I did a Monte Carlo simulation to evaluate my portfolio. I used different Strikes and Weights for the Put options. Now to my problem: All statistical measures (like expected return, volatility) decrease if I put more weight in my put option. This makes sense, however the Value at Risk doesnt align! Since I am basically capping my tail risk, I would expect VaR to decrease as well. However for certain Strike prices as I increase the weight invested in my put, VaR increases as well. (see the table below)
Does this make sense?