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Risk_report
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********************************************************************************
Risk report report produced on 2022-11-14 21:14:07.853115
********************************************************************************
Total risk across all strategies, annualised percentage 7.8
Percentage of capital used for margin 20.5%
========================================
Risk per strategy, annualised percentage
========================================
risk
dynamic_TF_carry 7.9
===================
Risk by asset class
===================
Ags 3.4
Bond 3.9
Equity 1.3
FX 1.0
OilGas 4.0
dtype: float64
============================
Beta loadings by asset class
============================
Bond -0.21
Equity -0.04
FX 0.04
OilGas 0.05
Ags 0.20
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 1.238 19.814 123.56 1.00 16.0 852.2 105296 1055 16884 -1 361968 -29.1 -4.7
GAS_US_mini 0.277 4.427 6.28 4.41 70.6 2130.4 13368 589 9432 -1 361968 -3.7 -2.6
KOSDAQ 23.123 369.966 1061.40 2.18 34.9 6.4 6816 148 2375 -2 361968 -3.8 -1.3
BRE 0.003 0.043 0.19 1.45 23.2 85217.0 15880 230 3687 1 361968 4.4 1.0
BOBL 0.480 7.675 119.45 0.40 6.4 880.3 105153 422 6756 1 361968 29.1 1.9
SOYMEAL 5.819 93.101 398.60 1.46 23.4 85.2 33967 495 7933 1 361968 9.4 2.2
SOYOIL 1.096 17.529 72.41 1.51 24.2 511.3 37023 560 8962 1 361968 10.2 2.5
CRUDE_W_mini 2.105 33.685 87.40 2.41 38.5 426.1 37239 897 14352 1 361968 10.3 4.0
Sum of abs(notional exposure % capital) 100.0
Sum of abs(annualised risk % capital) 20.2
Net sum of annualised risk % capital 3.0
==================================================================================
Correlations
==================================================================================
BOBL US20 BRE CRUDE_W_mini GAS_US_mini KOSDAQ SOYMEAL SOYOIL
BOBL 1.00 0.57 0.06 0.14 0.05 0.13 -0.11 0.05
US20 0.57 1.00 0.10 -0.08 0.14 0.14 0.09 -0.14
BRE 0.06 0.10 1.00 0.33 0.25 0.25 0.39 0.30
CRUDE_W_mini 0.14 -0.08 0.33 1.00 0.31 0.21 0.11 0.46
GAS_US_mini 0.05 0.14 0.25 0.31 1.00 0.22 0.09 0.31
KOSDAQ 0.13 0.14 0.25 0.21 0.22 1.00 0.07 0.25
SOYMEAL -0.11 0.09 0.39 0.11 0.09 0.07 1.00 0.03
SOYOIL 0.05 -0.14 0.30 0.46 0.31 0.25 0.03 1.00
********************************************************************************
END OF REPORT
********************************************************************************