What is the difference between VaR and CVaR?

VaR is the loss the portfolio exceeds only on its worst days, for example the worst 5%. CVaR, also called expected shortfall, is the average loss on those worst days, so it shows how deep the tail goes, which VaR does not.

How do I measure my portfolio’s risk?

Start with volatility and maximum drawdown for the whole portfolio, then look at tail measures such as CVaR, and finally at where the risk comes from: each holding’s contribution, its correlation with the others and its exposure to markets or factors.

What does risk contribution per holding mean?

It is the share of the portfolio’s total risk that comes from one holding, taking into account its weight and how it moves with the rest. A holding with a small weight can contribute a large share of risk if it is volatile and moves with everything else.

Guide · checked November 2026

Best portfolio risk analysis software in 2026

Risk analysis answers three questions: how much could the portfolio lose, which holdings that loss would come from, and what the portfolio is really exposed to. The tools below answer them in different ways, from tail-risk measures per holding to factor regressions and look-through views of funds.

Published by MEDGE Capital, which is one of the tools listed. Details of the other tools come from their public pages, checked in November 2026, with a link to each source below. Prices are list prices for one user, before tax; check with the vendor before you buy. The order is not a ranking.

Tool	Risk analysis	Price
MEDGE Capital	VaR and CVaR at 95% and 99% with each holding’s contribution, Sortino, Calmar and Omega, rolling metrics, bear, neutral and bull regimes, and attribution of the result to each holding.	Free plan with the backtesting lab, attribution and regimes; full risk metrics from Essential. Essential €14.99, Plus €39.99, Pro €59.99, Advisor €159 a month; 7-day Plus trial
IBKR Risk Navigator	Risk by position, underlying or industry, P&L and VaR tabs, and what-if portfolios on live positions.	Free for Interactive Brokers clients
Portfolio Visualizer	Factor regressions (CAPM, Fama-French 3 and 5 factor, Carhart and others) and risk metrics computed from monthly returns.	Free plan (up to 15 assets, limited history); Basic $30 a month and Pro $55 a month, billed annually
Stock Rover	Monte Carlo and correlation analysis on every paid plan, next to stock research and screeners.	Free research plan; paid plans billed annually from $29 a month (Premium) to $149 a month (Ultimate Pro); 14-day trial
PortfolioPilot	A free portfolio assessment with risk metrics; custom simulations on the Platinum plan.	Free; Gold $20 a month and Platinum $49 a month, billed annually
Morningstar Portfolio X-Ray	Look-through views of asset classes, stock sectors, world regions, fees and expenses, and overlap between funds (Stock Intersection).	Included in Morningstar Investor, $249 a year or $34.95 a month
Kwanti	Risk allocation by holding, standard deviation, beta, ratios, drawdowns and correlations.	Single $224 per user a month, billed annually; Multi $195 a month (5-user minimum); 14-day trial

MEDGE CapitalOur tool

Portfolio analytics for self-directed investors and independent advisors, on US and European listings.

Risk analysis: VaR and CVaR at 95% and 99% with each holding’s contribution, Sortino, Calmar and Omega, rolling metrics, bear, neutral and bull regimes, and attribution of the result to each holding.
Price: Free plan with the backtesting lab, attribution and regimes; full risk metrics from Essential. Essential €14.99, Plus €39.99, Pro €59.99, Advisor €159 a month; 7-day Plus trial
Fits if: you want to know which holdings the tail risk comes from, and how the mix behaves in different markets.

How the backtesting lab works

IBKR Risk Navigator

Real-time risk tool inside Interactive Brokers’ Trader Workstation.

Risk analysis: Risk by position, underlying or industry, P&L and VaR tabs, and what-if portfolios on live positions.
Price: Free for Interactive Brokers clients
Fits if: you hold your portfolio at Interactive Brokers and want live multi-asset exposure.

Source: IBKR risk management · P&L and VaR tabs (IBKR Campus)

Portfolio Visualizer

Web-based backtesting and portfolio analysis tools.

Risk analysis: Factor regressions (CAPM, Fama-French 3 and 5 factor, Carhart and others) and risk metrics computed from monthly returns.
Price: Free plan (up to 15 assets, limited history); Basic $30 a month and Pro $55 a month, billed annually
Fits if: you want factor-exposure regressions on a fund or a portfolio.

Source: Factor analysis · Pricing

Stock Rover

Stock research and portfolio management platform.

Risk analysis: Monte Carlo and correlation analysis on every paid plan, next to stock research and screeners.
Price: Free research plan; paid plans billed annually from $29 a month (Premium) to $149 a month (Ultimate Pro); 14-day trial
Fits if: you pick individual US stocks and want risk tools next to fundamental research.

Source: Plans compared · FAQ

PortfolioPilot

Portfolio and financial guidance app with automated recommendations.

Risk analysis: A free portfolio assessment with risk metrics; custom simulations on the Platinum plan.
Price: Free; Gold $20 a month and Platinum $49 a month, billed annually
Fits if: you want a risk score with suggested changes.

Source: Pricing · Plans FAQ

Morningstar Portfolio X-Ray

Portfolio look-through tool in the Morningstar Investor subscription.

Risk analysis: Look-through views of asset classes, stock sectors, world regions, fees and expenses, and overlap between funds (Stock Intersection).
Price: Included in Morningstar Investor, $249 a year or $34.95 a month
Fits if: you hold several funds and want to see what they own together and where they overlap.

Source: Portfolio tools · X-Ray help

Kwanti

Portfolio analytics and reporting for advisors.

Risk analysis: Risk allocation by holding, standard deviation, beta, ratios, drawdowns and correlations.
Price: Single $224 per user a month, billed annually; Multi $195 a month (5-user minimum); 14-day trial
Fits if: you are an advisor who needs risk reports for clients.

Source: Risk analytics

Frequently asked questions

What is the difference between VaR and CVaR?: VaR is the loss the portfolio exceeds only on its worst days, for example the worst 5%. CVaR, also called expected shortfall, is the average loss on those worst days, so it shows how deep the tail goes, which VaR does not.
How do I measure my portfolio’s risk?: Start with volatility and maximum drawdown for the whole portfolio, then look at tail measures such as CVaR, and finally at where the risk comes from: each holding’s contribution, its correlation with the others and its exposure to markets or factors.
What does risk contribution per holding mean?: It is the share of the portfolio’s total risk that comes from one holding, taking into account its weight and how it moves with the rest. A holding with a small weight can contribute a large share of risk if it is volatile and moves with everything else.

More comparisons

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