For a simple equity portfolio, I need to compute historical 1-year simulation VaR with a "1-month horizon".
I imagine this means I need to compute the 1-month return of the portfolio at each point in my 1-year history, eg. what is the 1-month return on the 1st of January, on the 2nd of January, on the 3rd, 4th, etc. Is that correct?
And if yes, does it make sense to use a 22-day horizon to eliminate any silly biases such as some months having more work days than others? (I get the 22-day window because there are roughly 260 business days in a year, divide that by 12 to get roughly 22)