Value at risk (95%)
The loss that one session in twenty was worse than.
In the demo portfolio
-2.61%
How it is computed here
The 5th percentile of this portfolio's own daily returns, taken from history rather than from a normal distribution, and multiplied by today's market value.
Worked example
- The 1,561 daily returns are sorted from worst to best.
- The one at the 5% mark is -2.61%: on one day in twenty, it did at least that badly.
Demo portfolio: four invented companies, generated prices, measured by the real engine. Past returns do not predict future ones.
Where it misleads
It is where the bad cases begin, not the worst case. Reading it as a floor is the single most expensive misunderstanding in risk management.