How Aegis risk limits are calculated

Weights, cash and leverage

A weight is a position's value as a fraction of net asset value, and short positions carry negative weights. Percentages are kept as entered, so weights adding to 95% hold 5% cash and weights adding to 120% are 1.2 times levered. Dollar notionals are divided by the stated capital, and without one the book is treated as fully invested.

cash = 1 − Σ w · gross = Σ |w| · net = Σ w

Cash is never entered as a position. It is what net exposure leaves over, so a long-short book can carry cash and leverage at the same time.

Exposure limits

Maximum gross caps Σ |w|, expressed as a multiple of net asset value. Maximum |net| caps the absolute value of Σ w, so it binds a heavily long book and a heavily short book the same way. Both come from the risk summary, so they are measured on the modeled names only (see Coverage).

Position concentration limits

Position concentration uses each traded position's share of gross exposure, so scaling the whole book does not change it, and like exposure it is measured on the modeled names.

These limits cap traded positions, including fund tickers. They do not cap underlying company exposure. Existing policies keep this position basis when holdings look-through is available.

p = |w| / Σ |w| · HHI = Σ p² · effective positions = 1 / HHI

Maximum position HHI caps the sum of squared shares (a single position is 1.0; ten equal positions are 0.1). Minimum effective positions sets a floor on 1 / HHI, the number of equal-sized positions that would produce the same concentration. Maximum top-five share caps the sum of the five largest shares. Maximum position instead caps the largest absolute weight as a share of net asset value.

Turnover (Decision Review only)

Turnover needs a before and an after, so only Decision Review evaluates it, never a standing monitor. It is one-way turnover, half the total absolute weight change across the whole book including cash, where the cash change is the negative of the summed security changes.

Δcash = − Σ Δw · one-way turnover = ½ × ( Σ |Δw| + |Δcash| )

Selling a fifth of the book to cash and moving a fifth from one name to another both read as 20%, because both move a fifth of the allocation.

Definition change on August 24, 2026. Before that date the cash leg was left out, so a sale to cash counted half as much as it does now (10% instead of 20% in the first example). Security-to-security rebalances are unchanged, but against a maximum turnover set before that date, a decision that moves money to or from cash now measures higher. Frozen decision records keep their original figure.

Return-based limits: VaR, CVaR, forecast volatility and beta

These figures use a current-holdings proxy, which holds today's weights fixed over the constituents' full common return history (the risk page reports how many trading days). It ignores past rebalances, cash and costs, so it describes the book as proposed rather than a realized track record.

• Maximum VaR and maximum CVaR are the one-day historical value at risk at the confidence level selected on the risk page (95% by default) and the average loss beyond it, as fractions of net asset value. A policy threshold is compared at the level the review used.
• Maximum forecast volatility is the annualized ex-ante volatility √(wᵀ Σ w × 252). Σ is the daily covariance of the constituents over the lookback selected on the risk page (252 trading days by default), estimated with Ledoit-Wolf shrinkage for books of up to 100 names and with a factor-model covariance above that.
• Maximum |beta| is the absolute slope of the proxy return series regressed on the benchmark index over the same window.

A limit is judged only when the figure is on the same horizon, so a book with weekly or monthly returns marks the daily limits unavailable instead of comparing them.

Coverage

Names without enough return history cannot be modeled. The engine rescales the modeled names to the entered gross, so exposure, concentration and return-based figures then describe a substituted book. Decision Review withholds those checks until coverage is complete and still judges maximum position and turnover, which come from the entered positions. The complete coverage limit lets a policy require full coverage. A standing monitor keeps judging the modeled subset and says what it measured, because silence there would hide a breach.

Pass, breach and unavailable

A maximum passes at or below its threshold, and minimum effective positions passes at or above it. A check is unavailable when its figure cannot be computed or is on the wrong basis. A policy breaches if any check breaches, is not fully evaluable if none breaches but any is unavailable, and passes otherwise.