Deutsche Fassung
Risk & loss

Value at risk and CVaR

Value at risk quantifies how bad an ordinary bad day looks. With a VaR 95 % of 2 %, the daily loss stays below 2 % on 95 out of 100 trading days. What happens on the other 5 % it does not say. CVaR answers that.

What does your bad day look like?1.9% per day
Calm profile
Typical for portfolios with a large bond or money market allocation. On 10,000 € that is under 100 € on a bad day.
Balanced portfolio
The usual range for portfolios of equities and bonds. On 10,000 € that is 100 to 200 € on a bad day.
Equity-typical
Where broadly diversified equity portfolios sit. On roughly one trading day in twenty, the loss runs higher than this.
Markedly elevated
Common for single stocks, crypto or leveraged products. Check whether a few positions drive the number, and what the matching CVaR looks like.

How it is calculated

VaR 95 % = 5th percentile of daily returns (historical)

A portfolio has 500 trading days of history. Sorting every daily return by size, 25 days fall below the 5th percentile. The value at that boundary is the VaR.

Trading days
500
Worst 5 %
25 days
Value at boundary
−1.9 %
VaR 95 %
1.9 %

What the number does not tell you

  • It describes precisely the days that hurt least well. VaR is a threshold, not an expected value. Whether a 3 % or a 25 % loss hides behind the worst 5 % stays open. CVaR closes that gap by averaging those very days, which is why it always sits above VaR.
  • The parametric version flatters. Derived from a normal distribution instead of real trading days, the figure comes out too low in calm phases. A wide gap between historical and parametric VaR means your history held more extreme days than theory expects.
  • One day is not one month. A daily VaR cannot simply be scaled up. Losses cluster in crises rather than spreading evenly. Longer horizons need a separately calculated monthly VaR.
  • It only knows the past. A window without a crisis delivers a harmless VaR. That is a statement about the window, not about the portfolio.

Related metrics

VolatilityHow widely the portfolio value swings, in percent per year.Maximum drawdownNot volatility, but the deepest decline actually endured.Stress testReal crisis windows applied to your current portfolio weights.Sortino ratioLike Sharpe, but counting downside volatility only.

How Evergrova calculates it

Performance & Risk shows VaR 95 % and CVaR 95 % in the metric band, with VaR 99 %, CVaR 99 % and the parametric variant in the detail section. The stress test adds a monthly VaR.

Data basis: historical quantile of daily returns over the selected window, horizon 1 trading day.

View the demo portfolio

Common questions

What is the difference between VaR 95 % and VaR 99 %?

Both answer the same question at different strictness. VaR 95 % describes the worst day in twenty, VaR 99 % the worst in a hundred. The 99 figure therefore always sits higher and statistically hits two to three days a year.

Why is CVaR always larger than VaR?

Because it averages exactly those days that lie beyond the VaR threshold. An average of values that all exceed a boundary must itself exceed that boundary.

Can I use VaR to estimate my maximum loss?

No. VaR is a daily figure with a probability attached, not a ceiling. For how deep a portfolio fell in a real crisis, maximum drawdown is the right number.

Last reviewed: 2026-08-08

This text is general information. It is neither investment advice nor a recommendation. Metrics describe past periods and allow no conclusion about future performance.