% |
The this indicator reading for Alpha Architect Quantitative is computed from historical trading observations. Normalization methods and data feeds may affect reported values. Review
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Alpha Architect Quantitative has current Value At Risk of
-1.22. Value At Risk (or VAR) is a statistical technique used to measure the level of financial risk of investment instrument over a specific time frame. It is a widely used measure of the risk of loss on a specific investing instrument.
Value At Risk | = | ER[a] x N | + | (Z-SCORE x STD x SQRT (N)) |
| = | -1.22 | |
| ER[a] | = | Expected return on investing in Alpha Architect |
| STD | = | Standard Deviation of Alpha Architect |
| N | = | Number of points for the period |
| Z-SCORE | = | Number of standard deviations above or below the mean |
Value At Risk Peers Comparison
Value At Risk Relative To Other Indicators
Alpha Architect Quantitative carries a
second ranking for value at risk within its ETF group. It is currently under evaluation for skewness within its ETF group .
Value At Risk is used by risk managers in order to measure and control the level of risk which the firm undertakes. The risk manager job is to ensure that risks are not taken beyond the level at which the firm can absorb the losses of a probable worst outcome. VAR can be defined as the loss level that will not be exceeded with a certain confidence level during a certain period of time.
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