Value at Risk (VaR) estimates the maximum loss that a position can be expected to experience over a specified holding period and at a specified confidence level. Fundpeak uses a one-month holding period.
For example, if VaR at a 95% confidence level is -10%, 95% of the next monthly returns are expected to be better than -10%.
Available confidence levels
VaR Historical statistics are available with confidence levels of 90%, 95%, 97.5%, 99%, 99.5%, and 99.9%. The standard VaR Historical statistic uses 95%.
VaR can be calculated on a monthly or daily basis.
Continue your fund reporting workflow
This feature supports consistent fund performance reporting and automated factsheet updates. Continue with Add and configure statistics and Fund factsheet production software.