Question: Using the following data table to answer questions 5-6. We have built a passive equity portfolio that is tracking the Shanghai Composite (SHCOMP INDEX). Examining

Using the following data table to answer questions 5-6. We have built a passive equity portfolio that is tracking the Shanghai Composite (SHCOMP INDEX). Examining the historical the historical data we develop the following data table: Monthly Sid Dev 6.75% Confidence Interval 99% 95% Monthly VaR 15.70% 11.10% 5. What is the annualized VaR at the 95% confidence interval? 54.40% 38.46% 248.28% 175.55% 6. Assuming a portfolio of $17,650,000 what would be your SVaR for a year with only a 1% probability of your losses exceeding this value? 54.272,660.58 56,786,694.68 57,909,216,44 59,599,198.78

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