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Risk report produced on 16/03/2026 23:23
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Total risk across all strategies, annualised percentage 19.1
Percentage of capital used for margin 21.7%
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Risk per strategy, annualised percentage
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risk
fut_strategy_v1_8 18.8
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Risk by asset class
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Ags 9.2
Equity 4.2
FX 3.9
Metals 1.6
OilGas 9.9
Other 1.6
Sector 1.7
dtype: float64
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Beta loadings of asset class positions on asset class
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Equity -0.00
Metals 0.05
Other 0.07
Sector 0.11
OilGas 0.23
FX 0.30
Ags 0.47
dtype: float64
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Beta loadings of full portfolio positions on asset class
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Metals 0.15
Equity 0.26
Other 0.28
OilGas 0.36
Sector 0.51
Ags 0.76
FX 0.92
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
HANGTECH 96.110 1537.763 5091.00 1.89 30.2 4.8 24500 462 7400 -1 200453 -12.2 -3.7
COTTON2 0.719 11.503 70.30 1.02 16.4 376.8 26492 270 4334 -1 200453 -13.2 -2.2
RICE 0.165 2.633 11.33 1.45 23.2 1507.4 17078 248 3969 -1 200453 -8.5 -2.0
EUR_micro 0.005 0.086 1.16 0.47 7.5 9421.1 10890 50 811 -4 200453 -21.7 -1.6
RUSSELL 31.974 511.578 2523.00 1.27 20.3 3.8 9507 120 1927 -1 200453 -4.7 -1.0
MILLWHEAT 2.681 42.891 213.75 1.25 20.1 43.2 9242 115 1854 -1 200453 -4.6 -0.9
BRE 0.002 0.025 0.19 0.82 13.1 75369.0 14357 117 1877 1 200453 7.2 0.9
MUMMY 13.102 209.632 746.00 1.76 28.1 4.7 3530 62 992 3 200453 5.3 1.5
COPPER-micro 0.105 1.680 5.84 1.80 28.8 1884.2 11001 197 3165 1 200453 5.5 1.6
RUBBER 2.647 42.350 195.20 1.36 21.7 37.7 7356 99 1595 2 200453 7.3 1.6
EU-OIL 4.810 76.958 515.10 0.93 14.9 43.2 22271 207 3327 1 200453 11.1 1.7
NIKKEI400 584.515 9352.237 32925.00 1.78 28.4 0.5 15582 276 4426 1 200453 7.8 2.2
LEANHOG 1.019 16.299 107.25 0.95 15.2 301.5 32333 307 4913 1 200453 16.1 2.5
REDWHEAT 10.427 166.824 631.75 1.65 26.4 37.7 23807 392 6286 1 200453 11.9 3.1
YENEUR 0.752 12.040 182.51 0.41 6.6 591.6 107971 445 7122 1 200453 53.9 3.6
SOYOIL 1.039 16.625 63.62 1.63 26.1 452.2 28769 469 7517 2 200453 28.7 7.5
CRUDE_W_micro 2.361 37.779 88.40 2.67 42.7 75.4 6662 177 2847 7 200453 23.3 9.9
Sum of abs(notional exposure % capital) 243.0
Sum of abs(annualised risk % capital) 47.5
Net sum of annualised risk % capital 24.7
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Correlations
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EU-OIL SOYOIL CRUDE_W_micro MILLWHEAT REDWHEAT RICE BRE COPPER-micro COTTON2 HANGTECH MUMMY NIKKEI400 RUBBER RUSSELL LEANHOG YENEUR EUR_micro
EU-OIL 1.00 0.36 0.62 0.25 0.26 0.08 0.36 0.29 0.17 0.08 0.28 0.20 0.37 0.13 0.08 0.01 -0.21
SOYOIL 0.36 1.00 0.41 0.37 0.38 0.11 0.16 0.08 0.04 -0.08 0.11 0.05 0.14 0.03 0.13 0.06 -0.18
CRUDE_W_micro 0.62 0.41 1.00 0.43 0.53 0.31 0.06 0.06 0.16 0.02 0.11 -0.27 0.16 -0.14 0.04 -0.07 -0.34
MILLWHEAT 0.25 0.37 0.43 1.00 0.70 0.24 0.18 0.19 0.09 0.03 0.11 -0.09 0.19 -0.12 0.00 -0.07 -0.15
REDWHEAT 0.26 0.38 0.53 0.70 1.00 0.32 0.14 0.14 0.07 0.02 0.13 -0.15 0.15 -0.08 -0.08 -0.27 -0.02
RICE 0.08 0.11 0.31 0.24 0.32 1.00 -0.04 0.08 0.01 -0.09 0.12 -0.14 -0.01 -0.07 0.09 -0.17 -0.04
BRE 0.36 0.16 0.06 0.18 0.14 -0.04 1.00 0.33 0.20 0.34 0.14 0.20 0.41 0.30 0.00 0.04 0.44
COPPER-micro 0.29 0.08 0.06 0.19 0.14 0.08 0.33 1.00 0.36 0.38 0.22 0.21 0.53 0.35 0.12 0.05 0.43
COTTON2 0.17 0.04 0.16 0.09 0.07 0.01 0.20 0.36 1.00 0.34 0.26 0.31 0.31 0.38 0.04 0.09 0.17
HANGTECH 0.08 -0.08 0.02 0.03 0.02 -0.09 0.34 0.38 0.34 1.00 0.17 0.26 0.22 0.21 -0.08 0.02 0.36
MUMMY 0.28 0.11 0.11 0.11 0.13 0.12 0.14 0.22 0.26 0.17 1.00 0.55 0.17 0.38 0.21 0.09 -0.07
NIKKEI400 0.20 0.05 -0.27 -0.09 -0.15 -0.14 0.20 0.21 0.31 0.26 0.55 1.00 0.27 0.48 0.04 0.27 0.07
RUBBER 0.37 0.14 0.16 0.19 0.15 -0.01 0.41 0.53 0.31 0.22 0.17 0.27 1.00 0.27 0.08 -0.03 0.28
RUSSELL 0.13 0.03 -0.14 -0.12 -0.08 -0.07 0.30 0.35 0.38 0.21 0.38 0.48 0.27 1.00 0.32 0.03 0.15
LEANHOG 0.08 0.13 0.04 0.00 -0.08 0.09 0.00 0.12 0.04 -0.08 0.21 0.04 0.08 0.32 1.00 0.15 -0.01
YENEUR 0.01 0.06 -0.07 -0.07 -0.27 -0.17 0.04 0.05 0.09 0.02 0.09 0.27 -0.03 0.03 0.15 1.00 -0.01
EUR_micro -0.21 -0.18 -0.34 -0.15 -0.02 -0.04 0.44 0.43 0.17 0.36 -0.07 0.07 0.28 0.15 -0.01 -0.01 1.00
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END OF REPORT
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