Is VaR by itself a good performance measure?
VaR depends on the model used to calculate it, as well as user inputs such as Confidence Interval. There are a lot of caveats in interpreting VaR values, and some criticism from the academic community has been recently published. However, when used in conjunction with other performance measures it can be a good indicator of the over health of your position. Portfolio Value at Risk is one of the components of our five star optimization technique.
