Risk Monitoring & Drawdown Control

Apex Capital Partners • NAV $890M • As of Dec 18, 2024

VaR Utilization (1-Day 95%)
78%
↑ 26pp vs. 3M ago
$9.36M / $12M Limit
CVaR / VaR Ratio (99% / 10-Day)
1.97x
⚠ Above 1.8x threshold
CVaR $18.4M
Liquidity Coverage Ratio
2.1x
Healthy
vs. 1.5x minimum
Equity-Bond Correlation (30D)
+0.12
⚠ First positive since 2022
Rolling 30-day avg
Gross Leverage Ratio
1.34x
↑ 0.08x vs. 1M
Limit 1.5x (11% headroom)
Largest Counterparty Exposure
17.3%
Goldman Sachs
vs. 20% single-name limit

VaR Utilization Trend & Limit Band (90 Days)

Stress Test Scenario P&L

Beta-Adjusted Market Exposure

Net Delta-Adjusted Equity Beta to S&P 500
0.43
Long Equity Beta: 0.68
Short Equity Beta: -0.25
Net Directional Exposure: $383M

Cross-Asset Correlation Matrix (30-Day Rolling)

US Equity
US Bond
EM Equity
Commodities
Credit
FX
US Equity
1.00
0.12
0.78
0.34
0.67
-0.21
US Bond
0.12
1.00
-0.15
-0.28
0.23
0.19
EM Equity
0.78
-0.15
1.00
0.51
0.72
-0.33
Commodities
0.34
-0.28
0.51
1.00
0.29
-0.42
Credit
0.67
0.23
0.72
0.29
1.00
-0.18
FX
-0.21
0.19
-0.33
-0.42
-0.18
1.00
⚠ US Equity-Bond correlation turned positive — first time since 2022 rate shock

Leverage Monitor

Current: 1.34x | Limit: 1.5x

Greeks Summary

Delta: +$2.3M
Gamma: +$127K
Vega: -$1.8M
Theta: +$34K/day
Net Options Notional: $156M

Counterparty Exposure

Rolling Equity-Bond Correlation

12-Month Daily

Position Risk Decomposition (Top 10 by Marginal Risk)

Ticker Name Weight % Marginal VaR % of Total
MSFTMicrosoft Corp4.2%$1.14M12.2%
AAPLApple Inc3.8%$0.97M10.4%
SPYSPDR S&P 500 ETF6.1%$0.89M9.5%
NVDANVIDIA Corp2.1%$0.76M8.1%
TLTiShares 20+ Yr Bond-3.4%$0.68M7.3%
GOOGLAlphabet Inc2.9%$0.54M5.8%
EEMiShares MSCI EM ETF3.2%$0.51M5.4%
METAMeta Platforms1.8%$0.47M5.0%
GLDSPDR Gold Shares2.7%$0.39M4.2%
HYGiShares HY Corp Bond4.3%$0.36M3.8%

Daily Risk Pack Summary

Period VaR (1D 95%) CVaR (10D 99%) Utilization Gross Leverage LCR Largest Cpty
Today $9.36M $18.4M 78% 1.34x 2.1x 17.3%
1W Ago $8.92M $17.1M 74% 1.31x 2.3x 16.8%
1M Ago $7.84M $14.2M 65% 1.26x 2.4x 15.9%
Qtr Start $6.24M $10.8M 52% 1.18x 2.7x 14.2%