I will in this worksheet first of all show that a portfolio's VaR is a function of the portfolio variance but also the portfolio expected return.I will then show that a simple diversified 50% bond and 50% momentum strategy can explains a lot of the portfolio returns. The universe consists of 23 global stockmarket indicies.Such universe is very small but it still manage to produce attractive returns which is good news for a disciplined small time investor.
marcus .