grharmeyer

var is a measure of loss. assuming all calculated at 5% Var
if return = 10%, std dev = 15%, Var = -14.74
if return = 20%, std dev = 15%, Var = -4.74 (little loss)
hence, if return increases all else equal, var decreases
if return = 10%, std dev = 15%, Var = -14.74
if return = 10%, std dev = 20%, Var = -23 (more loss)
therefore, if std dev increases, var increases