Risk Management · Academic Finance

Value at Risk & Risk-Adjusted Return Calculator

Parametric VaR and conditional VaR at your chosen confidence level, alongside Sharpe and Sortino ratios, the standard risk toolkit for any portfolio.

Reading This Tool

How To Use This Calculator

Enter your portfolio's value, expected return and volatility, then pick a confidence level and time horizon.

Value at Risk answers "how much could I lose?" at a given confidence level; Conditional VaR (expected shortfall) answers "if I do exceed that, how bad does it typically get?", a more complete tail-risk number. The shaded curve shows the assumed return distribution for your horizon, with the VaR cutoff marked directly on it.

Your Inputs

Portfolio Value $500,000

Expected Annual Return 8.0%

Annual Volatility (σ) 18.0%

Downside Deviation (Annual) 12.0%

Risk-Free Rate 4.0%

Confidence Level

90% 95% 99%

Time Horizon

Uses the parametric (variance-covariance) method, which assumes normally distributed returns. Real returns typically have fatter tails than a normal distribution predicts, meaning actual extreme losses can exceed this estimate.

Tail Risk, This Horizon

Value at Risk (VaR)

Conditional VaR (Expected Shortfall)

VaR As % of Portfolio

0.0%

Sharpe Ratio

0.00

Sortino Ratio

0.00

Assumed Return Distribution, This Horizon

Probability Density VaR Cutoff

Sharpe and Sortino ratios use your inputs directly and aren't horizon-adjusted, they're meant as annual, standalone risk-adjusted return figures. This is a risk-sizing tool, not a substitute for a full historical or Monte Carlo simulation-based risk model.

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