The SP500 Stock Mean Variance Analysis Dashboard delivers a comprehensive, data-driven evaluation of risk-return dynamics across S&P 500 stocks, combining mean returns, volatility (standard deviation), Value at Risk (VaR), and Conditional Value at Risk (CVaR) into a single interactive analytical platform. This page enables investors, traders, and portfolio managers to assess long-term performance potential, price stability, downside risk, and tail-risk exposure using statistically robust metrics derived from historical market data. By integrating ranked summary tables, full-universe comparisons, and customizable risk calculations, the dashboard supports portfolio optimization, risk management, and informed investment decision-making across different market conditions.
Mean Returns – Identifying High-Performance Stocks
Mean return reflects the average daily percentage gain or loss over the selected time period. It is an important indicator of the long-term growth potential of a stock.
What this tells investors
- Higher mean returns may indicate structural business strength.
- However, they must always be evaluated alongside volatility and VaR.
- Example insight: Several semiconductor stocks (MU, INTC, AMD) appear in the top list → cyclical but strong rebound periods.
Volatility (Standard Deviation) – Measuring Price Stability
Volatility shows how widely the stock price fluctuates around its average return.
Top 10 Most Volatile Stocks
(see the below table)
What this tells investors:
- High volatility = higher uncertainty and risk.
- Stocks like NFLX and DD exhibit large swings → suitable only for high-risk traders.
- Combining volatility with VaR provides a deeper loss-risk perspective.
Value at Risk (VaR) – Predicting Worst Expected Loss
VaR estimates the maximum expected loss over a specified period at a given confidence level (e.g., 95%).
Investor interpretation:
- A stock with VaR −7% means that with 95% confidence, the stock shouldn’t lose more than 7% in a day under normal conditions.
- Stocks like AXON, SMCI, and COIN show heightened loss probability.
Conditional VaR (CVaR) – Expected Loss in Worst Scenarios
CVaR gives the average loss on days when VaR is breached, representing true tail-risk.
Investor interpretation:
- NFLX shows extremely high tail-risk despite strong returns → aligns with earnings-driven volatility.
- CVaR is crucial for risk-averse investors.
✅ Full Metrics Table for All S&P 500 Stocks
✅ Interactive Analysis Tool
Interactive Risk Calculator
Use the tool below to compute custom Mean Return, Volatility, VaR, and CVaR for any S&P 500 stock. Select your date range and confidence interval (α).
The backend uses Python (NumPy, Pandas, SciPy) to ensure accurate financial computation updated from reliable market data sources.
✅ How These Metrics Help Investors
Mean Return → Identifies long-term trend & profitability
Volatility → Helps determine risk tolerance
VaR → Essential for portfolio risk management
CVaR → Prevents underestimation of tail-risk
Combining All Metrics → Offers a complete risk-return perspective
Useful For: traders, long-term investors, portfolio managers, risk analysts
Our advanced sorting functionality allows users to organize the complete dataset by clicking any column header, with visual indicators (▲/▼) showing sort direction. The system intelligently handles both numeric and text data, ensuring accurate financial metric comparisons. The interactive filtering system enables targeted analysis through ticker selection, customizable date ranges, and multiple confidence levels (alpha values) for precise risk assessment.
Navigation Guide: Start with the summary tables for quick insights, then use the control panel to filter specific stocks, adjust timeframes, and calculate custom risk metrics. Click column headers in the main table to sort data by any metric. All calculations are based on historical price data and industry-standard financial modeling techniques, providing professional-grade analytics for informed investment decision-making.
Frequently Ask Questions (FAQs)
The analysis displays three core statistical measures for each ticker:
- Mean Returns: Average historical return
- Standard Deviation (Volatility): Measure of return dispersion
- Value at Risk (VaR): Maximum expected loss at given confidence level
- Conditional VaR (CVaR): Expected loss beyond VaR threshold
- Skewness & Kurtosis: Distribution shape characteristics
Calculation: Mean returns are calculated as the arithmetic average of historical daily returns over the selected period:
Mean = Σ(Returns) / n
Interpretation:
- Positive mean: Historical average gain
- Negative mean: Historical average loss
- Annualization: Daily means are typically annualized (×252 trading days)
Limitation: Mean alone doesn’t indicate risk. A high mean with high volatility may be riskier than moderate mean with low volatility.
