What it does

• Downside range: See potential loss scenarios across different confidence levels
• VaR / CVaR: Value at Risk and Conditional VaR metrics for risk assessment
• Max drawdown: Identify worst-case peak-to-trough decline scenarios
• Probability of loss: Understand likelihood of negative returns over your time horizon
• Stress scenarios: Analyze how your investment performs under adverse conditions
• Export (Plus): Download results and reports for further analysis (Plus users)

How to use

1. Enter ticker

   Type the symbol for any stock (e.g., AAPL), ETF (e.g., SPY), crypto (e.g., BTC-USD), or forex pair (e.g., EURUSD=X). The autocomplete will help you find the right symbol.

2. Choose horizon

   Select your time horizon—30 days, 90 days, or 1 year. This determines how far into the future the simulation projects.

3. Run simulation

   Click “Analyze” to run the Monte Carlo simulation. The tool generates thousands of possible price paths based on historical volatility patterns.

4. Review downside metrics

   Examine VaR (Value at Risk), CVaR (Conditional VaR), and max drawdown to understand potential losses at different confidence levels.

5. Compare scenarios / export

   Run multiple analyses to compare different investments or time horizons. Plus users can export results for further analysis.

How we define “downside risk”

Downside risk measures the potential for an investment to lose value, focusing specifically on loss scenarios rather than overall volatility. Unlike standard deviation (which includes both gains and losses), downside risk helps you understand what you might lose—which is what most investors care about most.

Value at Risk (VaR)

VaR tells you the maximum loss you can expect at a given confidence level. For example, a 95% VaR of -15% means there’s a 5% chance of losing more than 15% over your time horizon. It’s a single number that summarizes risk, but it doesn’t tell you what happens in those worst-case scenarios.

Conditional Value at Risk (CVaR)

CVaR, also called Expected Shortfall, calculates the average loss given that you’re in the worst-case scenarios. If your 95% VaR is -15%, your CVaR might be -22%—meaning in the worst 5% of outcomes, your average loss would be 22%. This gives you a clearer picture of tail risk.

Max Drawdown

Max drawdown measures the largest peak-to-trough decline over a period. If an investment reaches $100 and drops to $70 before recovering, the max drawdown is 30%. This shows the maximum pain you might endure, even if the investment eventually recovers.

Specific use cases

The Downside Risk Calculator is built for specific questions: a given ticker, a given time horizon, and concrete downside metrics (VaR, CVaR, max drawdown). Below are concrete ways to use it for the kinds of queries that lead to our tool.

Value at Risk (VaR) and Conditional VaR (CVaR) for stocks

If you search for things like VaR calculator, Value at Risk for stocks, CVaR calculator, or 95% VaR estimate, you can get a direct answer by running the Downside Risk Calculator. Enter the symbol (e.g. AAPL, MSFT, SPY) and choose your horizon (30 days, 90 days, or 1 year). The Monte Carlo simulation generates thousands of scenarios and outputs VaR at multiple confidence levels (90%, 95%, 99%) plus CVaR (Expected Shortfall). You get concrete numbers like “95% VaR = -12%” instead of generic risk descriptions.

Run the Downside Risk Calculator with any stock ticker to see VaR and CVaR at different confidence levels for your chosen horizon.

Monte Carlo simulation for downside risk

For queries like Monte Carlo downside risk, Monte Carlo VaR, or simulation-based risk analysis, the tool uses Monte Carlo simulation to generate probabilistic estimates. Enter your ticker and horizon, and the calculator runs thousands of simulations based on historical volatility patterns. You see downside ranges, probability of loss, and worst-case scenarios—all from a Monte Carlo approach that accounts for uncertainty and tail risk.

Try the Downside Risk Calculator to run Monte Carlo simulations and see downside risk metrics for your chosen asset and time horizon.

Max drawdown and worst-case scenarios

Searches such as max drawdown calculator, worst case loss scenario, or peak to trough decline are exactly what the calculator provides. Enter your symbol and horizon, and the tool calculates the maximum peak-to-trough decline across all simulated scenarios. You see not just average downside, but the worst-case drawdown you might face—useful for position sizing, stop-loss planning, or understanding maximum pain before recovery.

Run the Downside Risk Calculator to see max drawdown estimates and worst-case scenarios for your investment.

Downside risk for crypto (Bitcoin, Ethereum)

If you care about Bitcoin downside risk, crypto VaR, BTC drawdown estimate, or Ethereum worst case scenario, the same tool applies. Use symbols like BTC-USD or ETH-USD. The Monte Carlo simulation uses historical crypto volatility patterns to generate downside scenarios. You get VaR, CVaR, max drawdown, and probability of loss—all tailored to crypto’s higher volatility characteristics.

Use the Downside Risk Calculator with BTC-USD, ETH-USD, or any crypto symbol to see downside risk metrics for your chosen horizon.

Downside risk for ETFs (sector, broad market)

For questions like ETF downside risk, SPY VaR, sector ETF drawdown, or broad market worst case, enter ETF symbols (e.g. SPY, QQQ, XLK, XLF). The calculator treats ETFs the same as stocks—same Monte Carlo methodology, same metrics (VaR, CVaR, max drawdown). You can compare downside risk across different ETFs or sectors to see which has lower tail risk for your horizon.

Run the Downside Risk Calculator for each ETF you want to compare and use the downside metrics side by side.

Probability of loss and stress scenarios

Searches such as probability of loss calculator, chance of negative returns, or stress test investment are covered. The tool shows the probability of negative returns over your chosen horizon (e.g., “30% chance of loss over 90 days”). It also provides stress scenarios—what happens in adverse conditions. This helps you understand not just expected downside, but how likely losses are and what to expect in bad markets.

Try the Downside Risk Calculator to see probability of loss and stress scenario analysis for your investment.

Ready to calculate downside risk? Try our Risk Simulation tool to estimate downside risk, max drawdown, and probability distributions using Monte Carlo simulation. Analyze stocks, ETFs, crypto, and forex with professional-grade risk metrics.

Try free (10 runs/month). Already have an account? Log in • View pricing

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