A B C D E

1 Value at Risk - single security

2
3 Portfolio value $ 1,000,000
4 Expected volatility 30.50%
5 Time (days) 21
6 Confidence level 0.99
7 Stress event 2.33
8
9 VaR $ 204,825
 A B C D E
1 Value at Risk - two security
2
3 Portfolio value $ 1,000,000
4 Weight AAPL 50%
5 Weight GLD 50%
6 Expected volatility 0.141943056714
7 Time (days) 21
8 Confidence level 0.99
9 Stress event 2.33
10
11
12 VaR $ 95,323.11
Date AAPL Close AAPL %Change GLD Close GLD %Change
3/7/2018 175.03 125.72 Variance
3/8/2018 176.94 0.01085 125.42 -0.00239 St Dev
3/9/2018 179.98 0.01704 125.54 0.00096 Covariance
3/12/2018 181.72 0.00962 125.54 0.00000
3/13/2018 179.97 -0.00968 125.78 0.00191
3/14/2018 178.44 -0.00854 125.70 -0.00064
3/15/2018 178.65 0.00118 124.90 -0.00638
3/16/2018 178.02 -0.00353 124.60 -0.00240
3/19/2018 175.30 -0.01540 124.87 0.00216
3/20/2018 175.24 -0.00034 124.31 -0.00449
3/21/2018 171.27 -0.02292 126.48 0.01731
3/22/2018 168.85 -0.01423 125.98 -0.00396
3/23/2018 164.94 -0.02343 127.61 0.01286
3/26/2018 172.77 0.04638 128.28 0.00524
3/27/2018 168.34 -0.02598 127.49 -0.00618
3/28/2018 166.48 -0.01111 125.73 -0.01390
3/29/2018 167.78 0.00778 125.79 0.00048
4/2/2018 166.68 -0.00658 127.26 0.01162
4/3/2018 168.39 0.01021 126.30 -0.00757
4/4/2018 171.61 0.01894 126.45 0.00119
4/5/2018 172.80 0.00691 125.80 -0.00515
4/6/2018 168.38 -0.02591 126.39 0.00468
4/9/2018 170.05 0.00987 126.82 0.00340
4/10/2018 173.25 0.01864 127.12 0.00236
4/11/2018 172.44 -0.00469 128.11 0.00776
4/12/2018 174.14 0.00981 126.62 -0.01170
4/13/2018 174.73 0.00338 127.45 0.00653
4/16/2018 175.82 0.00622 127.63 0.00141
4/17/2018 178.24 0.01367 127.75 0.00094
4/18/2018 177.84 -0.00225 127.85 0.00078
4/19/2018 172.80 -0.02875 127.60 -0.00196
4/20/2018 165.72 -0.04184 126.63 -0.00763
4/23/2018 165.24 -0.00290 125.62 -0.00801
4/24/2018 162.94 -0.01402 126.23 0.00484
4/25/2018 163.65 0.00435 125.41 -0.00652
4/26/2018 164.22 0.00348 124.97 -0.00351
4/27/2018 162.32 -0.01164 125.50 0.00423
4/30/2018 165.26 0.01795 124.59 -0.00728
5/1/2018 169.10 0.02297 123.71 -0.00709
5/2/2018 176.57 0.04323 123.65 -0.00049
5/3/2018 176.89 0.00181 124.28 0.00508
 5/4/2018 183.83 0.03848 124.54 0.00209
5/7/2018 185.16 0.00721 124.57 0.00024
5/8/2018 186.05 0.00480 124.59 0.00016
5/9/2018 187.36 0.00702 124.33 -0.00209
5/10/2018 190.04 0.01420 125.18 0.00681
5/11/2018 188.59 -0.00766 125.00 -0.00144
5/14/2018 188.15 -0.00234 124.49 -0.00409
5/15/2018 186.44 -0.00913 122.48 -0.01628
5/16/2018 188.18 0.00929 122.29 -0.00155
5/17/2018 186.99 -0.00634 122.36 0.00057
5/18/2018 186.31 -0.00364 122.41 0.00041
5/21/2018 187.63 0.00706 122.48 0.00057
5/22/2018 187.16 -0.00251 122.41 -0.00057
5/23/2018 188.36 0.00639 122.54 0.00106
