OIS Strategy: Daily Return and Value At Risk

The figure displays the evolution of the daily return of the FX demo portfolio in million USD. The cumulated return is shown here. The blue line indicates the 95% Value at Risk. It is fixed to 1 Million USD but may be less occasionally, if for some instruments the global investment limit is hit.

Compare with daily returns of the IR-strategy managed portfolio.

Since the 95% Value at Risk is fixed to 1 million USD, portfolio value and composition and the exposure vary over time.