Value At Risk Measure

The value at risk is a risk measure based on the probability distribution of security's prices or portfolio's market value. Unlike other measures such as the volatility, the value at risk measure cares about the direction of the portfolio or security.

The current value at risk function calculates a percentage that is the maximum percentage you can expect to lose on your investment over a period given a level of confidence.

If analysis is based on daily returns, the level of confidence is 99% and the function returns -1.5% then this means that you have 99% of not losing more than 1.5% on one single day (or 1% probably of losing more than 1.5% of your investment)

Note that this indicator requires the following function to be downloaded and installed first: NORMINV - Inverse of the Normal Cumulative Distribution

Example of use:

To screen for stocks having the lowest value at risk value (daily return) given a 95% confidence level and a period of one year, select "Analysis -> Screener", click on "Create a new screen", type the following formula then click on "Start"

per = perf(close, 1);
a = ValueAtRisk(per, 250, 95);
filter = 1;
AddColumn("VaR", a);

Sort by the "VaR" column.

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