CVaR stands for Conditional Value at Risk. It estimates the expected return of the portfolio in the worst and best 5-percentile scenarios. Imagine you have a model that forecasts 10,000 potential outcomes for the portfolio in the near future. Then you sort these outcomes from worst to best. A CVaR- with 95% confidence measures the average of the worst 500 simulated outcomes. A CVaR+ with 95% measures the average of the best 500 simulated outcomes.

We show these numbers in the stress test widget. When you move your mouse over the grey bars, we show the expected value of the portfolio for each scenario, as well as low probability, extreme moves, namely: CVaR- and CVaR+

It is important to show these numbers to inform investors that portfolio outcomes are not a certainty and there is a small (5% in these examples) probability of getting much lower or larger expected returns.