Evaluating Value at Risk in Portfolios

As part of his portfolio management strategy, a fund manager wants to assess the potential loss in value of his portfolio over a specified period of time under normal market conditions. He recalls that Value at Risk (VaR) is a widely used risk management tool that quantifies this potential loss.

The manager takes a look at three different portfolios with varying levels of risk exposure. Each of them has a different Value at Risk computed for the same time frame:

• Portfolio A: VaR of $10,000
• Portfolio B: VaR of $15,000
• Portfolio C: VaR of $25,000

Considering these VaR figures, which statement about these portfolios is true?