Value at risk
Parametric, historical and seeded Monte-Carlo. 1-day and 10-day horizons at 95% and 99%.
Aegis calculates VaR, CVaR, factor exposure, concentration and stress results as positions change. It also includes portfolio optimisation, regime analysis and multi-strategy sleeves.
The same engine that runs on the homepage, against a real book rather than a demo basket. Every figure recomputes as positions change, and every one states its horizon and confidence.
Share of portfolio volatility, not of capital.
A breach is surfaced on the panel, not in a nightly report.
Illustrative figures for a sample 42-position book. These are not live market data. The signed-in engine runs on your own holdings.
Every metric below states its method, because a VaR figure without its method, horizon and confidence is not comparable to anything.
Parametric, historical and seeded Monte-Carlo. 1-day and 10-day horizons at 95% and 99%.
Expected loss in the tail beyond VaR, not just the threshold you are unlikely to sit exactly on.
Marginal contribution to volatility per name and component VaR. Sums to the portfolio figure exactly.
Market, momentum, quality, value and size exposures with the residual reported, not absorbed.
Effective number of positions from 1/HHI, reported as a number rather than a verdict.
Days to liquidate at a participation cap, per name and for the book.
Ex-ante against your chosen benchmark, with the active share that drives it.
Skew, excess kurtosis and a Cornish-Fisher adjusted VaR where the normal assumption breaks.
The same book priced under the regime the market is actually in.
Historical episodes and date-independent factor shocks, run on the current book. A dated replay is offered only when every holding traded through it; ineligible scenarios are withheld, never backfilled.
Each episode is stored as a factor return vector, so it applies to a book of any composition.
Current factor exposures are multiplied through the vector with residual risk handled separately.
Dated episodes are gated on listing dates. Ineligible ones are labelled, never approximated.
An efficient frontier plus one-click allocations, each scored against the book you already hold. Constraints are hard, not preferences.
Sleeve portfolios net exposures across strategies and risk-budget between them, so the aggregate is a real number rather than the sum of separately flattering ones.
There is no order path. Aegis measures the book; it never sends anything anywhere.
No recommendations or model portfolios sold as advice. It is measurement software.
Every figure states its method, horizon, confidence and as-of.
Available with your TradePolaris account. No order path, and nothing to uninstall.