Value at risk
Parametric, historical and seeded Monte Carlo at 1 and 10 days, 95% and 99%.
Aegis tracks VaR and CVaR, factor exposure, concentration, stress tests and limits on the book you hold, with an optimizer, regime analysis and multi-strategy sleeves.
Each figure states its horizon and confidence, and limit breaches show as positions change.
Share of portfolio volatility, not of capital.
Breaches show on the panel as positions change.
Illustrative figures for a sample 42-position book. These are not live market data. The signed-in engine runs on your own holdings.
A VaR without its method, horizon and confidence can't be compared with anyone else's.
Parametric, historical and seeded Monte Carlo at 1 and 10 days, 95% and 99%.
The expected loss beyond the VaR threshold, so you see how deep the tail goes.
Each name's marginal contribution to volatility, plus component VaR that sums to the portfolio figure.
Market, momentum, quality, value and size exposures, with the residual reported separately.
The effective number of positions (1/HHI), which shows how few names really drive the book.
Days to liquidate at a participation cap, per name and for the book.
Ex-ante, against your chosen benchmark, with the active share behind it.
Skew, excess kurtosis and a Cornish-Fisher adjusted VaR for when the normal assumption breaks.
The same book, priced for the regime the market is in now.
Run historical episodes and date-independent factor shocks on the current book.
Each episode is stored as a factor return vector, so it fits any book.
Current exposures run through the vector, with residual risk handled separately.
A dated replay runs only if every holding traded through it, and is never backfilled.
Every allocation is scored against your current book, and every constraint is a hard limit.
Sleeves net exposures and budget risk across strategies, so the total reflects how they combine.
Aegis has no way to place an order, so nothing is ever sent anywhere.
It doesn't sell recommendations or model portfolios as advice.
Every figure states its method, horizon, confidence and as-of.