Value-at-Risk (VaR) — An estimate of how much a portfolio could lose over a given period at a given confidence level. Standard reporting: 95% VaR over 1 day.
95% 1-day VaR of $10,000 on a $200,000 portfolio means there's a 95% chance daily losses will be less than $10,000 — and a 5% chance of losing more than that.
Computed via three methods on every IndexAlpha portfolio: historical simulation, parametric (Cornish-Fisher), and Monte Carlo. The three numbers are surfaced together so you see the methodology agreement.
The Value-at-Risk (VaR) metric shows up on every IndexAlpha research page. See it now on SPY — or research any stock to view its Value-at-Risk (VaR).
An estimate of how much a portfolio could lose over a given period at a given confidence level. Standard reporting: 95% VaR over 1 day.
Computed via three methods on every IndexAlpha portfolio: historical simulation, parametric (Cornish-Fisher), and Monte Carlo. The three numbers are surfaced together so you see the methodology agreement.