CVAR

Exhibit 2

Portfolio Characteristics

Notes:

· One-year horizon 99% VaR: the lowest return over any one-year period at a 99% confidence level

· One-year horizon 99% CVaR: the expected return if the return falls below the 99% VaR threshold

· Probability of loss of purchasing power: After considering the new gifts, fund expenditures and total returns received by the fund, the probability of a 40% loss of the purchasing power of the fund over 10 years

According to Exhibit 2, given the three goals proposed by the manager, which alternative portfolio should Johnson recommend for the fund?

你好，能否再帮我解释下VAR和CVAR的含义