Dear all,
 
I tried to calculate the VaR of a multi-assets portfolio. I have the historical data of the assets and their weights in the portfolio. My impression is that the Performance Analytics Package calculate only the VaR of each asset. Not the VaR of the portfolio. But, when I use fPortfolio Package, I have the VaR (Historical simulation) of the portfolio. Could you confirm my first impression or indicate me how to calculate the VaR of this portfolio with the Performance Analytics Package. Thanks for your help.
Fabrice
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