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Relative VaR (UCITS)

Relative VaR is defined as the VaR of the UCITS divided by the VaR of a benchmark or a reference portfolio (i.e. a similar portfolio with no derivatives). This can be an actual benchmark  portfolio (such as an index) or a fictitious benchmark portfolio. The VaR on the UCITS portfolio should not exceed twice the VaR on a comparable benchmark portfolio.

Other UCITS related terms