BacktestFolio · Glossary
VaR (95%)
In plain language
Answers: 'Under normal market conditions, what is the maximum loss over this horizon in 95% of cases?' If the 1-year VaR is -15%, only in 5% of historical years did the loss exceed that level.
Technical definition
Value at Risk at 95% (historical): loss not exceeded in 95% of cases, estimated as the empirical 5th-percentile quantile of cumulative rolling returns for each horizon (from 1 month to 10 years); not a regulatory limit.