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.