What is an excellent/good/poor return on VaR in commodity trading ?
For a proprietary book , what would an excellent/good/poor return on VaR be? Would a 10x return on VaR be a good return on an annual basis?
VaR isn't just a set number...... What time frame (daily, weekly, monthly etc) and what interval (90%, 95%, 99% etc) you're looking at decides the ratio.
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