5/24/2018 188.15 -0.00112 123.59 0.00853
5/25/2018 188.58 0.00228 123.21 -0.00308
5/29/2018 187.90 -0.00361 123.19 -0.00016
5/30/2018 187.50 -0.00213 123.37 0.00146
5/31/2018 186.87 -0.00337 123.10 -0.00219
6/1/2018 190.24 0.01787 122.49 -0.00497
6/4/2018 191.83 0.00832 122.37 -0.00098
6/5/2018 193.31 0.00769 122.85 0.00391
6/6/2018 193.98 0.00346 122.92 0.00057
6/7/2018 193.46 -0.00268 122.86 -0.00049
6/8/2018 191.70 -0.00914 123.01 0.00122
6/11/2018 191.23 -0.00245 123.23 0.00179
6/12/2018 192.28 0.00548 122.82 -0.00333
6/13/2018 190.70 -0.00825 123.19 0.00301
6/14/2018 190.80 0.00052 123.38 0.00154
6/15/2018 188.84 -0.01033 121.34 -0.01667
6/18/2018 188.74 -0.00053 121.11 -0.00190
6/19/2018 185.69 -0.01629 120.80 -0.00256
6/20/2018 186.50 0.00435 120.26 -0.00448
6/21/2018 185.46 -0.00559 120.05 -0.00175
6/22/2018 184.92 -0.00292 120.34 0.00241
6/25/2018 182.17 -0.01498 119.89 -0.00375
6/26/2018 184.43 0.01233 119.26 -0.00527
6/27/2018 184.16 -0.00146 118.58 -0.00572
6/28/2018 185.50 0.00725 118.22 -0.00304
6/29/2018 185.11 -0.00210 118.65 0.00363
7/2/2018 187.18 0.01112 117.46 -0.01008
7/3/2018 183.92 -0.01757 118.65 0.01008
 7/5/2018 185.40 0.00801 119.05 0.00337
7/6/2018 187.97 0.01377 118.86 -0.00160
7/9/2018 190.58 0.01379 119.15 0.00244
7/10/2018 190.35 -0.00121 118.93 -0.00185
7/11/2018 187.88 -0.01306 117.64 -0.01091
7/12/2018 191.03 0.01663 118.13 0.00416
7/13/2018 191.33 0.00157 117.61 -0.00441
7/16/2018 190.91 -0.00220 117.55 -0.00051
7/17/2018 191.45 0.00282 116.28 -0.01086
7/18/2018 190.40 -0.00550 116.31 0.00026
7/19/2018 191.88 0.00774 115.81 -0.00431
7/20/2018 191.44 -0.00230 116.56 0.00646
7/23/2018 191.61 0.00089 116.00 -0.00482
7/24/2018 193.00 0.00723 116.04 0.00034
7/25/2018 194.82 0.00939 116.68 0.00550
7/26/2018 194.21 -0.00314 115.77 -0.00783
7/27/2018 190.98 -0.01677 115.83 0.00052
7/30/2018 189.91 -0.00562 115.65 -0.00156
7/31/2018 190.29 0.00200 115.99 0.00294
8/1/2018 201.50 0.05724 115.14 -0.00736
8/2/2018 207.39 0.02881 114.52 -0.00540
8/3/2018 207.99 0.00289 114.92 0.00349
8/6/2018 209.07 0.00518 114.33 -0.00515
8/7/2018 207.11 -0.00942 114.59 0.00227
8/8/2018 207.25 0.00068 114.91 0.00279
8/9/2018 208.88 0.00783 114.74 -0.00148
8/10/2018 207.53 -0.00648 114.69 -0.00044
8/13/2018 208.87 0.00644 112.96 -0.01520
8/14/2018 209.75 0.00420 113.07 0.00097
8/15/2018 210.24 0.00233 111.19 -0.01677
8/16/2018 213.32 0.01454 111.10 -0.00081
8/17/2018 217.58 0.01977 112.13 0.00923
8/20/2018 215.46 -0.00979 112.69 0.00498
8/21/2018 215.04 -0.00195 113.02 0.00292
8/22/2018 215.05 0.00005 113.27 0.00221
8/23/2018 215.49 0.00204 112.20 -0.00949
8/24/2018 216.16 0.00310 114.16 0.01732
8/27/2018 217.94 0.00820 114.59 0.00376
8/28/2018 219.70 0.00804 113.68 -0.00797
