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Risk report produced on 05/12/2025 23:14
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Total risk across all strategies, annualised percentage 18.4
Percentage of capital used for margin 31.2%
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Risk per strategy, annualised percentage
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risk
fut_strategy_v1_8 18.4
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Risk by asset class
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Ags 2.2
Bond 2.1
Equity 6.8
FX 4.7
Metals 7.4
OilGas 2.2
Other 0.6
Sector 4.5
Vol 3.2
dtype: float64
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Beta loadings of asset class positions on asset class
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Vol -0.09
Other -0.04
Ags -0.03
OilGas 0.02
Sector 0.27
FX 0.28
Metals 0.35
Equity 0.44
Bond 0.50
dtype: float64
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Beta loadings of full portfolio positions on asset class
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Bond -0.26
Vol -0.22
OilGas 0.15
Other 0.23
Ags 0.25
Metals 0.62
Equity 0.73
Sector 0.76
FX 1.20
dtype: float64
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Instrument risk
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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
VIX 0.457 7.305 20.15 2.27 36.3 750.1 15114 342 5479 -1 169082 -8.9 -3.2
SUGAR11 0.225 3.604 14.41 1.56 25.0 840.1 12105 189 3027 -1 169082 -7.2 -1.8
CAD 0.002 0.036 0.72 0.31 5.0 75008.6 54242 170 2729 -1 169082 -32.1 -1.6
CRUDE_W_micro 0.941 15.059 59.52 1.58 25.3 75.0 4464 70 1129 -2 169082 -5.3 -1.3
MILLWHEAT 1.740 27.838 189.25 0.92 14.7 43.7 8265 75 1215 -1 169082 -4.9 -0.7
RUBBER 1.716 27.460 170.90 1.00 16.1 37.5 6409 64 1029 -1 169082 -3.8 -0.6
KRWUSD_mini 0.003 0.054 0.68 0.50 7.9 18752.2 12749 63 1011 -1 169082 -7.5 -0.6
IRON 1.088 17.408 102.00 1.07 17.1 75.0 7650 81 1305 1 169082 4.5 0.8
BRE 0.001 0.023 0.18 0.77 12.4 75008.6 13700 106 1697 1 169082 8.1 1.0
KOSDAQ 23.377 374.035 1578.50 1.48 23.7 5.1 8020 118 1900 1 169082 4.7 1.1
SOYBEAN_mini 11.417 182.673 1115.88 1.02 16.4 7.5 8370 85 1370 2 169082 9.9 1.6
EU-OIL 3.956 63.297 406.70 0.97 15.6 43.7 17763 172 2764 1 169082 10.5 1.6
GAS_US_mini 0.106 1.700 4.87 2.18 34.9 1875.2 9132 199 3187 1 169082 5.4 1.9
US10 0.300 4.802 112.53 0.27 4.3 750.1 84408 225 3602 1 169082 49.9 2.1
NIKKEI 690.897 11054.352 50700.00 1.36 21.8 0.5 24507 333 5343 1 169082 14.5 3.2
EU-BASIC 7.679 122.868 623.60 1.23 19.7 43.7 27237 335 5366 1 169082 16.1 3.2
EUROSTX 45.073 721.162 5729.00 0.79 12.6 8.7 50045 393 6299 1 169082 29.6 3.7
