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

• Absolute VaR
• AIFMD
• Annex IV Reporting
• Back Testing
• Calmar ratio
• Commitment Approach
• Contribution to Potential Upside (or Component Potential Gain)
• Counterparty Risk
• CSSF
• DV01
• ESMA
• Event Risk
• Expected Shortfall (or Conditional VaR or CVar)
• Global Exposure
• KIID
• Management Company Passport
• Master Feeder structures
• MiFID
• Relative VaR (UCITS)
• SRRI (Synthetic Risk & Reward Indicator)
• Systematic Risk
• Undertakings for the Collective Investment of Transferable Securities (UCITS)
• Unsystematic Risk
• VaR approach