VAR - short positions

[Bilal]

kys916 wrote:
Even long short normally won’t be Normally distrubed. Say you have a good manager with Average Alpha of one. Max Alpha of 2 and Max lost of -2. If they mostly get Alpha (average/mean = 1). The skewed to the left, which destroys the normality assumption.

I dont think it will be that complicated.. they usually state if its a long position .. or long position backed up by a put option. So if its a long position then var would be okay however adding a put would breach the normality assumption.