8/29/2018 222.98 0.01482 114.20 0.00456
8/30/2018 225.03 0.00915 113.64 -0.00492
8/31/2018 227.63 0.01149 113.51 -0.00114
 9/4/2018 228.36 0.00320 112.93 -0.00512
9/5/2018 226.87 -0.00655 113.32 0.00345
9/6/2018 223.10 -0.01676 113.54 0.00194
9/7/2018 221.30 -0.00810 113.23 -0.00273
9/10/2018 218.33 -0.01351 113.15 -0.00071
9/11/2018 223.85 0.02497 113.22 0.00062
9/12/2018 221.07 -0.01250 114.17 0.00836
9/13/2018 226.41 0.02387 113.76 -0.00360
9/14/2018 223.84 -0.01142 113.02 -0.00653
9/17/2018 217.88 -0.02699 113.61 0.00521
9/18/2018 218.24 0.00165 113.44 -0.00150
9/19/2018 218.37 0.00060 113.88 0.00387
9/20/2018 220.03 0.00757 114.27 0.00342
9/21/2018 217.66 -0.01083 113.49 -0.00685
9/24/2018 220.79 0.01428 113.47 -0.00018
9/25/2018 222.19 0.00632 113.65 0.00159
9/26/2018 220.42 -0.00800 113.05 -0.00529
9/27/2018 224.95 0.02034 112.05 -0.00888
9/28/2018 225.74 0.00351 112.76 0.00632
10/1/2018 227.26 0.00671 112.57 -0.00169
10/2/2018 229.28 0.00885 113.87 0.01148
10/3/2018 232.07 0.01210 113.42 -0.00396
10/4/2018 227.99 -0.01774 113.48 0.00053
10/5/2018 224.29 -0.01636 113.80 0.00282
10/8/2018 223.77 -0.00232 112.54 -0.01113
10/9/2018 226.87 0.01376 112.60 0.00053
10/10/2018 216.36 -0.04743 112.88 0.00248
10/11/2018 214.45 -0.00887 115.78 0.02537
10/12/2018 222.11 0.03510 115.23 -0.00476
10/15/2018 217.36 -0.02162 116.00 0.00666
10/16/2018 222.15 0.02180 115.80 -0.00173
10/17/2018 221.19 -0.00433 115.79 -0.00009
10/18/2018 216.02 -0.02365 115.92 0.00112
10/19/2018 219.31 0.01512 116.01 0.00078
10/22/2018 220.65 0.00609 115.71 -0.00259
10/23/2018 222.73 0.00938 116.39 0.00586
10/24/2018 215.09 -0.03490 116.66 0.00232
10/25/2018 219.80 0.02166 116.40 -0.00223
10/26/2018 216.30 -0.01605 116.77 0.00317
10/29/2018 212.24 -0.01895 116.31 -0.00395
10/30/2018 213.30 0.00498 115.80 -0.00439
10/31/2018 218.86 0.02573 115.15 -0.00563
 11/1/2018 222.22 0.01524 116.63 0.01277
11/2/2018 207.48 -0.06863 116.65 0.00017
11/5/2018 201.59 -0.02880 116.37 -0.00240
11/6/2018 203.77 0.01076 116.04 -0.00284
11/7/2018 209.95 0.02988 116.03 -0.00009
11/8/2018 208.49 -0.00698 115.78 -0.00216
11/9/2018 204.47 -0.01947 114.48 -0.01129
11/12/2018 194.17 -0.05169 113.66 -0.00719
11/13/2018 192.23 -0.01004 113.70 0.00035
11/14/2018 186.80 -0.02865 114.64 0.00823
11/15/2018 191.41 0.02438 114.77 0.00113
11/16/2018 193.53 0.01101 115.62 0.00738
11/19/2018 185.86 -0.04044 115.67 0.00043
11/20/2018 176.98 -0.04896 115.67 0.00000
11/21/2018 176.78 -0.00113 115.86 0.00164
11/23/2018 172.29 -0.02573 115.77 -0.00078
11/26/2018 174.62 0.01343 115.64 -0.00112
11/27/2018 174.24 -0.00218 114.95 -0.00598
11/28/2018 180.94 0.03773 115.38 0.00373
11/29/2018 179.55 -0.00771 115.74 0.00312
11/30/2018 178.58 -0.00542 115.54 -0.00173
