VaR is the daily loss exceeded on only 5% of days; CVaR is the average loss on those worst days.
VaR95 = 5th percentile of daily returns; CVaR95 = mean of returns ≤ VaR95A daily VaR of −2% means that on about one day in twenty the strategy lost more than 2%. CVaR (expected shortfall) answers the follow-up question: when those bad days happen, how bad are they on average? A CVaR far below the VaR signals fat tails, which is common for leveraged, grid and martingale-style systems. Quant Arena computes both historically from daily strategy returns, without assuming a normal distribution.
| Strategy | Value at Risk (VaR) and CVaR |
|---|---|
| MR-02 Bollinger Band Reversion | 0.0% |
| MR-07 Hurst-Filtered Mean Reversion | 0.0% |
| MR-04 Ornstein-Uhlenbeck Mean Reversion | 0.0% |
| MR-01 RSI Mean Reversion | 0.0% |
| COMBO-04 Trend + Mean Reversion Hybrid | 0.0% |
| Strategy | Value at Risk (VaR) and CVaR |
|---|---|
| MACRO-02 Risk-On/Risk-Off Switch | -1.7% |
| MACRO-03 Flight to Quality | -1.7% |
| RISK-01 Drawdown Control | -1.5% |
| FACTOR-05 Multi-Factor Composite | -1.4% |
| MOM-01 Time-Series Momentum | -1.4% |