tozerrt wrote:
^^Sure you can – just annualize the VaR for Managers 2 and 3.
The fact that Vicky finds these relatively simple questions “tough” is a bad sign for him, but a good one for you.
Answer to the question is that nothing can be said for sure. The returns and standard deviation of return for the managers are unknown. It can happen that Manager C has taken a short position in a risk-free security. In that case, his annual VAR will be 52 times 480 i.e. 27,840 and that would be greater than the annual VAR of Manager A and Manager B. And VAR of Manager C could be least of all as well if he had taken a long position in a risky position as the standard deviation won’t increase linearly but it will be weekly standard deviation*(52)^0.5 whereas the return will increase at a linear rate. Many candidates make the silly mistake of converting monthly VAR to annual VAR just by multiplying it by (12)^0.5. But that is almost always a wrong way. Annual VAR will depend on the return and the standard deviation of return.
@tozerrt - I also solved it in the same manner just like you only
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