use negative zscore to flip the sign on VaR

portfoliotree · Sep 3, 2024 · 9e30f9a · 9e30f9a
1 parent 00d8b89
commit 9e30f9a
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Showing 2 changed files with 2 additions and 2 deletions.
diff --git a/calculate/stats.go b/calculate/stats.go
@@ -73,7 +73,7 @@ func ValueAtRisk(values []float64, portfolioValue, confidenceLevel, periodsPerYe
 		Sigma: 1.0,
 	}
 	zScore := normal.Quantile(confidenceLevel)
-	return portfolioValue * zScore * AnnualizeRisk(stat.PopStdDev(values, nil), periodsPerYear)
+	return portfolioValue * -zScore * AnnualizeRisk(stat.PopStdDev(values, nil), periodsPerYear)
 }
 
 func negativeValues(out, in []float64) []float64 {

diff --git a/calculate/stats_test.go b/calculate/stats_test.go
@@ -86,7 +86,7 @@ func TestMetrics(t *testing.T) {
 			confidenceLevel = 0.95
 		)
 		result := ValueAtRisk(portfolio, portfolioValue, confidenceLevel, PeriodsPerYear)
-		assert.InDelta(t, 2148.94, result, 0.01)
+		assert.InDelta(t, -2148.94, result, 0.01)
 	})
 }