Standard deviation measures the dispersion of returns around the mean:
Calculation: √[Σ(Return – Mean)² / (n-1)]
Risk Interpretation:
| Volatility Level | Interpretation |
|---|---|
| < 10% | Low volatility (stable returns) |
| 10-20% | Moderate volatility |
| 20-30% | High volatility |
| > 30% | Very high volatility (speculative) |
Practical Use: Higher volatility = wider potential price swings = higher risk.
This tool uses the Historical Simulation method for VaR calculation:
- Data Collection: Historical returns for the selected period
- Sorting: Returns arranged from worst to best
- Percentile Selection:
- 95% VaR = 5th percentile of worst returns
- 99% VaR = 1st percentile of worst returns
- Interpretation: “We are X% confident losses won’t exceed Y% over the period”
Example: If 95% VaR = -2.5%, there’s a 5% chance of losing more than 2.5%.
| Measure | What it shows | Limitation |
|---|---|---|
| VaR | Maximum loss at confidence level | Doesn’t show severity beyond threshold |
| CVaR (Expected Shortfall) | Average loss BEYOND VaR threshold | More conservative risk measure |
Example: If VaR(95%) = -$10,000 and CVaR = -$15,000:
- VaR: 5% chance of losing >$10,000
- CVaR: If losses exceed $10,000, average loss is $15,000
Skewness measures distribution asymmetry:
- Positive skew: More frequent small losses, occasional large gains (lottery-like)
- Negative skew: More frequent small gains, occasional large losses (black swan risk)
- Ideal: Near-zero skew for symmetrical distribution
Kurtosis measures tail thickness:
- Normal kurtosis = 3 (mesokurtic)
- Kurtosis > 3: Fat tails, more extreme events than normal distribution
- Kurtosis < 3: Thin tails, fewer extreme events
Practical insight: High kurtosis + negative skew = high crash risk.
Alpha level selection depends on your risk tolerance:
| Alpha | Confidence | Typical Use Case |
|---|---|---|
| 1% (99%) | Very Conservative | Banks, regulatory requirements |
| 5% (95%) | Standard | Most institutional investors |
| 10% (90%) | Aggressive | Risk-tolerant investors, hedge funds |
Trade-off: Higher confidence (lower alpha) = higher VaR = more capital requirement.
Key limitations to consider:
- Past performance: Historical data may not predict future
- Stationarity assumption: Assumes statistical properties remain constant
- Non-normal distributions: Real returns often have fat tails
- Liquidity risk: Doesn’t account for market impact of large trades
- Correlation risk: Individual VaR doesn’t show portfolio effects
- Black swan events: Extreme events beyond historical range
Best practice: Use VaR alongside other measures (stress testing, scenario analysis) and consider qualitative factors.
Data Sources
- Historical price data: Yahoo Finance via yfinance API
- Computation engine: Python (NumPy, Pandas)
- Update Frequency: Daily after US market close
Author
Md. Kollol Hossain
Market Researcher & Quantitative Analyst
CapitalInsightBD
Important Links:
Mean Return, Volatility & Value at Risk (VaR)-A Complete Investor’s Guide
SP500 Stocks’ Returns compared to SP 500 Index
SP 500 Stocks’ Performance Analysis Dashboard
Weekly SP500 Market round up
Buy, Hold, and Sell Strategy
Risk in an Uncertain Dynamic World
US Stock Market Shocks Insights
Main Summary Executive
Database Date Range: 2026-03-26 to 2026-06-24
Executive Summary
- Date range: data available from 2026-03-26 to 2026-06-24.
- Top average return: DD with Mean 3.20%
- Most volatile: DD (Std Dev 24.90%).
- Largest historical loss (VaR): COHR (VaR -9.67%).