YENEUR 0.724 11.579 180.71 0.40 6.4 604.2 109191 437 6996 1 169082 64.6 4.1
SILVER 1.017 16.267 58.98 1.72 27.6 750.1 44243 762 12201 1 169082 26.2 7.2
Sum of abs(notional exposure % capital) 313.7
Sum of abs(annualised risk % capital) 41.3
Net sum of annualised risk % capital 21.7
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Correlations
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CAD KRWUSD_mini US10 VIX BRE EU-BASIC EU-OIL EUROSTX IRON KOSDAQ NIKKEI RUBBER SILVER SUGAR11 GAS_US_mini MILLWHEAT CRUDE_W_micro SOYBEAN_mini YENEUR
CAD 1.00 0.40 0.30 0.01 0.34 0.14 -0.06 -0.04 0.14 0.06 0.03 0.03 0.18 -0.05 0.06 -0.05 -0.19 0.17 0.07
KRWUSD_mini 0.40 1.00 0.21 -0.01 0.18 0.24 0.13 0.23 0.19 0.30 0.19 0.19 0.11 0.04 -0.12 -0.01 -0.12 0.08 -0.13
US10 0.30 0.21 1.00 -0.11 0.14 0.05 -0.00 0.10 -0.00 -0.05 -0.06 0.08 0.20 0.11 0.05 -0.28 -0.31 -0.09 -0.32
VIX 0.01 -0.01 -0.11 1.00 -0.44 -0.40 -0.39 -0.41 -0.16 -0.29 -0.44 -0.25 -0.18 -0.36 -0.08 0.09 -0.21 -0.12 -0.16
BRE 0.34 0.18 0.14 -0.44 1.00 0.46 0.42 0.30 0.20 0.42 0.37 0.33 0.27 0.21 0.25 0.09 0.26 0.41 0.25
EU-BASIC 0.14 0.24 0.05 -0.40 0.46 1.00 0.71 0.78 0.51 0.39 0.63 0.63 0.54 0.32 -0.07 0.02 0.30 0.27 0.13
EU-OIL -0.06 0.13 -0.00 -0.39 0.42 0.71 1.00 0.74 0.36 0.41 0.59 0.63 0.37 0.31 0.03 0.12 0.55 0.25 0.11
EUROSTX -0.04 0.23 0.10 -0.41 0.30 0.78 0.74 1.00 0.23 0.36 0.60 0.48 0.40 0.40 -0.05 -0.01 0.26 0.15 0.05
IRON 0.14 0.19 -0.00 -0.16 0.20 0.51 0.36 0.23 1.00 0.22 0.35 0.56 0.20 0.23 -0.19 0.12 0.21 0.20 0.07
KOSDAQ 0.06 0.30 -0.05 -0.29 0.42 0.39 0.41 0.36 0.22 1.00 0.56 0.22 0.06 0.12 0.03 0.10 0.13 0.19 0.21
NIKKEI 0.03 0.19 -0.06 -0.44 0.37 0.63 0.59 0.60 0.35 0.56 1.00 0.46 0.19 0.24 -0.14 0.02 0.30 0.31 0.41
RUBBER 0.03 0.19 0.08 -0.25 0.33 0.63 0.63 0.48 0.56 0.22 0.46 1.00 0.35 0.30 0.06 0.10 0.43 0.30 0.11
SILVER 0.18 0.11 0.20 -0.18 0.27 0.54 0.37 0.40 0.20 0.06 0.19 0.35 1.00 0.23 0.07 -0.10 -0.04 0.03 0.16
SUGAR11 -0.05 0.04 0.11 -0.36 0.21 0.32 0.31 0.40 0.23 0.12 0.24 0.30 0.23 1.00 -0.14 -0.03 0.18 0.13 0.10
GAS_US_mini 0.06 -0.12 0.05 -0.08 0.25 -0.07 0.03 -0.05 -0.19 0.03 -0.14 0.06 0.07 -0.14 1.00 0.22 0.07 0.17 0.05
MILLWHEAT -0.05 -0.01 -0.28 0.09 0.09 0.02 0.12 -0.01 0.12 0.10 0.02 0.10 -0.10 -0.03 0.22 1.00 0.28 0.33 -0.05
CRUDE_W_micro -0.19 -0.12 -0.31 -0.21 0.26 0.30 0.55 0.26 0.21 0.13 0.30 0.43 -0.04 0.18 0.07 0.28 1.00 0.32 0.08
SOYBEAN_mini 0.17 0.08 -0.09 -0.12 0.41 0.27 0.25 0.15 0.20 0.19 0.31 0.30 0.03 0.13 0.17 0.33 0.32 1.00 0.08
YENEUR 0.07 -0.13 -0.32 -0.16 0.25 0.13 0.11 0.05 0.07 0.21 0.41 0.11 0.16 0.10 0.05 -0.05 0.08 0.08 1.00
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END OF REPORT
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