using VAR = portfolio value * [return on portfolio - ((z score)(std dev))] for 1% level use z = 2.33 for 5% level use z = 1.65 i understand why you divide the return by 12, but why do you divide the std dev by the square root of 12?

I think it is becuase variance is time scalable not standard deviation. So since you are working with the sq root of variance you need to work with the square root of time. I could be wrong. I just memorized it.

1morelevel Wrote: ------------------------------------------------------- > I think it is becuase variance is time scalable > not standard deviation. So since you are working > with the sq root of variance you need to work with > the square root of time. I could be wrong. I > just memorized it. Excellent point.

yeah that makes sense - thanks