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Portfolio Volatility (VaR)

Calculate total portfolio volatility and VaR.

Number of assets

2 - 5

Average correlation (ρ)

Use a single average correlation between assets (-1 to 1).

Portfolio value

Confidence level

Weights are normalized automatically if they do not sum to 100%.

Weights (%) #1

Volatility (%) #1

Weights (%) #2

Volatility (%) #2

Weights (%) #3

Volatility (%) #3

Results

About this calculator

This calculator computes portfolio volatility using the formula σ_p = sqrt(wᵀ Σ w). We assume each off-diagonal covariance is ρ·σ_i·σ_j (a single average correlation). The VaR shown is a simple parametric (Gaussian) VaR: VaR = V·z·σ_p, where z is the z-score for the selected confidence level. This is an approximation and assumes normally distributed returns.