Form Pf - Reporting Form For Investment Advisers To Private Funds And Certain Commodity Pool Operators And Commodity Trading Advisors Page 34
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64Page 23 of 43
Form PF
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Section 2b
Item C. Reporting fund risk metrics
40.
(a)
During the reporting period, did you regularly calculate the VaR of the reporting fund?
(Please respond without regard to whether you reported the result of this calculation
internally or to investors.)
Yes
No
(b)
If you responded “yes” to Question 40(a), provide the following information.
(If you regularly calculate the VaR of the reporting fund using multiple combinations of
confidence interval, horizon and historical observation period, complete a separate
response to this Question 40(b) for each such combination.)
Confidence interval used (e.g., 100%-alpha%) (as a percentage) ..........
(i)
(ii)
Time horizon used (in number of days) ...................................................
(iii) What weighting method was used to calculate VaR?
None
Exponential
Other:
(iv) If you responded “exponential” to Question 40(b)(iii), provide the
weighting factor used (as a decimal to two places) ..............................
(v)
What method was used to calculate VaR?
Historical simulation
Monte Carlo simulation
Parametric
Other:
(vi) Historical lookback period used (in number of years; enter “NA” if
none used) ................................................................................................
(vii) VaR at the end of the 1st month of the reporting period
(as a % of NAV) .......................................................................................
(viii) VaR at the end of the 2nd month of the reporting period
(as a % of NAV) .......................................................................................
(ix) VaR at the end of the 3rd month of the reporting period
(as a % of NAV) .......................................................................................
Are there any risk metrics other than (or in addition to) VaR that you consider to be important
41.
to the reporting fund's risk management?
(Select all that you consider relevant. Please respond without regard to whether you reported
the metric internally or to investors. If none, “None.”)
[drop-down of risk metrics]
Other:
42.
For each of the market factors identified below, determine the effect of the specified changes
on the reporting fund's portfolio and provide the results.
(You may omit a response to any market factor that you do not regularly consider in formal
testing in connection with the reporting fund’s risk management. If you omit any market
factor, check either the box in the first column indicating that you believe that this market
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