The formula to calculate the Value at Risk (VaR) is:
\[ \text{VaR} = \left[ \text{ER} - \left( \text{Z-score} \times \sqrt{\text{days}} \times \text{SD} \right) \right] \times \text{PV} \]
Let's calculate the 5% VaR for Fund Alpha:
Using the formula:
\[ \text{VaR} = \left[ 10\% - \left( 1.645 \times \sqrt{182.5} \times 0.6\% \right) \right] \times 1,000,000 \approx 33,380 \]