- Worst-tail risk (CVaR): KLAC (CVaR -28.88%).
- Notes: summary metrics are precomputed and stored in the database; use 'Calculate VaR' to compute or refresh values for a specific ticker & date range.
Top 10 by Mean Returns
| Ticker | ||||
|---|---|---|---|---|
| 1 | DD | 3.20% | 24.90% | -3.40% |
| 2 | SNDK | 2.07% | 6.28% | -6.33% |
| 3 | INTC | 1.95% | 6.08% | -6.17% |
| 4 | MU | 1.95% | 6.23% | -7.68% |
| 5 | MRVL | 1.91% | 6.76% | -7.60% |
| 6 | AMD | 1.64% | 5.00% | -5.67% |
| 7 | STX | 1.64% | 3.99% | -4.63% |
| 8 | DELL | 1.63% | 6.02% | -4.73% |
| 9 | FLEX | 1.53% | 6.06% | -4.72% |
| 10 | WDC | 1.50% | 4.68% | -5.33% |
Top 10 by Volatility
| Ticker | ||||
|---|---|---|---|---|
| 1 | DD | 24.90% | 3.20% | -3.40% |
| 2 | BKNG | 12.41% | -1.48% | -3.59% |
| 3 | KLAC | 12.19% | -0.63% | -7.31% |
| 4 | CVNA | 10.79% | -1.06% | -5.47% |
| 5 | SMCI | 7.19% | 0.87% | -7.54% |
| 6 | FDXF | 7.16% | 0.54% | -7.27% |
| 7 | MRVL | 6.76% | 1.91% | -7.60% |
| 8 | SNDK | 6.28% | 2.07% | -6.33% |
| 9 | MU | 6.23% | 1.95% | -7.68% |
| 10 | INTC | 6.08% | 1.95% | -6.17% |
Top 10 Worst VaR (Historic)
| Ticker | ||||
|---|---|---|---|---|
| 1 | COHR | -9.67% | 0.93% | 5.61% |
| 2 | LITE | -8.54% | 0.49% | 5.89% |
| 3 | QCOM | -7.95% | 0.80% | 5.23% |
| 4 | MU | -7.68% | 1.95% | 6.23% |
| 5 | SATS | -7.62% | -0.09% | 4.01% |
| 6 | MRVL | -7.60% | 1.91% | 6.76% |
| 7 | SMCI | -7.54% | 0.87% | 7.19% |
| 8 | NOW | -7.52% | -0.04% | 4.91% |
| 9 | GLW | -7.50% | 0.81% | 5.22% |
| 10 | TER | -7.37% | 0.74% | 5.50% |
Top 10 Worst CVaR (Historic)
| Ticker | ||||
|---|---|---|---|---|
| 1 | KLAC | -7.31% | -0.63% | 12.19% |
| 2 | BKNG | -3.59% | -1.48% | 12.41% |
| 3 | CVNA | -5.47% | -1.06% | 10.79% |
| 4 | SMCI | -7.54% | 0.87% | 7.19% |
| 5 | FDXF | -7.27% | 0.54% | 7.16% |
| 6 | CHTR | -6.81% | -0.71% | 4.44% |
| 7 | TER | -7.37% | 0.74% | 5.50% |
| 8 | MU | -7.68% | 1.95% | 6.23% |
| 9 | MRVL | -7.60% | 1.91% | 6.76% |
| 10 | INTU | -6.15% | -0.71% | 4.14% |
Calculate VaR for Specific Ticker
⚠️ Important Disclaimer
Risk Warning: All investment analysis, market commentary, and trading ideas provided on this website are for educational and informational purposes only. They do not constitute financial advice, investment recommendations, or solicitations to buy or sell any securities.
Stock market investments are subject to market risks. Past performance does not guarantee future results. You should consult with qualified financial advisors and conduct your own research before making any investment decisions. The authors and website owners are not responsible for any financial losses resulting from actions taken based on the information provided.
Remember: Never invest more than you can afford to lose.