12/3/2018 184.82 0.03435 116.41 0.00750
12/4/2018 176.69 -0.04499 117.12 0.00608
12/6/2018 174.72 -0.01121 117.14 0.00017
12/7/2018 168.49 -0.03631 118.09 0.00808
12/10/2018 169.60 0.00657 117.68 -0.00348
12/11/2018 168.63 -0.00574 117.54 -0.00119
12/12/2018 169.10 0.00278 117.79 0.00212
12/13/2018 170.95 0.01088 117.53 -0.00221
12/14/2018 165.48 -0.03252 117.06 -0.00401
12/17/2018 163.94 -0.00935 117.87 0.00690
12/18/2018 166.07 0.01291 118.15 0.00237
12/19/2018 160.89 -0.03169 117.43 -0.00611
12/20/2018 156.83 -0.02556 119.24 0.01530
12/21/2018 150.73 -0.03967 118.72 -0.00437
12/24/2018 146.83 -0.02621 120.02 0.01089
12/26/2018 157.17 0.06805 119.66 -0.00300
12/27/2018 156.15 -0.00651 120.57 0.00758
12/28/2018 156.23 0.00051 121.06 0.00406
12/31/2018 157.74 0.00962 121.25 0.00157
1/2/2019 157.92 0.00114 121.33 0.00066
1/3/2019 142.19 -0.10492 122.43 0.00903
 1/4/2019 148.26 0.04180 121.44 -0.00812
1/7/2019 147.93 -0.00223 121.86 0.00345
1/8/2019 150.75 0.01888 121.53 -0.00271
1/9/2019 153.31 0.01684 122.31 0.00640
1/10/2019 153.80 0.00319 121.59 -0.00590
1/11/2019 152.29 -0.00987 121.80 0.00173
1/14/2019 150.00 -0.01515 122.09 0.00238
1/15/2019 153.07 0.02026 121.88 -0.00172
1/16/2019 154.94 0.01214 122.27 0.00319
1/17/2019 155.86 0.00592 122.11 -0.00131
1/18/2019 156.82 0.00614 121.02 -0.00897
1/22/2019 153.30 -0.02270 121.45 0.00355
1/23/2019 153.92 0.00404 121.28 -0.00140
1/24/2019 152.70 -0.00796 121.09 -0.00157
1/25/2019 157.76 0.03260 122.86 0.01451
1/28/2019 156.30 -0.00930 123.29 0.00349
1/29/2019 154.68 -0.01042 123.98 0.00558
1/30/2019 165.25 0.06610 124.69 0.00571
1/31/2019 166.44 0.00718 124.75 0.00048
2/1/2019 166.52 0.00048 124.50 -0.00201
2/4/2019 171.25 0.02801 123.96 -0.00435
2/5/2019 174.18 0.01696 124.28 0.00258
2/6/2019 174.24 0.00034 123.44 -0.00678
2/7/2019 170.94 -0.01912 123.74 0.00243
2/8/2019 170.41 -0.00311 124.21 0.00379
2/11/2019 169.43 -0.00577 123.60 -0.00492
2/12/2019 170.89 0.00858 123.86 0.00210
2/13/2019 170.18 -0.00416 123.37 -0.00396
2/14/2019 170.80 0.00364 124.06 0.00558
2/15/2019 170.42 -0.00223 124.80 0.00595
2/19/2019 170.93 0.00299 126.70 0.01511
2/20/2019 172.03 0.00641 126.48 -0.00174
2/21/2019 171.06 -0.00565 125.05 -0.01137
2/22/2019 172.97 0.01110 125.50 0.00359
2/25/2019 174.23 0.00726 125.37 -0.00104
2/26/2019 174.33 0.00057 125.58 0.00167
2/27/2019 174.87 0.00309 124.69 -0.00711
2/28/2019 173.15 -0.00988 123.99 -0.00563
3/1/2019 174.97 0.01046 121.88 -0.01716
3/4/2019 175.85 0.00502 121.56 -0.00263
3/5/2019 175.53 -0.00182 121.72 0.00132
3/6/2019 174.52 -0.00577 121.61 -0.00090
3/7/2019 172.50 -0.01164 121.51 -0.00082
3/8/2019 172.91 0.00237 122.84 0.01089
AAPL GLD
0.0935 0.0092
0.30569798 0.0959
-0.0028