Var and expected shortfall

Q&A
1

My portfolio is currently in the red and has a Var = 290.83%, Expected Shortfall = 290.83%.

I have checked the definition but wonder what does it means in lay-man terms as these metrics are in three-digit?

Based on historical data, it is 99% confident that I will NOT lose more than VaR % [of 290.83%] of in portfolio in a month?

In stressed situations (i.e. the 1% case), the expected loss is [290.83%?]

2

There are a couple of things that seems weird to me.

  1. I do not often see such high VaR and E.Shortfall. I wonder if some computation is wrong.

  2. It is also weird that VaR and E.Shortfall are the same.

  3. You are right. When the values are beyond 100%, it seems weird. It is saying that you can actually lose more than you invested. This usually only happen when you are leveraged, shorting or selling uncovered options etc which StocksCafe do not really support anyway.

I will check carefully over the weekend.

3

Hi,

I started checking and realized that there are multiple transactions that are highlighted in red. Typically for any columns that are highlighted in red, it indicates potential mistake with input although not always.

Can you first check that all transactions are accurately inputted? => https://stocks.cafe/personal/portfolio/transactions?label_id=-1

Thanks,
Evan