#### monsieuruzairo3

##### Member

I came across the following question

Tim Jones is evaluating two mutual funds for an investment of $100,000. Mutual fund A has $20,000,000 in

assets, an annual expected return of 14 percent, and an annual standard deviation of 19 percent. Mutual fund B

has $8,000,000 in assets, an annual expected return of 12 percent, and an annual standard deviation of 16.5

percent. What is the daily value at risk (VAR) of Jones’ portfolio at a 5 percent probability if he invests his money

in mutual fund A?

A) $1,668.

B) $13,344.

C) $38,480.

D) $1,924.

Now my approach was

1) calculate Annual Var = 100,000 (-0.14 + 1.65*0.19)= 17,350

2) scale to Daily var = 17,350/sqrt(250) = 1,097.31

I am surprised that my answer does not even match closely with any one of the options. In your opinion, am I missing a trick here?

KR

Uzi