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Risk report produced on 27/10/2023 22:47
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Total risk across all strategies, annualised percentage 32.6
Percentage of capital used for margin 77.5%
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Risk per strategy, annualised percentage
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risk
fsb_static_strategy_v5_1 32.1
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Risk by asset class
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Ags 5.6
Bond 13.1
Equity 7.6
FX 8.3
Metals 8.9
OilGas 9.9
dtype: float64
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Beta loadings of asset class positions on asset class
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Bond -1.63
Equity -0.50
Metals -0.38
OilGas -0.03
Ags 0.18
FX 0.39
dtype: float64
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Beta loadings of full portfolio positions on asset class
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Bond -2.40
Equity -1.03
Metals -0.74
OilGas -0.08
Ags 0.15
FX 0.33
dtype: float64
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FSB Instrument risk
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daily_price_stdev annual_price_stdev price daily_perc_stdev annual_perc_stdev point_size_base min_bet_exposure daily_risk_per_min_bet annual_risk_per_min_bet position capital exposure_held_perc_capital annual_risk_perc_capital
US10_fsb 48.381 774.103 10643.75 0.45 7.3 0.5 5321 24 387 -9.61 36377 -140.6 -10.2
GAS_US_fsb 124.573 1993.172 3465.00 3.60 57.5 0.5 1732 62 996 -3.32 36377 -15.8 -9.1
PALLAD_fsb 29.303 468.851 1129.50 2.59 41.5 2.0 2259 58 937 -2.11 36377 -13.1 -5.4
COPPER_fsb 423.859 6781.749 36395.00 1.16 18.6 0.1 3639 42 678 -2.88 36377 -28.8 -5.4
NASDAQ_fsb 178.043 2848.688 14233.75 1.25 20.0 0.5 7116 89 1424 -1.12 36377 -21.9 -4.4
SMI_fsb 87.514 1400.225 10288.00 0.85 13.6 0.5 5144 43 700 -2.17 36377 -30.7 -4.2
BUND_fsb 71.899 1150.391 12886.00 0.56 8.9 0.5 6443 35 575 -2.11 36377 -37.4 -3.3
NZD_fsb 36.704 587.258 5813.00 0.63 10.1 1.0 5813 36 587 -1.87 36377 -29.9 -3.0
LEANHOG_fsb 145.112 2321.790 7042.50 2.06 33.0 0.1 704 14 232 0.48 36377 0.9 0.3
SOYOIL_fsb 110.429 1766.862 5223.00 2.11 33.8 1.0 5223 110 1766 1.15 36377 16.5 5.6
DX_fsb 41.138 658.214 10638.00 0.39 6.2 0.5 5319 20 329 6.35 36377 92.8 5.7
BRENT_W_fsb 196.418 3142.695 8988.00 2.19 35.0 1.0 8988 196 3142 0.80 36377 19.8 6.9
Sum of abs(notional exposure % capital) 448.2
Sum of abs(annualised risk % capital) 63.5
Net sum of annualised risk % capital -26.5
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Correlations
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COPPER_fsb NZD_fsb PALLAD_fsb BUND_fsb NASDAQ_fsb SMI_fsb US10_fsb BRENT_W_fsb GAS_US_fsb LEANHOG_fsb SOYOIL_fsb DX_fsb
COPPER_fsb 1.00 0.51 0.34 0.12 0.31 0.29 0.14 0.31 0.00 0.08 0.17 -0.51
NZD_fsb 0.51 1.00 0.41 0.33 0.51 0.39 0.48 0.11 0.25 0.13 -0.01 -0.75
PALLAD_fsb 0.34 0.41 1.00 0.22 0.14 0.10 0.23 0.22 0.10 -0.02 0.03 -0.31
BUND_fsb 0.12 0.33 0.22 1.00 0.34 0.32 0.82 -0.29 0.04 0.02 -0.25 -0.38
NASDAQ_fsb 0.31 0.51 0.14 0.34 1.00 0.56 0.30 0.03 0.14 0.08 0.09 -0.47
SMI_fsb 0.29 0.39 0.10 0.32 0.56 1.00 0.21 0.01 0.17 0.23 0.00 -0.30
US10_fsb 0.14 0.48 0.23 0.82 0.30 0.21 1.00 -0.22 0.14 0.04 -0.30 -0.61
BRENT_W_fsb 0.31 0.11 0.22 -0.29 0.03 0.01 -0.22 1.00 0.26 0.03 0.29 -0.02
GAS_US_fsb 0.00 0.25 0.10 0.04 0.14 0.17 0.14 0.26 1.00 0.15 0.02 -0.16
LEANHOG_fsb 0.08 0.13 -0.02 0.02 0.08 0.23 0.04 0.03 0.15 1.00 0.17 -0.09
SOYOIL_fsb 0.17 -0.01 0.03 -0.25 0.09 0.00 -0.30 0.29 0.02 0.17 1.00 0.06
DX_fsb -0.51 -0.75 -0.31 -0.38 -0.47 -0.30 -0.61 -0.02 -0.16 -0.09 0.06 1.00
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END OF REPORT
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