Portfolio Value at Risk

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Value at Risk (VaR) measures the estimated losses of the aggregate portfolio. It takes asset diversification into account. Our VaR measure is calculated from 50,000 random draws of daily return empirical simulation over a 30-day holding period. The 5% VaR level shows the estimated portfolio return at the worst 5th percentile performance at the end of the holding period, while the 1% VaR level shows the portfolio at the bottom 1st percentile performance. They reveal the downside tail risk of the portfolio. The Mean is the expected value of the portfolio over the holding period and the Standard Deviation represents the variation of returns.