# Value at Risk Calculator (VaR)

URL: https://speedycalculator.com/calculators/finance/var/
Last updated: 2026-10-25

> The value at risk calculator estimates the maximum loss a portfolio should not exceed with a given confidence over a time horizon, using the parametric (variance-covariance) method with the expected return and volatility.

## Inputs

- Portfolio value
- Annual standard deviation (volatility) (%)
- Expected annual return (%)
- Time horizon (trading days)
- Confidence level

## Results

- Value at risk
- VaR as a share of the portfolio
- 10-day VaR at the same confidence

## Formula

```
VaR = portfolio value × (Z × σ × √(days ÷ 252) − μ × days ÷ 252)
Z = 1.645 (95%), 2.326 (99%)
```

## Explanation

A one-day 95% VaR of $20,000 means that on 19 days out of 20 losses should be smaller than $20,000. VaR says nothing about how bad the worst days can be – real returns have fatter tails than the normal distribution assumes.

### How to use the Value at Risk Calculator

- **Portfolio value**
- **Annual standard deviation (volatility)**
- **Expected annual return**
- **Time horizon**
- **Confidence level**

Results update as you type, and every field accepts the units shown in its menu.

### How it works

Enter the portfolio value, annual volatility, expected annual return, the time horizon in trading days and the confidence level.

### Tips

- Use the nominal annual rate and pick the compounding frequency your bank or broker states.
- Small differences in return or fees compound into large differences over decades.
- Run the calculation with a cautious, a central and an optimistic return to see the range of outcomes.
- Past returns do not guarantee future returns – nothing here is investment advice.

### Common mistakes to avoid

- Comparing an APR with an APY or effective rate.
- Ignoring inflation, taxes and fees when judging a real return.
- Entering a percentage as a decimal (5 instead of 0.05 is correct here).

### Inputs explained

FieldWhat to enterPortfolio valueAmount in your currencyAnnual standard deviation (volatility)In %Expected annual returnIn %Time horizonIn trading daysConfidence levelChoose one: 90%, 95%, 97.5%, 99% …

### What each result means

- **Value at risk** = max([Portfolio value]×([Confidence level]×[Annual standard deviation (volatility)]÷100×sqrt([Time horizon]÷252) - [Expected annual return]÷100×[Time horizon]÷252), 0)
- **VaR as a share of the portfolio** = [Value at risk]÷[Portfolio value]×100
- **10-day VaR at the same confidence** = max([Portfolio value]×([Confidence level]×[Annual standard deviation (volatility)]÷100×sqrt(10÷252) - [Expected annual return]÷100×10÷252), 0)

### Example values

How the main result changes when **Portfolio value** changes and everything else stays at the example values above:

Portfolio valueValue at risk500,00010,203.8750,00015,305.691,000,00020,407.591,250,00025,509.491,500,00030,611.392,000,00040,815.18

## Worked example

Inputs — Portfolio value: $1,000,000; Annual standard deviation (volatility): 20 %; Expected annual return: 8 %; Time horizon: 1 trading days; Confidence level: 95%.

Results — **Value at risk = $20,407.59**; VaR as a share of the portfolio = 2.04 %; 10-day VaR at the same confidence = $62,363.77.

## FAQ

**What does VaR mean?**
The loss level that should not be exceeded with a given confidence over a period.

**How do I scale one-day VaR?**
Multiply by the square root of the number of days (ignoring drift).

**What are VaR's limitations?**
It assumes normal returns and says nothing about losses beyond the threshold.

**What formula does the Value at Risk Calculator use?**
VaR = portfolio value × (Z × σ × √(days ÷ 252) − μ × days ÷ 252).