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To go from a monthly VAR to a weekly VAR you must:

February 18, 2018
  • Multiply monthly expected return by 12 then divide by 52.
  • Multiply expected standard deviation by √12 then divide by √52
  • Finally 5% VAR = Expected Return – 1.65 (Standard Deviation)
  • Or 1% VAR = Expected Return – 2.33 (Standard Deviation)
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